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ASTIN Bulletin: The Journal of the International Actuarial Association

1958 - 2018

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

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Volume 48, issue 02, 2018

A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST pp. 481-508 Downloads
Donatien Hainaut
SMOOTHING POISSON COMMON FACTOR MODEL FOR PROJECTING MORTALITY JOINTLY FOR BOTH SEXES pp. 509-541 Downloads
David Pitt, Jackie Li and Tian Kang Lim
AGE-SPECIFIC ADJUSTMENT OF GRADUATED MORTALITY pp. 543-569 Downloads
Yahia Salhi and Pierre-E. Thérond
ON INTEGRATED CHANCE CONSTRAINTS IN ALM FOR PENSION FUNDS pp. 571-609 Downloads
Youssouf A. F. Toukourou and François Dufresne
LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK pp. 611-646 Downloads
Denis-Alexandre Trottier, Frédéric Godin and Emmanuel Hamel
ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS pp. 647-672 Downloads
Benjamin Avanzi, Lars Frederik Brandt Henriksen and Bernard Wong
SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION pp. 673-698 Downloads
Alexandru V. Asimit and Jinzhu Li
A GENERALIZED LOSS RATIO METHOD DEALING WITH UNCERTAIN VOLUME MEASURES pp. 699-747 Downloads
Ulrich Riegel
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING pp. 749-777 Downloads
Gilles Dupin, Emmanuel Koenig, Pierre Le Moine, Alain Monfort and Eric Ratiarison
SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH pp. 779-815 Downloads
Wenjun Zhu, Ken Seng Tan, Lysa Porth and Chou-Wen Wang
ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES pp. 817-839 Downloads
Yiying Zhang, Xiaohu Li and Ka Chun Cheung
ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION pp. 841-870 Downloads
Maissa Tamraz and Raluca Vernic
MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION pp. 871-904 Downloads
J.S.K. Chan, S.T.B. Choy, U.E. Makov and Z. Landsman
ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER pp. 905-960 Downloads
Lv Chen and Yang Shen

Volume 48, issue 01, 2018

EDITORIAL pp. 1-2 Downloads
Mario Wüthrich
CHAIN-LADDER METHOD AND MIDYEAR LOSS RESERVING pp. 3-24 Downloads
René Dahms
A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING pp. 25-53 Downloads
Patrizia Gigante, Liviana Picech and Luciano Sigalotti
STOCHASTIC CLAIMS RESERVING VIA A BAYESIAN SPLINE MODEL WITH RANDOM LOSS RATIO EFFECTS pp. 55-88 Downloads
Guangyuan Gao and Shengwang Meng
PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE pp. 89-110 Downloads
Gary Venter and Şule Şahın
IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH pp. 111-137 Downloads
Catherine Donnelly, Montserrat Guillen, Jens Perch Nielsen and Ana Maria Pérez-Marín
FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY pp. 139-169 Downloads
Katja Ignatieva, Andrew Song and Jonathan Ziveyi
FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING pp. 171-196 Downloads
Nicolas Privault and Xiao Wei
DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY pp. 197-232 Downloads
Hong Li
NATURAL HEDGING IN LONG-TERM CARE INSURANCE pp. 233-274 Downloads
Susanna Levantesi and Massimiliano Menzietti
ROBUST AND EFFICIENT FITTING OF SEVERITY MODELS AND THE METHOD OF WINSORIZED MOMENTS pp. 275-309 Downloads
Qian Zhao, Vytaras Brazauskas and Jugal Ghorai
ON THE AGGREGATION OF EXPERTS' INFORMATION IN BONUS–MALUS SYSTEMS pp. 311-337 Downloads
Víctor Blanco and José M. Pérez-Sánchez
EVOLUTIONARY HIERARCHICAL CREDIBILITY pp. 339-374 Downloads
Greg Taylor
ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING pp. 375-411 Downloads
Gilles Stupfler and Fan Yang
STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE pp. 413-434 Downloads
Shumin Chen, Hailiang Yang and Yan Zeng
ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS pp. 435-477 Downloads
Zhimin Zhang, Eric C.K. Cheung and Hailiang Yang
PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE - ERRATUM pp. 479-479 Downloads
Gary Venter and Şule Şahın

