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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 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

Volume 10, issue 02, 2016

The quantification of type-2 prudence in asset allocation by the trustees of a retirement fund pp. 169-202 Downloads
Robert J. Thomson and Taryn L. Reddy
Aggregation of 1-year risks in life and disability insurance pp. 203-221 Downloads
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 Downloads
Mary Hall and Linda Daly
On the joint analysis of the total discounted payments to policyholders and shareholders: threshold dividend strategy pp. 236-269 Downloads
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 Downloads
Garfield O. Brown and Winston S. Buckley
LOESS smoothed density estimates for multivariate survival data subject to censoring and masking pp. 285-302 Downloads
Peter Adamic and Jenna Guse
The fuzzy Bornhuetter–Ferguson method: an approach with fuzzy numbers pp. 303-321 Downloads
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 Downloads
A. D. Wilkie and Şule Şahin
Optimal design of a bonus-malus system: linear relativities revisited pp. 52-64 Downloads
Chong It Tan
Optimal reinsurance under multiple attribute decision making pp. 65-86 Downloads
Başak Bulut Karageyik and David C.M. Dickson
Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas pp. 87-117 Downloads
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 Downloads
Alan Chalk
Page updated 2018-12-08