Annals of Actuarial Science

2006 - 2026

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 20, issue 1, 2026

Mixture credibility formulas pp. 7-21

Mojtaba Abed and Amir T. Payandeh Najafabadi

Analyzing state-level longevity trends with the U.S. mortality database pp. 22-53

Mike Ludkovski and Doris Padilla

A multivariate spatiotemporal model for county-level mortality data in the contiguous United States pp. 54-73

Michael L. Shull, Robert Richardson, Chris Groendyke and Brian Hartman

Utilizing large language models (LLMs) for quantitative reasoning-intensive tasks within the (re)insurance sector pp. 74-95

Yilin Hao, Xiaojuan Tian, Haoran Zhao and Luca Baldassarre

DPTree and DPForest: tree-based methods fulfilling demographic parity pp. 96-114

Pierre-Alexandre Simon, Michel Denuit and Julien Trufin

Optimal Disaster Fund strategy: Seeking the ideal mix of Disaster Risk Financing instruments pp. 115-149

Jayen Tan and Jinggong Zhang

A brief review of deep learning methods in mortality forecasting pp. 150-165

Huiling Zheng, Hai Wang, Rui Zhu and Jing-Hao Xue

Optimal asset allocation and reinsurance problem under enhanced dynamic contagion processes pp. 166-209

Guo Liu and Jiwook Jang

Volume 19, issue 3, 2025

A compositional approach to modeling cause-specific mortality with zero counts pp. 416-441

Zhe Michelle Dong, Han Lin Shang, Francis Hui and Aaron Bruhn

An interpretable neural network approach to cause-of-death mortality forecasting pp. 442-461

Sohei Tanaka and Naoki Matsuyama

A unified Bayesian framework for mortality model selection pp. 462-481

Alex Diana, Jackie Siaw Tze Wong and Aniketh Pittea

Optimal decision-making for consumption, investment, housing, and life insurance purchase in a couple with dependent mortality pp. 482-510

Jinhui Zhang, Jiaqin Wei and Ning Wang

Cancer insurance pricing under different scenarios associated with diagnosis and treatment pp. 511-542

Ayşe Arık, Andrew J. G. Cairns, Erengul Dodd, Angus S. Macdonald, Adam Shao and George Streftaris

Ponzi schemes: a review pp. 543-572

Phelim Boyle and Zhe Peng

Pensions and protestants: or why everything in retirement can’t be optimized pp. 573-592

Moshe Milevsky and Marcos Velazquez

Volume 19, issue 2, 2025

Aggregate: fast, accurate, and flexible approximation of compound probability distributions pp. 193-232

Stephen Mildenhall

Understanding the correlation risk premium pp. 233-256

Jan Dhaene, Daniël Linders, Biwen Ling and Qian Wang

Delegated investment in retirement savings: is there value added? pp. 257-284

Tiancheng Huang, Gaurav Khemka and Wing Fung Chong

Quantifying and hedging economic risk in disability income insurance portfolios pp. 285-303

Annika Schneider, Gaurav Khemka, David Pitt and Jinhui Zhang

Efficiently computing annuity conversion factors via feed-forward neural networks pp. 304-316

Maria Aragona, Sascha Günther and Peter Hieber

A new approach in two-dimensional heavy-tailed distributions pp. 317-349

Dimitrios G. Konstantinides and Charalampos D. Passalidis

Insurance cycles detection using neural networks pp. 350-371

Hamza Hanbali

Shedding light on Swiss health insurance costs in the last year of life pp. 372-393

Andrey Ugarte Montero and Joël Wagner

Volume 19, issue 1, 2025

Risk analysis of a multivariate aggregate loss model with dependence pp. 1-22

Dechen Gao and Jiandong Ren

AffineMortality: An R package for estimation, analysis, and projection of affine mortality models pp. 23-48

Francesco Ungolo, Len Patrick Dominic M. Garces, Michael Sherris and Yuxin Zhou

On the benefits of pension plan consolidation: Understanding the impact of full plan mergers pp. 49-81

Jean-François Bégin, Barbara Sanders and Wenyuan Zhou

Optimizing insurance risk assessment: a regression model based on a risk-loaded approach pp. 82-95

Zinoviy Landsman and Tomer Shushi

Asymptotic behavior of bond yields and volatilities for the extended 3/2 model under the real-world measure pp. 96-125