Volume 47, issue 03, 2017

A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES pp. 631-679 Downloads
Andrés M. Villegas, Steven Haberman, Vladimir K. Kaishev and Pietro Millossovich
A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY pp. 681-713 Downloads
Frank van Berkum, Katrien Antonio and Michel Vellekoop
TESTING FOR A UNIT ROOT IN LEE–CARTER MORTALITY MODEL pp. 715-735 Downloads
Xuan Leng and Liang Peng
PROBABILITY OF SUFFICIENCY OF SOLVENCY II RESERVE RISK MARGINS: PRACTICAL APPROXIMATIONS pp. 737-785 Downloads
Eric Dal Moro and Yuriy Krvavych
AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL pp. 787-801 Downloads
Yoichiro Fujii, Hideki Iwaki and Yusuke Osaki
LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION pp. 803-836 Downloads
Jan Dhaene, Els Godecharle, Katrien Antonio, Michel Denuit and Hamza Hanbali
BROKEN-HEART, COMMON LIFE, HETEROGENEITY: ANALYZING THE SPOUSAL MORTALITY DEPENDENCE pp. 837-874 Downloads
Yang Lu
RATEMAKING OF DEPENDENT RISKS pp. 875-894 Downloads
J. M. Andrade e Silva and Maria de Lourdes Centeno
THE FULL TAILS GAMMA DISTRIBUTION APPLIED TO MODEL EXTREME VALUES pp. 895-917 Downloads
Joan del Castillo, Jalila Daoudi and Isabel Serra
BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL pp. 919-942 Downloads
Edward Furman and Ričardas Zitikis
BAYESIAN ANALYSIS OF BIG DATA IN INSURANCE PREDICTIVE MODELING USING DISTRIBUTED COMPUTING pp. 943-961 Downloads
Yanwei Zhang

Volume 47, issue 02, 2017

COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY pp. 361-389 Downloads
Haiyan Liu and Ruodu Wang
RISK SHARING WITH EXPECTED AND DUAL UTILITIES pp. 391-415 Downloads
Tim J. Boonen
MEASURING THE IMPACT OF A BONUS-MALUS SYSTEM IN FINITE AND CONTINUOUS TIME RUIN PROBABILITIES FOR LARGE PORTFOLIOS IN MOTOR INSURANCE pp. 417-435 Downloads
Lourdes B. Afonso, Rui M. R. Cardoso, Alfredo Egidio dos Reis and Gracinda Rita Guerreiro
TERRITORIAL RISK CLASSIFICATION USING SPATIALLY DEPENDENT FREQUENCY-SEVERITY MODELS pp. 437-465 Downloads
Peng Shi and Kun Shi
A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS pp. 467-499 Downloads
Ambrose Lo
RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS pp. 501-525 Downloads
Chou-Wen Wang and Hong-Chih Huang
CONTINUOUS-TIME SEMI-MARKOV INFERENCE OF BIOMETRIC LAWS ASSOCIATED WITH A LONG-TERM CARE INSURANCE PORTFOLIO pp. 527-561 Downloads
Guillaume Biessy
COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH pp. 563-600 Downloads
Hong Li and Yang Lu
MODELLING MORTALITY FOR PENSION SCHEMES pp. 601-629 Downloads
Andrew Hunt and David Blake

Volume 47, issue 01, 2017

EXISTENCE AND UNIQUENESS OF CHAIN LADDER SOLUTIONS pp. 1-41 Downloads
Greg Taylor
LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS pp. 43-77 Downloads
Craig Blackburn, Katja Hanewald, Annamaria Olivieri and Michael Sherris
THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK pp. 79-151 Downloads
Yanxin Liu and Johnny Siu-Hang Li
MODEL SELECTION AND AVERAGING OF HEALTH COSTS IN EPISODE TREATMENT GROUPS pp. 153-167 Downloads
Shujuan Huang, Brian Hartman and Vytaras Brazauskas
APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION pp. 169-198 Downloads
Zhimin Zhang
REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL pp. 199-238 Downloads
José-Luis Pérez and Kazutoshi Yamazaki
OPTIMAL FINANCING AND DIVIDEND DISTRIBUTION WITH TRANSACTION COSTS IN THE CASE OF RESTRICTED DIVIDEND RATES pp. 239-268 Downloads
Jinxia Zhu
POTENTIAL GAMES WITH AGGREGATION IN NON-COOPERATIVE GENERAL INSURANCE MARKETS pp. 269-302 Downloads
Renchao Wu and Athanasios A. Pantelous
RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES pp. 303-329 Downloads
Tim J. Boonen
A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT pp. 331-357 Downloads
Jianxi Su and Edward Furman
SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL-CORRIGENDUM pp. 359-359 Downloads
Evgueni Gordienko and Patricia Vázquez-Ortega
Page updated 2018-08-19