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Annals of Actuarial Science

2006 - 2021

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

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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

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
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