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ASTIN Bulletin

1958 - 2023

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

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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 Downloads
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 Downloads
Łukasz Delong and Anna Kozak
Premium control with reinforcement learning pp. 233-257 Downloads
Lina Palmborg and Filip Lindskog
Tail index partition-based rules extraction with application to tornado damage insurance pp. 258-284 Downloads
Arthur Maillart and Christian Y. Robert
Modelling socio-economic mortality at neighbourhood level pp. 285-310 Downloads
Jie Wen, Andrew J.G. Cairns and Torsten Kleinow
Risk allocation through shapley decompositions, with applications to variable annuities pp. 311-331 Downloads
Frédéric Godin, Emmanuel Hamel, Patrice Gaillardetz and Edwin Hon-Man Ng
Shortcuts for the construction of sub-annual life tables pp. 332-350 Downloads
Jose M. Pavía and Josep Lledó
A calendar year mortality model in continuous time pp. 351-376 Downloads
Donatien Hainaut
Survival energy models for mortality prediction and future prospects pp. 377-391 Downloads
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 Downloads
Ayşe Arık, Ömür Uğur and Torsten Kleinow
The 3-step hedge-based valuation: fair valuation in the presence of systematic risks pp. 418-442 Downloads
Daniël Linders
Worst-case moments under partial ambiguity pp. 443-465 Downloads
Qihe Tang and Yunshen Yang
Measuring non-exchangeable tail dependence using tail copulas pp. 466-487 Downloads
Takaaki Koike, Shogo Kato and Marius Hofert
Target benefit pension plan with longevity risk and intergenerational equity – CORRIGENDUM pp. 488-488 Downloads
Ximin Rong, Cheng Tao and Hui Zhao

Volume 53, issue 1, 2023

Forecasting mortality rates with a coherent ensemble averaging approach pp. 2-28 Downloads
Le Chang and Yanlin Shi
Modelling mortality: A bayesian factor-augmented var (favar) approach pp. 29-61 Downloads
Yang Lu and Dan Zhu
A defined benefit pension plan model with stochastic salary and heterogeneous discounting pp. 62-83 Downloads
Ricardo Josa-Fombellida, Paula López-Casado and Jorge Navas
Target benefit pension plan with longevity risk and intergenerational equity pp. 84-103 Downloads
Ximin Rong, Cheng Tao and Hui Zhao
Optimal consumption, investment, and insurance under state-dependent risk aversion pp. 104-128 Downloads
Mogens Steffensen and Julie Bjørner Søe
Distributionally robust reinsurance with expectile pp. 129-148 Downloads
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 Downloads
Tak Wa Ng and Thai Nguyen

Volume 52, issue 3, 2022

SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION pp. 707-734 Downloads
Andreas Tsanakas and Rui Zhu
MULTI-STATE MODELLING OF CUSTOMER CHURN pp. 735-764 Downloads
Yumo Dong, Edward W. Frees, Fei Huang and Francis K. C. Hui
TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY pp. 765-787 Downloads
Dorethe Skovgaard Bjerre
EXTENDING THE LEE–CARTER MODEL WITH VARIATIONAL AUTOENCODER: A FUSION OF NEURAL NETWORK AND BAYESIAN APPROACH pp. 789-812 Downloads
Akihiro Miyata and Naoki Matsuyama
MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS pp. 813-834 Downloads
Michel Denuit, Peter Hieber and Christian Y. Robert
ESTIMATION OF FUTURE DISCRETIONARY BENEFITS IN TRADITIONAL LIFE INSURANCE pp. 835-876 Downloads
Florian Gach and Simon Hochgerner
NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES pp. 877-920 Downloads
Farha Usman and Jennifer S.K. Chan
EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES pp. 921-952 Downloads
Wenjun Jiang and Jiandong Ren

Volume 52, issue 2, 2022

IMPROVING AUTOMOBILE INSURANCE CLAIMS FREQUENCY PREDICTION WITH TELEMATICS CAR DRIVING DATA pp. 363-391 Downloads
Shengwang Meng, He Wang, Yanlin Shi and Guangyuan Gao
A NEW MULTIVARIATE ZERO-INFLATED HURDLE MODEL WITH APPLICATIONS IN AUTOMOBILE INSURANCE pp. 393-416 Downloads
Pengcheng Zhang, David Pitt and Xueyuan Wu
PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING pp. 417-448 Downloads
Martin Bladt
FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING pp. 449-482 Downloads
Matúš Maciak, Ivan Mizera and Michal Pešta
THE SAINT MODEL: A DECADE LATER pp. 483-517 Downloads
Søren F. Jarner and Snorre Jallbjørn
CALIBRATING THE LEE-CARTER AND THE POISSON LEE-CARTER MODELS VIA NEURAL NETWORKS pp. 519-561 Downloads
Salvatore Scognamiglio
MODERN LIFE-CARE TONTINES pp. 563-589 Downloads
Peter Hieber and Nathalie Lucas
TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS pp. 591-617 Downloads
Annamaria Olivieri, Samuel Thirurajah and Jonathan Ziveyi
A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN pp. 619-643 Downloads
Xiaoqing Liang and Virginia R. Young
MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY pp. 645-667 Downloads
Tim J. Boonen and Wenjun Jiang
MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION pp. 669-706 Downloads
Xiang Hu and Lianzeng Zhang

Volume 52, issue 1, 2022

GEOGRAPHIC RATEMAKING WITH SPATIAL EMBEDDINGS pp. 1-31 Downloads
Christopher Blier-Wong, Hélène Cossette, Luc Lamontagne and Etienne Marceau
JOINT MODELING OF CLAIM FREQUENCIES AND BEHAVIORAL SIGNALS IN MOTOR INSURANCE pp. 33-54 Downloads
Alexandre Corradin, Michel Denuit, Marcin Detyniecki, Vincent Grari, Matteo Sammarco and Julien Trufin
DISCRIMINATION-FREE INSURANCE PRICING pp. 55-89 Downloads
M. Lindholm, R. Richman, A. Tsanakas and M.V. Wüthrich
JOINT MODEL PREDICTION AND APPLICATION TO INDIVIDUAL-LEVEL LOSS RESERVING pp. 91-116 Downloads
A. Nii-Armah Okine, Edward W. Frees and Peng Shi
A COLLECTIVE RESERVING MODEL WITH CLAIM OPENNESS pp. 117-143 Downloads
Mathias Lindholm and Henning Zakrisson
MULTIVARIATE COMPOSITE COPULAS pp. 145-184 Downloads
Jiehua Xie, Jun Fang, Jingping Yang and Lan Bu
ON THE $r\mathcal{B}$ELL FAMILY OF DISTRIBUTIONS WITH ACTUARIAL APPLICATIONS pp. 185-210 Downloads
Deepesh Bhati and Enrique Calderín-Ojeda
INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH pp. 211-245 Downloads
Karim Barigou, Valeria Bignozzi and Andreas Tsanakas
A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS pp. 247-289 Downloads
Dilan SriDaran, Michael Sherris, Andrés M. Villegas and Jonathan Ziveyi
COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE pp. 291-331 Downloads
Jamaal Ahmad, Kristian Buchardt and Christian Furrer
POINT AND INTERVAL FORECASTS OF DEATH RATES USING NEURAL NETWORKS pp. 333-360 Downloads
Simon Schnürch and Ralf Korn
MULTIVARIATE COMPOSITE COPULAS – CORRIGENDUM pp. 361-361 Downloads
Jiehua Xie, Jun Fang, Jingping Yang and Lan Bu
Page updated 2023-05-29