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Annals of Actuarial Science

2006 - 2020

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.

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Volume 14, issue 2, 2020

Longevity trend risk over limited time horizons pp. 262-277 Downloads
Stephen J. Richards, Iain D. Currie, Torsten Kleinow and Gavin P. Ritchie
Asymmetry in mortality volatility and its implications on index-based longevity hedging pp. 278-301 Downloads
Kenneth Q. Zhou and Johnny Siu-Hang Li
Optimal portfolio choice with tontines under systematic longevity risk pp. 302-315 Downloads
Irina Gemmo, Ralph Rogalla and Jan-Hendrik Weinert
Linking annuity benefits to the longevity experience: alternative solutions pp. 316-337 Downloads
Annamaria Olivieri and Ermanno Pitacco
Variability in pension products: a comparison study between The Netherlands and Denmark pp. 338-357 Downloads
Anne G. Balter, Malene Kallestrup-Lamb and Jesper Rangvid
An investigation into the impact of deprivation on demographic inequalities in adults pp. 358-383 Downloads
Les Mayhew, Gillian Harper and Andrés M. Villegas
Mortality in the US by education level pp. 384-419 Downloads
Cristian Redondo Lourés and Andrew J. G. Cairns
Mortality data reliability in an internal model pp. 420-444 Downloads
Fabrice Balland, Alexandre Boumezoued, Laurent Devineau, Marine Habart and Tom Popa
CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family pp. 445-460 Downloads
Kevin Dowd, Andrew J. G. Cairns and David Blake
Identifiability in age/period mortality models pp. 461-499 Downloads
Andrew Hunt and David Blake
Identifiability in age/period/cohort mortality models pp. 500-536 Downloads
Andrew Hunt and David Blake
Constraints, the identifiability problem and the forecasting of mortality pp. 537-566 Downloads
Iain D. Currie

Volume 14, issue 1, 2020

Alternative modelling and inference methods for claim size distributions pp. 1-19 Downloads
Mathias Raschke
A graphical model approach to simulating economic variables over long horizons pp. 20-41 Downloads
Jaideep S. Oberoi, Aniketh Pittea and Pradip Tapadar
Insurance ratemaking using the Exponential-Lognormal regression model pp. 42-71 Downloads
George Tzougas, Woo Hee Yik and Muhammad Waqar Mustaqeem
Forecasting health expenses using a functional data model pp. 72-82 Downloads
Jens Piontkowski
The effect of retirement taxation rules on the value of guaranteed lifetime withdrawal benefits pp. 83-92 Downloads
Eric R. Ulm
Estimation of conditional mean squared error of prediction for claims reserving pp. 93-128 Downloads
Mathias Lindholm, Filip Lindskog and Felix Wahl
The profiles of public and private patients in maternal healthcare: a longitudinal study to examine adverse selection pp. 129-137 Downloads
Jananie William, Bronwyn Loong, Catherine Chojenta and Deborah Loxton
Yet more on a stochastic economic model: Supplement to Part 4: A model for share earnings, dividends and prices pp. 138-149 Downloads
A. D. Wilkie and Åžule Åžahin
Forecasting age distribution of death counts: an application to annuity pricing pp. 150-169 Downloads
Han Lin Shang and Steven Haberman
Risk management with Tail Quasi-Linear Means pp. 170-187 Downloads
Bäuerle, Nicole and Tomer Shushi
Fair-value analytical valuation of reset executive stock options consistent with IFRS9 requirements pp. 188-218 Downloads
Otto Konstandatos

Volume 13, issue 2, 2019

The design of pension contracts: on the perspective of customers pp. 219-240 Downloads
Zhaoxun Mei
Beta transform and discounted aggregate claims under dependency pp. 241-267 Downloads
Zhehao Zhang and Shuanming Li
Optimal proportional reinsurance with common shock dependence to minimise the probability of drawdown pp. 268-294 Downloads
Xia Han, Zhibin Liang and Caibin Zhang
An analysis of the feasibility of an extreme operational risk pool for banks pp. 295-307 Downloads
Yifei Li, Neil Allan and John Evans
An identity based on the generalised negative binomial distribution with applications in ruin theory pp. 308-319 Downloads
David C. M. Dickson
A review of global banking regulation under an assumption of complexity pp. 320-333 Downloads
John Evans and Yifei Li
Back-testing the chain-ladder method pp. 334-359 Downloads
Andrea Gabrielli and Wüthrich, Mario V.
Analysis of financial events under an assumption of complexity pp. 360-377 Downloads
Yifei Li and John Evans
Multivariate credibility modelling for usage-based motor insurance pricing with behavioural data pp. 378-399 Downloads
Michel Denuit, Montserrat Guillen and Julien Trufin
Methods for generating coherent distortion risk measures pp. 400-416 Downloads
Ranadeera G.M. Samanthi and Jungsywan Sepanski
Implementing Enterprise Risk Management – From Methods to Applications, James Lam, Wiley, 2017, 432pp. (hardback), £80. ISBN 9780471745198 pp. 417-419 Downloads
Mayukh Gayen
Loss Coverage: Why Insurance Works Better with Some Adverse Selection, Edited by R. Guy Thomas, Cambridge: Cambridge University Press, 2018, 274pp, ISBN: 978-1-107-49590-6 pp. 420-425 Downloads
Michael Hoy
Loss Coverage: Why Insurance Works Better with Some Adverse Selection, Edited by R. Guy Thomas, Cambridge: Cambridge University Press, 2018, 274pp, ISBN: 978-1-107-49590-6 – ERRATUM pp. 426-426 Downloads
Michael Hoy

