Annals of Actuarial Science

2006 - 2018

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

Volume 10, issue 02, 2016

The quantification of type-2 prudence in asset allocation by the trustees of a retirement fund pp. 169-202

Robert J. Thomson and Taryn L. Reddy

Aggregation of 1-year risks in life and disability insurance pp. 203-221

Boualem Djehiche and Björn Löfdahl

Modelling the reverse select and ultimate mortality experience of UK ill-health retirement occupational pension scheme members pp. 222-235

Mary Hall and Linda Daly

On the joint analysis of the total discounted payments to policyholders and shareholders: threshold dividend strategy pp. 236-269

Eric C.K. Cheung and Haibo Liu

An application of Markov chain Monte Carlo (MCMC) to continuous-time incurred but not yet reported (IBNYR) events pp. 270-284

Garfield O. Brown and Winston S. Buckley

LOESS smoothed density estimates for multivariate survival data subject to censoring and masking pp. 285-302

Peter Adamic and Jenna Guse

The fuzzy Bornhuetter–Ferguson method: an approach with fuzzy numbers pp. 303-321

Jochen Heberle and Anne Thomas

Volume 10, issue 01, 2016

Yet more on a stochastic economic model: part 2: initial conditions, select periods and neutralising parameters pp. 1-51

A. D. Wilkie and Şule Şahin

Optimal design of a bonus-malus system: linear relativities revisited pp. 52-64

Chong It Tan

Optimal reinsurance under multiple attribute decision making pp. 65-86

Başak Bulut Karageyik and David C.M. Dickson

Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas pp. 87-117

Benjamin Avanzi, Jamie Tao, Bernard Wong and Xinda Yang

Pricing in General Insurance, Pietro Parodi, CRC Press, 2015, 560pp. (hardback), £56.99. ISBN: 9781466581449 pp. 118-119

Alan Chalk