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 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

Volume 53, issue 3, 2023

Risk management with local least squares Monte Carlo pp. 489-514

Donatien Hainaut and Adnane Akbaraly

Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization pp. 515-544

An Chen, Motonobu Kanagawa and Fangyuan Zhang

Target benefit versus defined contribution scheme: a multi-period framework pp. 545-579

Ping Chen, Haixiang Yao, Hailiang Yang and Dan Zhu

A hybrid data mining framework for variable annuity portfolio valuation pp. 580-595

Hyukjun Gweon and Shu Li

Ratemaking in a changing environment pp. 596-618

A. Nii-Armah Okine

Estimating the VaR-induced Euler allocation rule pp. 619-635

N.V. Gribkova, J. Su and R. Zitikis

Range-based risk measures and their applications pp. 636-657

Marcelo Righi and Fernanda Maria Müller

Optimal commissions and subscriptions in mutual aid platforms pp. 658-683

Yixing Zhao and Yan Zeng

Cyber insurance-linked securities pp. 684-705

Alexander Braun, Martin Eling and Christoph Jaenicke

Reinsurance games with $\boldsymbol{{n}}$ variance-premium reinsurers: from tree to chain pp. 706-728

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

Volume 53, issue 2, 2023

Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims pp. 185-212

Jonas Crevecoeur, Katrien Antonio, Stijn Desmedt and Alexandre Masquelein

The use of autoencoders for training neural networks with mixed categorical and numerical features pp. 213-232

Łukasz Delong and Anna Kozak

Premium control with reinforcement learning pp. 233-257

Lina Palmborg and Filip Lindskog

Tail index partition-based rules extraction with application to tornado damage insurance pp. 258-284

Arthur Maillart and Christian Y. Robert

Modelling socio-economic mortality at neighbourhood level pp. 285-310

Jie Wen, Andrew J.G. Cairns and Torsten Kleinow

Risk allocation through shapley decompositions, with applications to variable annuities pp. 311-331

Frédéric Godin, Emmanuel Hamel, Patrice Gaillardetz and Edwin Hon-Man Ng

Shortcuts for the construction of sub-annual life tables pp. 332-350

Jose M. Pavía and Josep Lledó

A calendar year mortality model in continuous time pp. 351-376

Donatien Hainaut

Survival energy models for mortality prediction and future prospects pp. 377-391

Yasutaka Shimizu, Kana Shirai, Yuta Kojima, Daiki Mitsuda and Mahiro Inoue

The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices pp. 392-417

Ayşe Arık, Ömür Uğur and Torsten Kleinow

The 3-step hedge-based valuation: fair valuation in the presence of systematic risks pp. 418-442

Daniël Linders

Worst-case moments under partial ambiguity pp. 443-465

Qihe Tang and Yunshen Yang

Measuring non-exchangeable tail dependence using tail copulas pp. 466-487

Takaaki Koike, Shogo Kato and Marius Hofert

Target benefit pension plan with longevity risk and intergenerational equity – CORRIGENDUM pp. 488-488

Ximin Rong, Cheng Tao and Hui Zhao

Volume 53, issue 1, 2023

Forecasting mortality rates with a coherent ensemble averaging approach pp. 2-28

Le Chang and Yanlin Shi

Modelling mortality: A bayesian factor-augmented var (favar) approach pp. 29-61

Yang Lu and Dan Zhu

A defined benefit pension plan model with stochastic salary and heterogeneous discounting pp. 62-83

Ricardo Josa-Fombellida, Paula López-Casado and Jorge Navas

Target benefit pension plan with longevity risk and intergenerational equity pp. 84-103

Ximin Rong, Cheng Tao and Hui Zhao

Optimal consumption, investment, and insurance under state-dependent risk aversion pp. 104-128

Mogens Steffensen and Julie Bjørner Søe

Distributionally robust reinsurance with expectile pp. 129-148

Xinqiao Xie, Haiyan Liu, Tiantian Mao and Xiao Bai Zhu

Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion pp. 149-183

Tak Wa Ng and Thai Nguyen