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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 Downloads
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 Downloads
Kangjing Tan and Aaron Bruhn
Real-time Bayesian non-parametric prediction of solvency risk pp. 67-79 Downloads
Liang Hong and Ryan Martin
An analysis of power law distributions and tipping points during the global financial crisis pp. 80-91 Downloads
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 Downloads
A. D. Wilkie and Şule Şahin
Cohort effects in mortality modelling: a Bayesian state-space approach pp. 109-144 Downloads
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 Downloads
Katja Hanewald, Han Li and Adam W. Shao
Assessing basis risk in index-based longevity swap transactions pp. 166-197 Downloads
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 Downloads
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 Downloads
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 Downloads
Gemma Gregson

Volume 12, issue 02, 2018

Foreword to the RARE Programme pp. 207-208 Downloads
Paul Embrechts
Foreword by the Guest Editors of the RARE special issue pp. 209-210 Downloads
Corina Constantinescu, Enkelejd Hashorva and Marie Kratz
A change of paradigm for the insurance industry pp. 211-232 Downloads
Michel Dacorogna
A simple isochore model evidencing regulation risk pp. 233-248 Downloads
J. Lévy Véhel
Dynamic risk measures for stochastic asset processes from ruin theory pp. 249-268 Downloads
Yasutaka Shimizu and Shuji Tanaka
Ruin probabilities in a Sparre Andersen model with dependency structure based on a threshold window pp. 269-295 Downloads
Eric C. K. Cheung, Suhang Dai and Weihong Ni
A plan of capital injections based on the claims frequency pp. 296-325 Downloads
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 Downloads
Huanqun Jiang
Non-parametric estimation for a pure-jump Lévy process pp. 338-349 Downloads
Chunhao Cai, Junyi Guo and Honglong You
On age difference in joint lifetime modelling with life insurance annuity applications pp. 350-371 Downloads
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 Downloads
Ryan Timmer, John Paul Broussard and G. Geoffrey Booth
Mixture copulas and insurance applications pp. 391-411 Downloads
Maissa Tamraz
Asymptotic tail behaviour of phase-type scale mixture distributions pp. 412-432 Downloads
Rojas-Nandayapa, Leonardo and Wangyue Xie
Validation of aggregated risks models pp. 433-454 Downloads
Michel Dacorogna, Laila Elbahtouri and Marie Kratz
Conditional Monte Carlo for sums, with applications to insurance and finance pp. 455-478 Downloads
Søren Asmussen

Volume 12, issue 01, 2018

A stochastic Expectation–Maximisation (EM) algorithm for construction of mortality tables pp. 1-22 Downloads
Luz Judith R. Esparza and Baltazar-Larios, Fernando
Ruin problems in Markov-modulated risk models pp. 23-48 Downloads
David C.M. Dickson and Marjan Qazvini
The cost and value of UK pensions pp. 49-66 Downloads
Paul J. Sweeting
Yet more on a stochastic economic model: Part 4: a model for share earnings, dividends, and prices pp. 67-105 Downloads
A. D. Wilkie and Şule Şahin
An actuarial investigation into maternal hospital cost risk factors for public patients pp. 106-129 Downloads
Jananie William, Michael A. Martin, Catherine Chojenta and Deborah Loxton
An optimal multi-layer reinsurance policy under conditional tail expectation pp. 130-146 Downloads
Amir T. Payandeh Najafabadi and Ali Panahi Bazaz
Optimal reinsurance: a reinsurer’s perspective pp. 147-184 Downloads
Fei Huang and Honglin Yu
Projection models for health expenses pp. 185-203 Downloads
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 Downloads
Andrew Smith

Volume 11, issue 02, 2017

Telematic driving profile classification in car insurance pricing pp. 213-236 Downloads
Wiltrud Weidner, Fabian W.G. Transchel and Robert Weidner
Comparing the riskiness of dependent portfolios via nested L-statistics pp. 237-252 Downloads
Ranadeera G.M. Samanthi, Wei Wei and Vytaras Brazauskas
Explicitly incorporating virtues into actuarial education pp. 253-285 Downloads
Anthony Asher
Demographic risk in deep-deferred annuity valuation pp. 286-314 Downloads
Min Ji and Rui Zhou
An analysis of operational risk events in US and European Banks 2008–2014 pp. 315-342 Downloads
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 Downloads
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 Downloads
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 Downloads
Advait Kapadia

Volume 11, issue 01, 2017

Optimal strategies for a non-linear premium-reserve model in a competitive insurance market pp. 1-19 Downloads
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 Downloads
Fei Huang and Bridget Browne
Mortality forecasting using a modified CMI Mortality Projections Model for China II: cities, towns and counties pp. 46-66 Downloads
Fei Huang
A note on the optimal dividends paid in a foreign currency pp. 67-73 Downloads
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 Downloads
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 Downloads
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 Downloads
A. D. Wilkie and Şule Şahin
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