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

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

Volume 52, issue 3, 2022

SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION pp. 707-734

Andreas Tsanakas and Rui Zhu

MULTI-STATE MODELLING OF CUSTOMER CHURN pp. 735-764

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

Dorethe Skovgaard Bjerre

EXTENDING THE LEE–CARTER MODEL WITH VARIATIONAL AUTOENCODER: A FUSION OF NEURAL NETWORK AND BAYESIAN APPROACH pp. 789-812

Akihiro Miyata and Naoki Matsuyama

MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS pp. 813-834

Michel Denuit, Peter Hieber and Christian Y. Robert

ESTIMATION OF FUTURE DISCRETIONARY BENEFITS IN TRADITIONAL LIFE INSURANCE pp. 835-876

Florian Gach and Simon Hochgerner

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES pp. 877-920

Farha Usman and Jennifer S.K. