ASTIN Bulletin

1958 - 2025

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 55, issue 2, 2025

Assessing driving risk through unsupervised detection of anomalies in telematics time series data pp. 205-241

Ian Weng Chan, Andrei L. Badescu and X. Sheldon Lin

Risk modeling of property insurance claims from weather events pp. 242-262

Lisa Gao and Peng Shi

Market-based insurance ratemaking: Application to pet insurance pp. 263-286

Pierre-Olivier Goffard, Pierrick Piette and Gareth W. Peters

A maximum likelihood approach for uncertain volumes in the additive reserving model pp. 287-312

Ulrich Riegel

Mortality forecasting via multi-task neural networks pp. 313-331

Luca De Mori, Steven Haberman, Pietro Millossovich and Rui Zhu

Joint mortality models based on subordinated linear hypercubes pp. 332-351

Domenico De Giovanni, Marco Pirra and Fabio Viviano

Dynamic tonuity: Adapting retirement benefits to a changing environment pp. 352-373

An Chen, Yusha Chen and Manuel Rach

Improving healthcare cost prediction for chronic disease through covariate clustering and subgroup analysis methods pp. 374-394

Zhengxiao Li, Yifan Huang and Yang Cao

Incident-specific cyber insurance pp. 395-425

Wing Fung Chong, Daniël Linders, Zhiyu Quan and Linfeng Zhang

Cybersecurity investments and cyber insurance purchases in a non-cooperative game pp. 426-448

Tim J. Boonen, Yang Feng and Zhiwei Tong

Conditional expectations given the sum of independent random variables with regularly varying densities pp. 449-485

Michel Denuit, Patricia Ortega-Jiménez and Christian-Yann Robert

Volume 55, issue 1, 2025

Weekly dynamic motor insurance ratemaking with a telematics signals bonus-malus score pp. 1-28

Juan Sebastian Yanez, Montserrat Guillén and Jens Perch Nielsen

Individual claims reserving using the Aalen–Johansen estimator pp. 29-49

Martin Bladt and Gabriele Pittarello

An Augmented Variable Dirichlet Process mixture model for the analysis of dependent lifetimes pp. 50-75

Francesco Ungolo and Patrick J. Laub

Yield curve extrapolation with machine learning pp. 76-96

Shinobu Akiyama and Naoki Matsuyama

Forecasting mortality rates with functional signatures pp. 97-120

Zhong Jing Yap, Dharini Pathmanathan and Sophie Dabo-Niang

Asymptotics for the conditional higher moment coherent risk measure with weak contagion pp. 121-143

Jiajun Liu and Qingxin Yi

Tail variance for generalised hyper-elliptical models pp. 144-167

Katja Ignatieva and Zinoviy Landsman

A note on continuity and asymptotic consistency of measures of risk and variability pp. 168-177

Niushan Gao and Foivos Xanthos

Two stackelberg games in life insurance: Mean-variance criterion pp. 178-203

Xiaoqing Liang and Virginia R. Young

Volume 54, issue 3, 2024

Multiple yield curve modeling and forecasting using deep learning pp. 463-494

Ronald Richman and Salvatore Scognamiglio

A data science approach to climate change risk assessment applied to pluvial flood occurrences for the United States and Canada pp. 495-517

Mathilde Bourget, Mathieu Boudreault, David A. Carozza, Jérémie Boudreault and Sébastien Raymond

Generic framework for a coherent integration of experience and exposure rating in reinsurance pp. 518-545

Stefan Bernegger

Optimal defined-contribution pension management with financial and mortality risks pp. 546-568

Wenyuan Li and Pengyu Wei

Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products pp. 569-599

Griselda Deelstra, Pierre Devolder and Benjamin Roelants du Vivier

Optimal surrender policy for reverse mortgage loans pp. 600-625

Carole Bernard, Adam Kolkiewicz and Junsen Tang

Optimal annuitization under stochastic interest rates pp. 626-651

Yannick Dillschneider, Raimond Maurer and Peter Schober

Multidimensional credibility: A new approach based on joint distribution function pp. 652-678

Limin Wen, Wei Liu and Yiying Zhang

A study of one-factor copula models from a tail dependence perspective pp. 679-711

Nariankadu Shyamalkumar and Siyang Tao

Tail risk driven by investment losses and exogenous shocks pp. 712-737

Xinyue Man and Qihe Tang

Optimal reinsurance design under distortion risk measures and reinsurer’s default risk with partial recovery pp. 738-766

Yaodi Yong, Ka Chun Cheung and Yiying Zhang

Strategic underreporting and optimal deductible insurance pp. 767-790

Jingyi Cao, Dongchen Li, Virginia R. Young and Bin Zou

Calculating premium principles from the mode of a unimodal weighted distribution pp. 791-803

Georgios Psarrakos

Volume 54, issue 2, 2024

Machine Learning with High-Cardinality Categorical Features in Actuarial Applications pp. 213-238

Benjamin Avanzi, Greg Taylor, Melantha Wang and Bernard Wong

Telematics combined actuarial neural networks for cross-sectional and longitudinal claim count data pp. 239-262

Francis Duval, Jean-Philippe Boucher and Mathieu Pigeon

Integration of traditional and telematics data for efficient insurance claims prediction pp. 263-279

Hashan Peiris, Himchan Jeong, Jae-Kwang Kim and Hangsuck Lee

A representation-learning approach for insurance pricing with images pp. 280-309

Christopher Blier-Wong, Luc Lamontagne and Etienne Marceau

Mack’s estimator motivated by large exposure asymptotics in a compound poisson setting pp. 310-326

Nils Engler and Filip Lindskog

Expressive mortality models through Gaussian process kernels pp. 327-359

Jimmy Risk and Mike Ludkovski

A Markov multiple state model for epidemic and insurance modelling pp. 360-384

Minh-Hoang Tran

Fair valuations of insurance policies under multiple risk factors: A flexible lattice approach pp. 385-409

Pierre Devolder, Emilio Russo and Alessandro Staino

Signature-based validation of real-world economic scenarios pp. 410-440

Hervé Andrès, Alexandre Boumezoued and Benjamin Jourdain

Optimal insurance with counterparty and additive background risk pp. 441-462

Yanhong Chen

Volume 54, issue 1, 2024

Microscopic traffic models, accidents, and insurance losses pp. 1-24

Sojung Kim, Marcel Kleiber and Stefan Weber

Construction of rating systems using global sensitivity analysis: A numerical investigation pp. 25-45

Arianna Vallarino, Giovanni Rabitti and Amir Khorrami Chokami

Multi-population mortality modelling: a Bayesian hierarchical approach pp. 46-74

Jianjie Shi, Yanlin Shi, Pengjie Wang and Dan Zhu

Optimal VIX-linked structure for the target benefit pension plan pp. 75-93

Lv Chen, Danping Li, Yumin Wang and Xiaobai Zhu

Optimal performance of a tontine overlay subject to withdrawal constraints pp. 94-128

Peter A. Forsyth, Kenneth R. Vetzal and Graham Westmacott

Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer pp. 129-158

Yevhen Havrylenko, Maria Hinken and Rudi Zagst

Pricing and hedging of longevity basis risk through securitisation pp. 159-184

Fadoua Zeddouk and Pierre Devolder

Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits pp. 185-212

Jennifer Alonso-García, Michael Sherris, Samuel Thirurajah and Jonathan Ziveyi