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Annals of Actuarial Science

2006 - 2024

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

Bibliographic data for series maintained by Kirk Stebbing ().

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Volume 18, issue 1, 2024

On Bayesian credibility mean for finite mixture distributions pp. 5-29 Downloads
Ehsan Jahanbani, Amir T. Payandeh Najafabadi and Khaled Masoumifard
Neural networks for quantile claim amount estimation: a quantile regression approach pp. 30-50 Downloads
Alessandro G. Laporta, Susanna Levantesi and Lea Petrella
Joint models for cause-of-death mortality in multiple populations pp. 51-77 Downloads
Nhan Huynh and Mike Ludkovski
Portfolio management for insurers and pension funds and COVID-19: targeting volatility for equity, balanced, and target-date funds with leverage constraints pp. 78-101 Downloads
Bao Doan, Jonathan J. Reeves and Michael Sherris
Detection and treatment of outliers for multivariate robust loss reserving pp. 102-125 Downloads
Benjamin Avanzi, Mark Lavender, Greg Taylor and Bernard Wong
Lapse risk modeling in insurance: a Bayesian mixture approach pp. 126-151 Downloads
Viviana G. R. Lobo, Thaís C. O. Fonseca and Mariane B. Alves
Individual life insurance during epidemics pp. 152-175 Downloads
Laura Francis and Mogens Steffensen
Error propagation and attribution in simulation-based capital models pp. 176-204 Downloads
Daniel J. Crispin
Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio pp. 205-236 Downloads
Stefano Cotticelli and Nino Savelli

Volume 17, issue 3, 2023

An uncertainty-based risk management framework for climate change risk pp. 420-437 Downloads
Rüdiger Kiesel and Gerhard Stahl
Plant growth stages and weather index insurance design pp. 438-458 Downloads
Jing Zou, Martin Odening and Ostap Okhrin
Impact of combination methods on extreme precipitation projections pp. 459-478 Downloads
Sébastien Jessup, Mélina Mailhot and Mathieu Pigeon
An assessment of model risk in pricing wind derivatives pp. 479-502 Downloads
Giovani Gracianti, Rui Zhou, Johnny Siu-Hang Li and Xueyuan Wu
Pseudo-model-free hedging for variable annuities via deep reinforcement learning pp. 503-546 Downloads
Wing Fung Chong, Haoen Cui and Yuxuan Li
How do empirical estimators of popular risk measures impact pro-cyclicality? pp. 547-579 Downloads
Marcel Bräutigam and Marie Kratz
Auto-balanced common shock claim models pp. 580-605 Downloads
Greg Taylor and Phuong Anh Vu
Package AdvEMDpy: Algorithmic variations of empirical mode decomposition in Python pp. 606-642 Downloads
Cole van Jaarsveldt, Matthew Ames, Gareth W. Peters and Mike Chantler
Some comments on “A Hermite spline approach for modelling population mortality” by Tang, Li & Tickle (2022) pp. 643-646 Downloads
Stephen J. Richards

Volume 17, issue 1, 2023

SPLICE: a synthetic paid loss and incurred cost experience simulator pp. 7-35 Downloads
Benjamin Avanzi, Greg Taylor and Melantha Wang
Bonus-Malus Scale models: creating artificial past claims history pp. 36-62 Downloads
Jean-Philippe Boucher
The moments of the time of ruin in Sparre Andersen risk models pp. 63-82 Downloads
David C.M. Dickson
Modelling the burden of long-term care for institutionalised elderly based on care duration and intensity pp. 83-117 Downloads
Martin Bladt, Michel Fuino, Aleksandr Shemendyuk and Joël Wagner
Unbiased estimator for the ultimate claim prediction error in the chain-ladder model of Mack pp. 118-144 Downloads
Filippo Siegenthaler
Panjer class revisited: one formula for the distributions of the Panjer (a,b,n) class pp. 145-169 Downloads
Michael Fackler
Less-expensive long-term annuities linked to mortality, cash and equity pp. 170-207 Downloads
Kevin Fergusson and Eckhard Platen
Benchmarks for the benchmark approach to valuing long-term insurance liabilities: comment on Fergusson & Platen (2023) pp. 208-211 Downloads
Daniel Bauer

