Annals of Actuarial Science

2006 - 2021

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Volume 14, issue 2, 2020

Longevity trend risk over limited time horizons pp. 262-277

Stephen J. Richards, Iain D. Currie, Torsten Kleinow and Gavin P. Ritchie

Asymmetry in mortality volatility and its implications on index-based longevity hedging pp. 278-301

Kenneth Q. Zhou and Johnny Siu-Hang Li

Optimal portfolio choice with tontines under systematic longevity risk pp. 302-315

Irina Gemmo, Ralph Rogalla and Jan-Hendrik Weinert

Linking annuity benefits to the longevity experience: alternative solutions pp. 316-337

Annamaria Olivieri and Ermanno Pitacco

Variability in pension products: a comparison study between The Netherlands and Denmark pp. 338-357

Anne G. Balter, Malene Kallestrup-Lamb and Jesper Rangvid

An investigation into the impact of deprivation on demographic inequalities in adults pp. 358-383

Les Mayhew, Gillian Harper and Andrés M. Villegas

Mortality in the US by education level pp. 384-419

Cristian Redondo Lourés and Andrew J. G. Cairns

Mortality data reliability in an internal model pp. 420-444

Fabrice Balland, Alexandre Boumezoued, Laurent Devineau, Marine Habart and Tom Popa

CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family pp. 445-460

Kevin Dowd, Andrew J. G. Cairns and David Blake

Identifiability in age/period mortality models pp. 461-499

Andrew Hunt and David Blake

Identifiability in age/period/cohort mortality models pp. 500-536

Andrew Hunt and David Blake

Constraints, the identifiability problem and the forecasting of mortality pp. 537-566

Iain D. Currie

Volume 14, issue 1, 2020

Alternative modelling and inference methods for claim size distributions pp. 1-19

Mathias Raschke

A graphical model approach to simulating economic variables over long horizons pp. 20-41

Jaideep S. Oberoi, Aniketh Pittea and Pradip Tapadar

Insurance ratemaking using the Exponential-Lognormal regression model pp. 42-71

George Tzougas, Woo Hee Yik and Muhammad Waqar Mustaqeem

Forecasting health expenses using a functional data model pp. 72-82

Jens Piontkowski

The effect of retirement taxation rules on the value of guaranteed lifetime withdrawal benefits pp. 83-92

Eric R. Ulm

Estimation of conditional mean squared error of prediction for claims reserving pp. 93-128

Mathias Lindholm, Filip Lindskog and Felix Wahl

The profiles of public and private patients in maternal healthcare: a longitudinal study to examine adverse selection pp. 129-137

Jananie William, Bronwyn Loong, Catherine Chojenta and Deborah Loxton

Yet more on a stochastic economic model: Supplement to Part 4: A model for share earnings, dividends and prices pp. 138-149

A. D. Wilkie and Åžule Åžahin

Forecasting age distribution of death counts: an application to annuity pricing pp. 150-169

Han Lin Shang and Steven Haberman

Risk management with Tail Quasi-Linear Means pp. 170-187

Bäuerle, Nicole and Tomer Shushi

Fair-value analytical valuation of reset executive stock options consistent with IFRS9 requirements pp. 188-218

Otto Konstandatos