Annals of Actuarial Science

2006 - 2024

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

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

Nicole Bäuerle and Tomer Shushi

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

Otto Konstandatos

Volume 13, issue 2, 2019

The design of pension contracts: on the perspective of customers pp. 219-240

Zhaoxun Mei

Beta transform and discounted aggregate claims under dependency pp. 241-267

Zhehao Zhang and Shuanming Li

Optimal proportional reinsurance with common shock dependence to minimise the probability of drawdown pp. 268-294

Xia Han, Zhibin Liang and Caibin Zhang

An analysis of the feasibility of an extreme operational risk pool for banks pp. 295-307

Yifei Li, Neil Allan and John Evans

An identity based on the generalised negative binomial distribution with applications in ruin theory pp. 308-319

David C. M. Dickson

A review of global banking regulation under an assumption of complexity pp. 320-333

John Evans and Yifei Li

Back-testing the chain-ladder method pp. 334-359

Andrea Gabrielli and Mario V. Wüthrich

Analysis of financial events under an assumption of complexity pp. 360-377

Yifei Li and John Evans

Multivariate credibility modelling for usage-based motor insurance pricing with behavioural data pp. 378-399

Michel Denuit, Montserrat Guillen and Julien Trufin

Methods for generating coherent distortion risk measures pp. 400-416

Ranadeera G.M. Samanthi and Jungsywan Sepanski

Implementing Enterprise Risk Management – From Methods to Applications, James Lam, Wiley, 2017, 432pp. (hardback), £80. ISBN 9780471745198 pp. 417-419

Mayukh Gayen

Loss Coverage: Why Insurance Works Better with Some Adverse Selection, Edited by R. Guy Thomas, Cambridge: Cambridge University Press, 2018, 274pp, ISBN: 978-1-107-49590-6 pp. 420-425

Michael Hoy

Loss Coverage: Why Insurance Works Better with Some Adverse Selection, Edited by R. Guy Thomas, Cambridge: Cambridge University Press, 2018, 274pp, ISBN: 978-1-107-49590-6 – ERRATUM pp. 426-426

Michael Hoy

Volume 13, issue 1, 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, CambridgeCambridge: 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 2, 2018

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 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

Leonardo Rojas-Nandayapa 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 1, 2018

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

Luz Judith R. Esparza and Fernando Baltazar-Larios

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 Payandeh 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