Annals of Actuarial Science

2006 - 2019

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 13, issue 01, 2019

An actuarial investigation into maternal out-of-hospital cost risk factors pp. 1-35

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

Kangjing Tan and Aaron Bruhn

Real-time Bayesian non-parametric prediction of solvency risk pp. 67-79

Liang Hong and Ryan Martin

An analysis of power law distributions and tipping points during the global financial crisis pp. 80-91

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

A. D. Wilkie and Şule Şahin

Cohort effects in mortality modelling: a Bayesian state-space approach pp. 109-144

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

Katja Hanewald, Han Li and Adam W. Shao

Assessing basis risk in index-based longevity swap transactions pp. 166-197

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

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, Cambridge Cambridge: Cambridge University Press, 2017 xii, 261 pp; ISBN:9781107111769 pp. 214-216

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

Gemma Gregson

Volume 12, issue 02, 2018

Foreword to the RARE Programme pp. 207-208

Paul Embrechts

Foreword by the Guest Editors of the RARE special issue pp. 209-210

Corina Constantinescu, Enkelejd Hashorva and Marie Kratz

A change of paradigm for the insurance industry pp. 211-232

Michel Dacorogna

A simple isochore model evidencing regulation risk pp. 233-248

J. Lévy Véhel

Dynamic risk measures for stochastic asset processes from ruin theory pp. 249-268

Yasutaka Shimizu and Shuji Tanaka

Ruin probabilities in a Sparre Andersen model with dependency structure based on a threshold window pp. 269-295

Eric C. K. Cheung, Suhang Dai and Weihong Ni

A plan of capital injections based on the claims frequency pp. 296-325

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

Huanqun Jiang

Non-parametric estimation for a pure-jump Lévy process pp. 338-349

Chunhao Cai, Junyi Guo and Honglong You

On age difference in joint lifetime modelling with life insurance annuity applications pp. 350-371

François Dufresne, 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

Ryan Timmer, John Paul Broussard and G. Geoffrey Booth

Mixture copulas and insurance applications pp. 391-411

Maissa Tamraz

Asymptotic tail behaviour of phase-type scale mixture distributions pp. 412-432

Rojas-Nandayapa, Leonardo and Wangyue Xie

Validation of aggregated risks models pp. 433-454

Michel Dacorogna, Laila Elbahtouri and Marie Kratz

Conditional Monte Carlo for sums, with applications to insurance and finance pp. 455-478

Søren Asmussen

Volume 12, issue 01, 2018

A stochastic Expectation–Maximisation (EM) algorithm for construction of mortality tables pp. 1-22

Luz Judith R. Esparza and Baltazar-Larios, Fernando

Ruin problems in Markov-modulated risk models pp. 23-48

David C.M. Dickson and Marjan Qazvini

The cost and value of UK pensions pp. 49-66

Paul J. Sweeting

Yet more on a stochastic economic model: Part 4: a model for share earnings, dividends, and prices pp. 67-105

A. D. Wilkie and Şule Şahin

An actuarial investigation into maternal hospital cost risk factors for public patients pp. 106-129

Jananie William, Michael A. Martin, Catherine Chojenta and Deborah Loxton

An optimal multi-layer reinsurance policy under conditional tail expectation pp. 130-146

Amir T. Payandeh Najafabadi and Ali Panahi Bazaz

Optimal reinsurance: a reinsurer’s perspective pp. 147-184

Fei Huang and Honglin Yu

Projection models for health expenses pp. 185-203

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

Andrew Smith

Volume 11, issue 02, 2017

Telematic driving profile classification in car insurance pricing pp. 213-236

Wiltrud Weidner, Fabian W.G. Transchel and Robert Weidner

Comparing the riskiness of dependent portfolios via nested L-statistics pp. 237-252

Ranadeera G.M. Samanthi, Wei Wei and Vytaras Brazauskas

Explicitly incorporating virtues into actuarial education pp. 253-285

Anthony Asher

Demographic risk in deep-deferred annuity valuation pp. 286-314

Min Ji and Rui Zhou

An analysis of operational risk events in US and European Banks 2008–2014 pp. 315-342

Yifei Li, Neil Allan and John Evans

A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting pp. 343-389

Man Chung Fung, Gareth W. Peters and Pavel V. Shevchenko

Application of bivariate negative binomial regression model in analysing insurance count data pp. 390-411

Feng Liu and David Pitt

Stochastic Interest Rates, Daragh McInerney and Tomasz Zastawniak, Cambridge University Press, Cambridge, August 2015, 169pp. (paperback), ISBN: 9780521175692 pp. 420-421

Advait Kapadia

Volume 11, issue 01, 2017

Optimal strategies for a non-linear premium-reserve model in a competitive insurance market pp. 1-19

Athanasios A. Pantelous and Eudokia Passalidou

Mortality forecasting using a modified Continuous Mortality Investigation Mortality Projections Model for China I: methodology and country-level results pp. 20-45

Fei Huang and Bridget Browne

Mortality forecasting using a modified CMI Mortality Projections Model for China II: cities, towns and counties pp. 46-66

Fei Huang

A note on the optimal dividends paid in a foreign currency pp. 67-73

Julia Eisenberg and Paul Krühner

Yet more on a stochastic economic model: Part 3A: stochastic interpolation: Brownian and Ornstein–Uhlenbeck (OU) bridges pp. 74-99

A. D. Wilkie and Şule Şahin

Yet more on a stochastic economic model: Part 3B: stochastic bridging for retail prices and wages pp. 100-127

A. D. Wilkie and Şule Şahin

Yet more on a stochastic economic model: Part 3C: stochastic bridging for share yields and dividends and interest rates pp. 128-163

A. D. Wilkie and Şule Şahin