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ASTIN Bulletin

1958 - 2022

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

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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

Volume 51, issue 3, 2021

NEIGHBOURING PREDICTION FOR MORTALITY pp. 689-718 Downloads
Chou-Wen Wang, Jinggong Zhang and Wenjun Zhu
COST-SENSITIVE MULTI-CLASS ADABOOST FOR UNDERSTANDING DRIVING BEHAVIOR BASED ON TELEMATICS pp. 719-751 Downloads
Banghee So, Jean-Philippe Boucher and Emiliano A. Valdez
DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS pp. 753-778 Downloads
Hengxin Cui, Ken Seng Tan and Fan Yang
ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? pp. 779-812 Downloads
Jean-François Bégin
TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL pp. 813-837 Downloads
Daniel Gaigall
APPLYING ECONOMIC MEASURES TO LAPSE RISK MANAGEMENT WITH MACHINE LEARNING APPROACHES pp. 839-871 Downloads
Stéphane Loisel, Pierrick Piette and Cheng-Hsien Jason Tsai
FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT pp. 873-904 Downloads
Xiaobai Zhu, Mary Hardy and David Saunders
OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION pp. 905-938 Downloads
Peter A. Forsyth, Kenneth R. Vetzal and Graham Westmacott

Volume 51, issue 2, 2021

A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE pp. 349-374 Downloads
Jackie Li, Maggie Lee and Simon Guthrie
GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS pp. 375-410 Downloads
Clemente De Rosa, Elisa Luciano and Luca Regis
PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES pp. 411-447 Downloads
Arne Freimann
DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH pp. 449-474 Downloads
Jin Sun, Dan Zhu and Eckhard Platen
ROBUST ESTIMATION OF LOSS MODELS FOR LOGNORMAL INSURANCE PAYMENT SEVERITY DATA pp. 475-507 Downloads
Chudamani Poudyal
TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS pp. 509-538 Downloads
Hansjörg Albrecher, José Carlos Araujo-Acuna and Jan Beirlant
ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION pp. 539-570 Downloads
Jie Hu, Yu Chen and Keqi Tan
ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES pp. 571-605 Downloads
Jiajun Liu and Yang Yang
OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION pp. 607-629 Downloads
Tim J. Boonen and Yiying Zhang
OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION pp. 631-659 Downloads
Yanhong Chen
OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK pp. 661-688 Downloads
Yichun Chi and Ken Seng Tan

Volume 51, issue 1, 2021

PREDICTIVE CLAIM SCORES FOR DYNAMIC MULTI-PRODUCT RISK CLASSIFICATION IN INSURANCE pp. 1-25 Downloads
Robert Matthijs Verschuren
ADDRESSING IMBALANCED INSURANCE DATA THROUGH ZERO-INFLATED POISSON REGRESSION WITH BOOSTING pp. 27-55 Downloads
Simon C.K. Lee
GENERALIZING THE LOG-MOYAL DISTRIBUTION AND REGRESSION MODELS FOR HEAVY-TAILED LOSS DATA pp. 57-99 Downloads
Zhengxiao Li, Jan Beirlant and Shengwang Meng
QUANTIFYING THE TRADE-OFF BETWEEN INCOME STABILITY AND THE NUMBER OF MEMBERS IN A POOLED ANNUITY FUND pp. 101-130 Downloads
Thomas Bernhardt and Catherine Donnelly
A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES pp. 131-159 Downloads
Maciej Augustyniak, Frédéric Godin and Emmanuel Hamel
MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL pp. 161-189 Downloads
Le Chang and Yanlin Shi
WHY DOES A HUMAN DIE? A STRUCTURAL APPROACH TO COHORT-WISE MORTALITY PREDICTION UNDER SURVIVAL ENERGY HYPOTHESIS pp. 191-219 Downloads
Yasutaka Shimizu, Yuki Minami and Ryunosuke Ito
UNIVERSALLY MARKETABLE INSURANCE UNDER MULTIVARIATE MIXTURES pp. 221-243 Downloads
Ambrose Lo, Qihe Tang and Zhaofeng Tang
A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES pp. 245-266 Downloads
Luis E. Nieto-Barajas and Rodrigo Targino
APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING pp. 267-301 Downloads
Radek Hendrych and Tomas Cipra
THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING pp. 303-347 Downloads
Zhigao Wang, Xianyi Wu and Chunjuan Qiu
Page updated 2022-05-25