Volume 16, issue 3, 2022

Real-time measurement of portfolio mortality levels in the presence of shocks and reporting delays pp. 430-452 Downloads
Stephen J. Richards
A multi-parameter-level model for simulating future mortality scenarios with COVID-alike effects pp. 453-477 Downloads
Rui Zhou and Johnny Siu-Hang Li
COVID-19 accelerated mortality shocks and the impact on life insurance: the Italian situation pp. 478-497 Downloads
Maria Carannante, D’Amato, Valeria and Steven Haberman
The impact of mortality shocks on modelling and insurance valuation as exemplified by COVID-19 pp. 498-526 Downloads
Simon Schnürch, Torsten Kleinow, Ralf Korn and Andreas Wagner
A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components pp. 527-546 Downloads
Gian Paolo Clemente, Francesco Della Corte and Nino Savelli

Volume 16, issue 2, 2022

Impact of the choice of risk assessment time horizons on defined benefit pension schemes pp. 214-242 Downloads
Douglas Andrews, Stephen Bonnar, Lori J. Curtis, Jaideep S. Oberoi, Aniketh Pittea and Pradip Tapadar
Empirical tests for ex post moral hazard in a market for automobile insurance pp. 243-260 Downloads
David Rowell, Son Nghiem and Luke Connelly
Pricing insurance policies with offsetting relationship pp. 261-287 Downloads
Hamza Hanbali
Pricing insurance policies with offsetting relationship – ERRATUM pp. 288-288 Downloads
Hamza Hanbali
Functional disability with systematic trends and uncertainty: a comparison between China and the US pp. 289-318 Downloads
Yu Fu, Michael Sherris and Mengyi Xu
Dynamic importance allocated nested simulation for variable annuity risk measurement pp. 319-348 Downloads
Ou Dang, Mingbin Feng and Mary R. Hardy
On RVaR-based optimal partial hedging pp. 349-366 Downloads
Alexander Melnikov and Hongxi Wan
Optimal investment strategy for a DC pension fund plan in a finite horizon time: an optimal stochastic control approach pp. 367-383 Downloads
Saman Vahabi and Amir T. Payandeh Najafabadi
On the integration of deterministic opinions into mortality smoothing and forecasting pp. 384-400 Downloads
Viani Biatat Djeundje
Bayesian vine copulas for modelling dependence in data breach losses pp. 401-424 Downloads
Jia Liu, Jackie Li and Kevin Daly

Volume 15, issue 3, 2021

Multifactorial disorders and polygenic risk scores: predicting common diseases and the possibility of adverse selection in life and protection insurance pp. 488-503 Downloads
Jessye M. Maxwell, Richard A. Russell, Hei Man Wu, Natasha Sharapova, Peter Banthorpe, O’Reilly, Paul F and Cathryn M Lewis
Multifactorial disorders and polygenic risk scores: predicting common diseases and the possibility of adverse selection in life and protection insurance – CORRIGENDUM pp. 504-504 Downloads
Jessye M. Maxwell, Richard A. Russell, Hei Man Wu, Natasha Sharapova, Peter Banthorpe, O’Reilly, Paul F and Cathryn M Lewis
Using hierarchical Archimedean copulas for modelling mortality dependence and pricing mortality-linked securities pp. 505-518 Downloads
Jackie Li, Uditha Balasooriya and Jia Liu
Mortality forecasting using a Lexis-based state-space model pp. 519-548 Downloads
Patrik Andersson and Mathias Lindholm
Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes pp. 549-566 Downloads
Wen Chen, Bonsoo Koo, Yunxiao Wang, O’Hare, Colin, Nicolas Langrené, Peter Toscas and Zili Zhu
Mortality models incorporating long memory for life table estimation: a comprehensive analysis pp. 567-604 Downloads
Hongxuan Yan, Gareth W. Peters and Jennifer Chan
Extracting information from textual descriptions for actuarial applications pp. 605-622 Downloads
Scott Manski, Kaixu Yang, Gee Y. Lee and Tapabrata Maiti
A review on Poisson, Cox, Hawkes, shot-noise Poisson and dynamic contagion process and their compound processes pp. 623-644 Downloads
Jiwook Jang and Rosy Oh

Volume 15, issue 2, 2021

AI in actuarial science – a review of recent advances – part 1 pp. 207-229 Downloads
Ronald Richman
AI in actuarial science – a review of recent advances – part 2 pp. 230-258 Downloads
Ronald Richman
A neural network model for solvency calculations in life insurance pp. 259-275 Downloads
Lucio Fernandez-Arjona
Clustering driving styles via image processing pp. 276-290 Downloads
Rui Zhu and Mario V. Wüthrich
Statistical features of persistence and long memory in mortality data pp. 291-317 Downloads
Gareth W. Peters, Hongxuan Yan and Jennifer Chan
Multi-output Gaussian processes for multi-population longevity modelling pp. 318-345 Downloads
Nhan Huynh and Mike Ludkovski
A neural network extension of the Lee–Carter model to multiple populations pp. 346-366 Downloads
Ronald Richman and Mario V. Wüthrich
A spatial machine learning model for analysing customers’ lapse behaviour in life insurance pp. 367-393 Downloads
Sen Hu, O’Hagan, Adrian, James Sweeney and Mohammadhossein Ghahramani
A practical support vector regression algorithm and kernel function for attritional general insurance loss estimation pp. 394-418 Downloads
Shadrack Kwasa and Daniel Jones
LRMoE.jl: a software package for insurance loss modelling using mixture of experts regression model pp. 419-440 Downloads
Spark C. Tseung, Andrei L. Badescu, Tsz Chai Fung and X. Sheldon Lin
mvClaim: an R package for multivariate general insurance claims severity modelling pp. 441-457 Downloads
Sen Hu, T. Brendan Murphy and O’Hagan, Adrian
Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis pp. 458-483 Downloads
Silvana M. Pesenti, Alberto Bettini, Pietro Millossovich and Andreas Tsanakas

Volume 15, issue 1, 2021

Analytic expressions for annuities based on Makeham–Beard mortality laws pp. 1-13 Downloads
David C. Bowie
Multivariate Hawkes process for cyber insurance pp. 14-39 Downloads
Yannick Bessy-Roland, Alexandre Boumezoued and Caroline Hillairet
Healthy life expectancy in China: Modelling and implications for public and private insurance pp. 40-56 Downloads
Han Li, Katja Hanewald and Shang Wu
On the use of Archimedean copulas for insurance modelling pp. 57-81 Downloads
Thilini Dulanjali Kularatne, Jackie Li and David Pitt
Home and Motor insurance joined at a household level using multivariate credibility pp. 82-114 Downloads
Florian Pechon, Michel Denuit and Julien Trufin
Valuation of no-negative-equity guarantees with a lower reflecting barrier pp. 115-143 Downloads
R. Guy Thomas
Fitting multi-population mortality models to socio-economic groups pp. 144-172 Downloads
Jie Wen, Andrew J.G. Cairns and Torsten Kleinow
On unbalanced data and common shock models in stochastic loss reserving pp. 173-203 Downloads
Benjamin Avanzi, Greg Taylor, Phuong Anh Vu and Bernard Wong
Mortality Projections using Generalized Additive Models with applications to annuity values for the Irish population – CORRIGENDUM pp. 204-204 Downloads
M. Hall and N. Friel
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