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 7, issue 2, 2013

Optimal premium pricing policy in a competitive insurance market environment pp. 175-191

Athanasios A. Pantelous and Eudokia Passalidou

Do not pay for a Danish interest guarantee. The law of the triple blow pp. 192-209

Montserrat Guillén, Agnieszka Karolina Konicz, Jens Perch Nielsen and Ana M. Pérez-Marín

Consumption, investment and life insurance under different tax regimes pp. 210-235

Kenneth Bruhn

Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives pp. 236-257

Jaap Spreeuw and Iqbal Owadally

Actuarial Applications of Multivariate Two-Part Regression Models pp. 258-287

Edward W. Frees, Xiaoli Jin and Xiao Lin

Effects of scheme default insurance on decisions and financial outcomes in defined benefit pension schemes pp. 288-305

Adam Butt

PAPERS FROM ACTUARIAL JOURNALS WORLDWIDE pp. 306-344

Anonymous

Risk Modelling in General Insurance, Roger J. Gray, Susan M. Pitts, Cambridge University Press, 2012, 393 pp. (hardback). ISBN: 9780521863940 pp. 345-346

David C.M. Dickson

Loss Models: From Data to Decisions, 4th Edition, by Stuart A. Klugman, Harry H. Panjer and Gordon E. Willmot: Wiley Series in Probability and Statistics, 2012, 512pp. ISBN: 978-1-118-31532-3 pp. 347-348

Feifei Zhang

Statistical methods with applications to demography and life insurance, Estáte V. Khmaladze, Chapman and Hall/CRC, 2013, 242pp., £49.99. ISBN978-1466505735 pp. 349-350

Himanshu Garg

Volume 7, issue 1, 2013

Dependence modelling in multivariate claims run-off triangles pp. 3-25

Michael Merz, Mario V. Wüthrich and Enkelejd Hashorva

Diversification in heavy-tailed portfolios: properties and pitfalls pp. 26-45

Georg Mainik and Paul Embrechts

Economic capital modelling for the MTPL man-made catastrophe risk pp. 46-60

Werner Hürlimann

A scaling model for severity of operational losses using generalized additive models for location scale and shape (GAMLSS) pp. 61-100

Amandha Ganegoda and John Evans

PAPERS FROM ACTUARIAL JOURNALS WORLDWIDE pp. 101-148

Anonymous

Enterprise Risk Management: Today's Leading Research and Best Practices for Tomorrow's Executives, John Fraser, Betty J. Simkins, John Wiley & Sons, 2010, 577pp. (hardback), £70.00. ISBN: 978-0-470-49908-5 pp. 149-150

Dean Dwonczyk

Stress Testing for Financial Institutions: Applications, Regulations and Techniques, edited by Daniel Rösch, Harald Scheule, Risk Books, 2008, 457pp. £99.00. ISBN: 978-1-906348-11-3 pp. 151-152

Robert Jarvis

The Solvency II Handbook, Developing ERM Frameworks in Insurance and Reinsurance Companies, edited by Marcelo Cruz, Risk Books, 2009, 614pp. (paperback), £145.00. ISBN: 978-1-906348-19-9 pp. 153-154

Ameet Hathi

Managing Business Risk: a practical guide to protecting your business, edited by Jonathan Reuvid, Kogan Page Ltd; 8th edition (2012), 274pp., £50.00 (US$99.00). ISBN: 9780749462826 pp. 155-157

Aditi Parekh

Executive's Guide to Solvency II, David Buckham, Jason Wahl Stuart Rose, John Wiley & Sons, 2011, 194pp. (hardback), £65.00. ISBN: 978-0-470-54572-0 pp. 158-159

Brett Malyon

Counterparty Credit Risk: Measurement, Pricing and Hedging, edited by Eduardo Canabarro, Risk Books, 2009, 356pp., £125.00. ISBN: 978-1-906348-34-2 pp. 160-161

David O. Forfar

Bank and insurance capital management, Frans de Weert, Chichester: Wiley Finance, 2011, 246pp. (hardback), £45.00. ISBN: 978-0-470-66477-3 pp. 162-163

