Annals of Actuarial Science

2006 - 2023

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 17, issue 1, 2023

SPLICE: a synthetic paid loss and incurred cost experience simulator pp. 7-35

Benjamin Avanzi, Greg Taylor and Melantha Wang

Bonus-Malus Scale models: creating artificial past claims history pp. 36-62

Jean-Philippe Boucher

The moments of the time of ruin in Sparre Andersen risk models pp. 63-82

David C.M. Dickson

Modelling the burden of long-term care for institutionalised elderly based on care duration and intensity pp. 83-117

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

Filippo Siegenthaler

Panjer class revisited: one formula for the distributions of the Panjer (a,b,n) class pp. 145-169

Michael Fackler

Less-expensive long-term annuities linked to mortality, cash and equity pp. 170-207

Kevin Fergusson and Eckhard Platen

Benchmarks for the benchmark approach to valuing long-term insurance liabilities: comment on Fergusson & Platen (2023) pp. 208-211

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

Stephen J. Richards

A multi-parameter-level model for simulating future mortality scenarios with COVID-alike effects pp. 453-477

Rui Zhou and Johnny Siu-Hang Li

COVID-19 accelerated mortality shocks and the impact on life insurance: the Italian situation pp. 478-497

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

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

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

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

David Rowell, Son Nghiem and Luke Connelly

Pricing insurance policies with offsetting relationship pp. 261-287

Hamza Hanbali

Pricing insurance policies with offsetting relationship – ERRATUM pp. 288-288

Hamza Hanbali

Functional disability with systematic trends and uncertainty: a comparison between China and the US pp. 289-318

Yu Fu, Michael Sherris and Mengyi Xu

Dynamic importance allocated nested simulation for variable annuity risk measurement pp. 319-348

Ou Dang, Mingbin Feng and Mary R. Hardy

On RVaR-based optimal partial hedging pp. 349-366

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

Saman Vahabi and Amir T. Payandeh Najafabadi

On the integration of deterministic opinions into mortality smoothing and forecasting pp. 384-400

Viani Biatat Djeundje

Bayesian vine copulas for modelling dependence in data breach losses pp. 401-424

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

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

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

Jackie Li, Uditha Balasooriya and Jia Liu

Mortality forecasting using a Lexis-based state-space model pp. 519-548

Patrik Andersson and Mathias Lindholm

Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes pp. 549-566

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

Hongxuan Yan, Gareth W. Peters and Jennifer Chan

Extracting information from textual descriptions for actuarial applications pp. 605-622

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

Jiwook Jang and Rosy Oh

Volume 15, issue 2, 2021

AI in actuarial science – a review of recent advances – part 1 pp. 207-229

Ronald Richman

AI in actuarial science – a review of recent advances – part 2 pp. 230-258

Ronald Richman

A neural network model for solvency calculations in life insurance pp. 259-275

Lucio Fernandez-Arjona

Clustering driving styles via image processing pp. 276-290

Rui Zhu and Mario V. Wüthrich

Statistical features of persistence and long memory in mortality data pp. 291-317

Gareth W. Peters, Hongxuan Yan and Jennifer Chan

Multi-output Gaussian processes for multi-population longevity modelling pp. 318-345

Nhan Huynh and Mike Ludkovski

A neural network extension of the Lee–Carter model to multiple populations pp. 346-366

Ronald Richman and Mario V. Wüthrich

A spatial machine learning model for analysing customers’ lapse behaviour in life insurance pp. 367-393

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

Shadrack Kwasa and Daniel Jones

LRMoE.jl: a software package for insurance loss modelling using mixture of experts regression model pp. 419-440

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

Sen Hu, T. Brendan Murphy and O’Hagan, Adrian

Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis pp. 458-483

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

David C. Bowie

Multivariate Hawkes process for cyber insurance pp. 14-39

Yannick Bessy-Roland, Alexandre Boumezoued and Caroline Hillairet

Healthy life expectancy in China: Modelling and implications for public and private insurance pp. 40-56

Han Li, Katja Hanewald and Shang Wu

On the use of Archimedean copulas for insurance modelling pp. 57-81

Thilini Dulanjali Kularatne, Jackie Li and David Pitt

Home and Motor insurance joined at a household level using multivariate credibility pp. 82-114

Florian Pechon, Michel Denuit and Julien Trufin

Valuation of no-negative-equity guarantees with a lower reflecting barrier pp. 115-143

R. Guy Thomas

Fitting multi-population mortality models to socio-economic groups pp. 144-172

Jie Wen, Andrew J.G. Cairns and Torsten Kleinow

On unbalanced data and common shock models in stochastic loss reserving pp. 173-203

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

M. Hall and N. Friel