Kevin Fergusson

Insurance design and arson-type risks pp. 126-139

Jean-Gabriel Lauzier

Generalized Poisson random variable: its distributional properties and actuarial applications pp. 140-158

Pouya Faroughi, Shu Li and Jiandong Ren

One-year and ultimate correlations in dependent claims run-off triangles pp. 159-192

Łukasz Delong and Marcin Szatkowski

Volume 18, issue 3, 2024

On clustering levels of a hierarchical categorical risk factor pp. 540-578

Bavo D.C. Campo and Katrien Antonio

Nonparametric intercept regularization for insurance claim frequency regression models pp. 579-604

Gee Y. Lee and Himchan Jeong

Boosted Poisson regression trees: a guide to the BT package in R pp. 605-625

Gireg Willame, Julien Trufin and Michel Denuit

Modeling mortality with Kernel Principal Component Analysis (KPCA) method pp. 626-643

Yuanqi Wu, Andrew Chen, Yanbin Xu, Guangming Pan and Wenjun Zhu

Interpretable zero-inflated neural network models for predicting admission counts pp. 644-674

Alex Jose, Angus S. Macdonald, George Tzougas and George Streftaris

Black-box guided generalised linear model building with non-life pricing applications pp. 675-691

Mathias Lindholm and Johan Palmquist

Distill knowledge of additive tree models into generalized linear models: a new learning approach for non-smooth generalized additive models pp. 692-711

Arthur Maillart and Christian Robert

Smoothness and monotonicity constraints for neural networks using ICEnet pp. 712-739

Ronald Richman and Mario V. Wüthrich

Volume 18, issue 2, 2024

Epidemic modelling and actuarial applications for pandemic insurance: a case study of Victoria, Australia pp. 242-269

Chang Zhai, Ping Chen, Zhuo Jin and Tak Kuen Siu

Modeling and management of cyber risk: a cross-disciplinary review pp. 270-309

Rong He, Zhuo Jin and Johnny Siu-Hang Li

The discrete-time arbitrage-free Nelson-Siegel model: a closed-form solution and applications to mixed funds representation pp. 310-341

Ramin Eghbalzadeh, Frédéric Godin and Patrice Gaillardetz

GEMAct: a Python package for non-life (re)insurance modeling pp. 342-378

Gabriele Pittarello, Edoardo Luini and Manfred Marvin Marchione

DivFolio: a Shiny application for portfolio divestment in green finance wealth management pp. 379-422

Pasin Marupanthorn, Gareth W. Peters, Eric D. Ofosu-Hene, Christina S. Nikitopoulos and Kylie-Anne Richards

De-risking in multi-state life and health insurance pp. 423-441

Susanna Levantesi, Massimiliano Menzietti and Anna Kamille Nyegaard

Valuation of guaranteed minimum accumulation benefits (GMABs) with physics-inspired neural networks pp. 442-473

Donatien Hainaut

Package CovRegpy: Regularized covariance regression and forecasting in Python pp. 474-508

Cole van Jaarsveldt, Gareth W. Peters, Matthew Ames and Mike Chantler

Bonus-Malus Scale premiums for Tweedie’s compound Poisson models pp. 509-533

Jean-Philippe Boucher and Raïssa Coulibaly

Genetic testing and actuarial science – ERRATUM pp. 534-534

Angus S. Macdonald

Volume 18, issue 1, 2024

On Bayesian credibility mean for finite mixture distributions pp. 5-29

Ehsan Jahanbani, Amir T. Payandeh Najafabadi and Khaled Masoumifard

Neural networks for quantile claim amount estimation: a quantile regression approach pp. 30-50

Alessandro G. Laporta, Susanna Levantesi and Lea Petrella

Joint models for cause-of-death mortality in multiple populations pp. 51-77

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

Bao Doan, Jonathan J. Reeves and Michael Sherris

Detection and treatment of outliers for multivariate robust loss reserving pp. 102-125

Benjamin Avanzi, Mark Lavender, Greg Taylor and Bernard Wong

Lapse risk modeling in insurance: a Bayesian mixture approach pp. 126-151

Viviana G. R. Lobo, Thaís C. O. Fonseca and Mariane B. Alves

Individual life insurance during epidemics pp. 152-175

Laura Francis and Mogens Steffensen

Error propagation and attribution in simulation-based capital models pp. 176-204

Daniel J. Crispin

Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio pp. 205-236

Stefano Cotticelli and Nino Savelli