Brett Malyon

Financial Enterprise Risk Management, Paul Sweeting, Cambridge University Press, 2011, 562pp. (hardback), £70.00. ISBN9780521111645 pp. 164-166

Patrick Kelliher

Quantitative Operational Risk Models, Catalina Bolancé, Montserrat Guillén, Jim Gustafsson, and Jens Perch Nielsen, Chapman & Hall/CRC Finance series, 2012, 209pp. (hardback), £44.99. ISBN9781439895924 pp. 167-168

Alan Penman

Volume 6, issue 2, 2012

A Semi-Markov Multiple State Model for Reverse Mortgage Terminations pp. 235-257

Min Ji, Mary Hardy and Johnny Siu-Hang Li

Bayesian over-dispersed Poisson model and the Bornhuetter & Ferguson claims reserving method pp. 258-283

Peter D. England, Richard J. Verrall and Mario V. Wüthrich

A Bayesian smoothing spline method for mortality modelling pp. 284-306

Arto Luoma, Anne Puustelli and Lasse Koskinen

Computational intelligence with applications to general insurance: a review pp. 307-343

Pietro Parodi

Computational intelligence with applications to general insurance: a review pp. 344-380

Pietro Parodi

Bayesian prediction of disability insurance frequencies using economic indicators pp. 381-400

C. Donnelly and Mario V. Wüthrich

PAPERS FROM ACTUARIAL JOURNALS WORLDWIDE pp. 401-438

Anonymous

Stochastic Processes, Richard F. Bass, Cambridge University Press, 2011, 390pp. (hardback), £45.00. ISBN9781107008007 pp. 439-440

Philip Grundey

Good Governance for Pension Schemes, Paul Thornton and Donald Fleming, Cambridge University Press, 2011, 310pp. (hardback), £95.00. ISBN9780521761611 pp. 441-443

Suzi Lowther

An Elementary Introduction to Mathematical Finance, Sheldon M. Ross, Cambridge University Press; 3rd Edition (2011), 305pp. (hardback), £35.00. ISBN9780521192538 pp. 444-444

Gautam Kakar

Volume 6, issue 1, 2012

The divergent approaches of English and South African courts, when considering actuarial expert testimony in the matter of an award for damages for future loss of earnings after a damage-causing event pp. 5-22

H.L.M. du Plessis

The construction of the claims reserve distribution by means of a semi-Markov backward simulation model pp. 23-64

Fulvio Gismondi, Jacques Janssen and Raimondo Manca

A credibility method for profitable cross-selling of insurance products pp. 65-75

Fredrik Thuring

Causes of defined benefit pension scheme funding ratio volatility and average contribution rates pp. 76-102

Adam Butt

Catastrophes and Insurance Stocks – A Benchmarking Approach for Measuring Efficiency pp. 103-136

Jason West

A comparison of three different pension savings products with special emphasis on the payout phase pp. 137-152

Peter Jørgensen and Per Linnemann

An analysis of stock market volatility pp. 153-170

Andrew Adams, Seth Armitage and Adrian FitzGerald

Papers from actuarial journals worldwide pp. 171-219

Anonymous

Risk and Precaution, Alan Randall, Cambridge University Press; 1st edition (2011), 278pp. (paperback), £18.99. ISBN: 9780521759199 pp. 220-222

Therese Kieve

Terje Aven, Quantitative Risk Assessment – The Scientific Platform, Cambridge University Press, 2011, 211pp. (£35 hardback, £25 e-book [kindle]). ISBN: 978-0-521-76057-7 pp. 223-225

John Birkenhead

Modelling income protection claim termination rates by cause of sickness, Parts I and II – CORRIGENDUM pp. 226-230

S. Y. Ling, H. R. Waters and A. D. Wilkie

Volume 5, issue 2, 2011

A Trend-Change Extension of the Cairns-Blake-Dowd Model pp. 143-162

P. J. Sweeting

Matrix-form Recursive Evaluation of the Aggregate Claims Distribution Revisited pp. 163-179