Volume 13, issue 1, 2019

An actuarial investigation into maternal out-of-hospital cost risk factors pp. 1-35 Downloads
Jananie William, Catherine Chojenta, Michael A. Martin and Deborah Loxton
Comparing Solvency II and Life and General Insurance Capital approaches to capital determination of a life portfolio in the presence of stress scenarios pp. 36-66 Downloads
Kangjing Tan and Aaron Bruhn
Real-time Bayesian non-parametric prediction of solvency risk pp. 67-79 Downloads
Liang Hong and Ryan Martin
An analysis of power law distributions and tipping points during the global financial crisis pp. 80-91 Downloads
Yifei Li, Lei Shi, Neil Allan and John Evans
Yet more on a stochastic economic model: Part 5: a vector autoregressive (VAR) Model for retail prices and wages pp. 92-108 Downloads
A. D. Wilkie and Åžule Åžahin
Cohort effects in mortality modelling: a Bayesian state-space approach pp. 109-144 Downloads
Man Chung Fung, Gareth W. Peters and Pavel V. Shevchenko
Modelling multi-state health transitions in China: a generalised linear model with time trends pp. 145-165 Downloads
Katja Hanewald, Han Li and Adam W. Shao
Assessing basis risk in index-based longevity swap transactions pp. 166-197 Downloads
Jackie Li, Johnny Siu-Hang Li, Chong It Tan and Leonie Tickle
Optimal insurance control for insurers with jump-diffusion risk processes pp. 198-213 Downloads
Linlin Tian and Lihua Bai
Leases for Lives – Life Contingent Contracts and the Emergence of Actuarial Science in 18th-Century England, by David R. Bellhouse, CambridgeCambridge: Cambridge University Press, 2017 xii, 261 pp; ISBN:9781107111769 pp. 214-216 Downloads
Chris Lewin
Financial Enterprise Risk Management,Paul Sweeting, 2nd edition, Cambridge University Press, 2017, 601pp. (hardback), ISBN: 978-1-107-18461-9 pp. 217-218 Downloads
Gemma Gregson

Volume 12, issue 2, 2018

A change of paradigm for the insurance industry pp. 211-232 Downloads
Michel Dacorogna
A simple isochore model evidencing regulation risk pp. 233-248 Downloads
Véhel, J. Lévy
Dynamic risk measures for stochastic asset processes from ruin theory pp. 249-268 Downloads
Yasutaka Shimizu and Shuji Tanaka
Ruin probabilities in a Sparre Andersen model with dependency structure based on a threshold window pp. 269-295 Downloads
Eric C. K. Cheung, Suhang Dai and Weihong Ni
A plan of capital injections based on the claims frequency pp. 296-325 Downloads
Ran Xu, Jae-Kyung Woo, Xixuan Han and Hailiang Yang
Optimal barrier strategy for spectrally negative Lévy process discounted by a class of exponential Lévy processes pp. 326-337 Downloads
Huanqun Jiang
Non-parametric estimation for a pure-jump Lévy process pp. 338-349 Downloads
Chunhao Cai, Junyi Guo and Honglong You
On age difference in joint lifetime modelling with life insurance annuity applications pp. 350-371 Downloads
Dufresne, François, Enkelejd Hashorva, Gildas Ratovomirija and Youssouf Toukourou
The efficacy of life insurance company general account equity asset allocations: a safety-first perspective using vine copulas pp. 372-390 Downloads
Ryan Timmer, John Broussard and G. Geoffrey Booth
Mixture copulas and insurance applications pp. 391-411 Downloads
Maissa Tamraz
Asymptotic tail behaviour of phase-type scale mixture distributions pp. 412-432 Downloads
Leonardo Rojas-Nandayapa and Wangyue Xie
Validation of aggregated risks models pp. 433-454 Downloads
Michel Dacorogna, Laila Elbahtouri and Marie Kratz
Conditional Monte Carlo for sums, with applications to insurance and finance pp. 455-478 Downloads
Asmussen, Søren

Volume 12, issue 1, 2018

A stochastic Expectation–Maximisation (EM) algorithm for construction of mortality tables pp. 1-22 Downloads
Luz Judith R. Esparza and Fernando Baltazar-Larios
Ruin problems in Markov-modulated risk models pp. 23-48 Downloads
David C.M. Dickson and Marjan Qazvini
The cost and value of UK pensions pp. 49-66 Downloads
Paul J. Sweeting
Yet more on a stochastic economic model: Part 4: a model for share earnings, dividends, and prices pp. 67-105 Downloads
A. D. Wilkie and Åžule Åžahin
An actuarial investigation into maternal hospital cost risk factors for public patients pp. 106-129 Downloads
Jananie William, Michael A. Martin, Catherine Chojenta and Deborah Loxton
An optimal multi-layer reinsurance policy under conditional tail expectation pp. 130-146 Downloads
Amir Payandeh and Ali Panahi Bazaz
Optimal reinsurance: a reinsurer’s perspective pp. 147-184 Downloads
Fei Huang and Honglin Yu
Projection models for health expenses pp. 185-203 Downloads
Marcus Christiansen, Michel Denuit, Nathalie Lucas and Jan-Philipp Schmidt
A History of British Actuarial Thought, Turnbull Craig, Palgrave Macmillan, 2017, Cham, Switzerland, 345pp, ISBN: 978-3-319-33182-9 pp. 204-205 Downloads
Andrew Smith
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