ASTIN Bulletin

1997 - 2026

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 56, issue 3, 2026

A portfolio-anchored frequency–severity behavioral risk index for trip and driver assessment using telematics signals pp. _1

Jongtaek Lee, Andrei L. Badescu and X. Sheldon Lin

A two-account pricing framework for hybrid variable annuity contract embedded with living and death benefit riders pp. _10

Jennifer Alonso-García, Samuel Thirurajah and Jonathan Ziveyi

A Markov ageing-based multi-state group self-annuitisation pp. _11

Rosario Maggistro, Mario Marino and Annamaria Olivieri

Excess of age transfer policy for life annuities under longevity risk pp. _12

Minyu Peng, Ximin Rong, Cheng Tao and Hui Zhao

A hierarchical copula-based sparse VECM for cause-of-death mortality rates: modeling, forecasting, and connectedness pp. _13

Hasna Afifah Rusyda, Yanlin Shi and Han Lin Shang

Moral hazard in insurance markets with distortion risk measures pp. _14

Tim J. Boonen and Liwei Zheng

Comonotonic improvement under feasibility constraints pp. _15

Christopher Blier-Wong and Jean-Gabriel Lauzier

Stackelberg equilibria in monopoly insurance markets with probability weighting pp. _16

Maria Andraos, Mario Ghossoub, Bin Li and Benxuan Shi

A new credibility estimation of process variance with applications pp. _17

Limin Wen and Wei Liu

A Normal-Gamma copula for dependence modeling in collective risk models pp. _18

Jae Youn Ahn, Himchan Jeong and Rosy Oh

A smooth hazard-blend composite model for heavy-tailed loss data: Bayesian and frequentist comparisons with applications in actuarial science pp. _19

Mohit Lamba and Harmanpreet Singh Kapoor

Dynamic Financial Analysis (DFA) of general insurers under climate change pp. _2

Benjamin Avanzi, Yanfeng Li, Greg Taylor and Bernard Wong

Mortality Forecasting in Geographical Space and Time – ERRATUM pp. _20

Gábor Szentkereszti and Péter Vékás

Cost-of-capital valuation with risky assets pp. _3

Hansjörg Albrecher, Filip Lindskog and Hervé Zumbach

Matrix-based factor analysis on the prediction of insurance claims probability pp. _4

Minseog Oh, Himchan Jeong, Donggyu Kim and Kwangmin Jung

High-dimensional claim severity modeling with misrepresentation adjustment via deep learning pp. _5

Pengcheng Zhang, Jianwei Gang, Shilong Li and Xiaoyan Wang

A chain ladder method using prior information on calendar year effects pp. _6

Ulrich Riegel

Gradient boosted multi-population mortality modeling with high-frequency data pp. _7

Ziting Miao, Han Li and Yuyu Chen

Regularized matrix exponential distributions and lapse modeling: the case of the French credit life insurance market pp. _8

Alaric Jules Antoine Müller, Hansjoerg Albrecher and Martin Bladt

A two-generation model with altruism for reverse mortgage demand pp. _9

Yunxiao Wang, Katja Hanewald, Zilin Shao and Hazel Bateman

Volume 56, issue 2, 2026

Individual loss reserving for multi-coverage insurance pp. 295-316

Roxane Turcotte and Peng Shi

On a risk model with tree-structured Poisson Markov random field frequency, with application to rainfall events pp. 317-343

Hélène Cossette, Benjamin Côté, Alexandre Dubeau and Etienne Marceau

Multifactor cat bond pricing using distortion operator models with recurrent neural networks pp. 344-366

Xiaowei Chen, Jianxin Liu and Fuzhe Huang

Mortality Forecasting in Geographical Space and Time pp. 367-388

Gábor Szentkereszti and Péter Vékás

Optimal hurdle rate and investment policy in lifetime pension pools pp. 389-419

Jean-François Bégin, Barbara Sanders and Yingfei Sun

Hedging targeted risks with reinforcement learning: application to life insurance contracts with embedded guarantees pp. 420-446

Carlos Octavio Pérez-Mendoza and Frédéric Godin

Financial valuation of retirement village via stochastic modelling of disability prevalence rates pp. 447-473

Jackie Li, Mingke Wang, Liu, Jia (Jacie) and Jessica Wai Yin Leung

Guaranteed minimum income benefit valuation via a numéraire transformation approach pp. 474-509