Kok Keng Siaw, Xueyuan Wu, David Pitt and Yan Wang

A Bayesian Approach to Parameter Estimation for Kernel Density Estimation via Transformations pp. 181-193

Qing Liu, David Pitt, Xibin Zhang and Xueyuan Wu

Minimizing the ruin probability through capital injections pp. 195-209

Ciyu Nie, David C. M. Dickson and Shuanming Li

A Natural Hedge for Equity Indexed Annuities pp. 211-230

Carole Bernard and Phelim P. Boyle

Automated Graduation using Bayesian Trans-dimensional Models pp. 231-251

R.J. Verrall and S. Haberman

Papers from Actuarial Journals Worldwide pp. 253-292

Anonymous

Chapman & Hall/CRC Financial Mathematics Series - Christian Bluhm, Ludger Overbeck and Christoph Wagner, An Introduction To Credit Risk Modelling, Chapman & Hall/CRC Financial Mathematics Series, 2010, 364pp. (hardback), £49.99 ($79.95). ISBN: 9781584889922 pp. 293-296

Tafadzwa Gwanoya

Donald Mackenzie, An Engine, Not a Camera: How Financial Models Shape Markets, MIT Press (Inside Technology Series), 2008, 389pp., £31.95 ($43.00). ISBN: 9780262134606 pp. 297-298

Timothy Johnson

Arne Sandström, Handbook of solvency for actuaries and risk managers (theory and practice), Chapman & Hall/CRC, 2010, 1055pp. (hardback), £89.00 ($139.95). ISBN: 9781439821305 pp. 299-300

Moira Casey

Rob Thoyts, Insurance Theory and Practice, Taylor & Francis, 2010, 323pp. (paperback), £34.99 ($55.99). ISBN: 9780415559058 pp. 301-301

Helen Jenkins

Ralf Korn, Elke Korn and Gerald Kroisandt, Monte Carlo Methods and Models in Finance and Insurance, CRC Press, 2010, 470pp. (hardback), £57.99 ($89.95). ISBN: 9781420076189 pp. 303-304

Neil Meldrum

Edited by Marco Micocci, Greg N. Gregoriou and Giovanni Batista Masala, Pension Fund Risk Management Financial and Actuarial Modeling, Chapman & Hall/CRC, 2010, 728pp. (hardback), £63.99. ISBN: 9781439817520 pp. 305-306

John Hatchett

Michael J. Best, Portfolio Optimization, Chapman & Hall/CRC Finance, 2010, 236pp. (hardback), £49.99. ISBN: 9781420085846 pp. 307-308

David Comerford

Claudio Franzetti, Operational Risk Modelling and Management, Chapman & Hall/CRC finance series, 2011, 389pp. (hardback), £116.60 ($99.95). ISBN: 9781439844762 pp. 309-311

Andrew Couper

International Actuarial Association, Stochastic Modeling: Theory and Reality from an Actuarial Perspective, 2010, 418pp. or electronic, CAD$ 36.00. ISBN: 9780981396828 pp. 313-315

Emiliano A. Valdez

Volume 5, issue 1, 2011

Prediction Uncertainty in the Bornhuetter-Ferguson Claims Reserving Method: Revisited pp. 7-17

D. H. Alai, M. Merz and M. V. Wüthrich

Mortality Projections using Generalized Additive Models with applications to annuity values for the Irish population pp. 19-32

M. Hall and N. Friel

Smoothing dispersed counts with applications to mortality data pp. 33-52

V. A. B. Djeundje and I. D. Currie

Yet More on a Stochastic Economic Model: Part 1: Updating and Refitting, 1995 to 2009 pp. 53-99

A. D. Wilkie, Şule Şahin, A. J. G. Cairns and Torsten Kleinow

Papers from Actuarial Journals Worldwide pp. 101-135

Anonymous

G. A. (Sandy) Mackenzie, The decline of the traditional pension: A comparative study of threats to retirement security, Cambridge University Press, 2010, 279pp. (hardback), £55.00 (US$85.00). ISBN: 9780521518475 pp. 137-138

Darryl Brundle