Yiming Huang, Rogemar Mamon and Heng Xiong

Indifference pricing of mortality-linked securities using backward stochastic differential equations pp. 510-536

Len Patrick Dominic Garces, Fabio Gómez and Qihe Tang

Optimal reinsurance under endogenous default and background risk pp. 537-562

Zongxia Liang, Zhaojie Ren and Bin Zou

On evaluation of joint risk for nonnegative multivariate risks under dependence uncertainty pp. 563-587

Shuo Gong, Yijun Hu and Linxiao Wei

Enriched truncated exponentiated generalized family of distributions with application to heavy-tailed data pp. 588-610

Richard Dankwa and Kahadawala Cooray

Tail variance for generalised hyper-elliptical models – CORRIGENDUM pp. 611-611

Katja Ignatieva and Zinoviy Landsman

Volume 56, issue 1, 2026

Whittaker–Henderson smoothing revisited: A modern statistical framework for practical use pp. 1-31

Guillaume Biessy

What KAN mortality say: smooth and interpretable mortality modeling using Kolmogorov−Arnold networks pp. 32-59

Lianzeng Zhang and Yuan Zhuang

Marked Cox models for IBNR claims count: continuous and discretized approaches with Dirichlet-driven reporting delays pp. 60-88

Hassan Abdelrahman, Andrei L. Badescu, Radu V. Craiu and X. Sheldon Lin

Stationary probabilities and the monotone likelihood ratio in bonus-malus systems pp. 89-100

Kolos Csaba Ágoston and Dávid Papp

Modeling discrete common-shock risks through matrix distributions pp. 101-126

Martin Bladt, Eric C. K. Cheung, Oscar Peralta and Jae-Kyung Woo

Collaborative and Parametric Insurance on the Ethereum Blockchain pp. 127-153

Pierre-Olivier Goffard and Stéphane Loisel

A nonzero-sum game with reinforcement learning under mean-variance framework pp. 154-180

Junyi Guo, Xia Han, Hao Wang and Kam C. Yuen

Quantifying Systemic Risk: Conditional Interval Risk Measures and Their Applications pp. 181-205

Limin Wen, Junxue Li and Yi Zhang

Risk aggregation and stochastic dominance for a class of heavy-tailed distributions pp. 206-219

Yuyu Chen and Seva Shneer

Optimal proportional insurance under claim habit pp. 220-242

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

Asymmetric Nash insurance bargaining between risk-averse parties pp. 243-269

Tim J. Boonen and Yichun Chi

Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls pp. 270-294

Jun Cai, Fangda Liu and Mingren Yin

Volume 55, issue 3, 2025

Worst-case reinsurance strategy with likelihood ratio uncertainty pp. 492-513

David Landriault, Fangda Liu and Ziyue Shi

On the optimality of linear residual risk sharing pp. 514-536

Jiajie Yang and Wei Wei

Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures pp. 537-563

Mario Ghossoub, Michael B. Zhu and Wing Fung Chong

Impact of insurers’ technology accessibility as private information on market structure pp. 564-584

Jieyu Lin and Yan Zeng

Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates pp. 585-614

Yuxin Zhou, Len Patrick Dominic Garces, Yang Shen, Michael Sherris and Jonathan Ziveyi

Pareto-optimal risk exchange in a continuous-time economy: Application to target benefit pension pp. 615-643

Cheng Tao, Yang Shen and Tak Kuen Siu

Fairness and risk sharing in integrated LRD-tontine schemes under Volterra mortality risk pp. 644-667

Jingwen Kang, Zhuo Jin, Linyi Qian and Nan Zhang

Multi-asset return risk measures pp. 668-694

Christian Laudagé, Felix-Benedikt Liebrich and Jörn Sass

Time-varying pareto optimal risk sharing for annuities pp. 695-720

Hamza Hanbali, Himasha Warnakulasooriya and Jessica Wai Yin Leung

Optimal design of fixed and variable costs in peer-to-peer insurance with heterogeneous risk pp. 721-746

Tim J. Boonen, Ze Chen and Wentao Hu

Some remarks on the effect of risk sharing and diversification for infinite mean risks pp. 747-756

Alfred Müller

A redistributive GSA scheme to cope with socio-economic mortality differentials pp. 757-774

Maria Aragona, Luca Regis and Elena Vigna

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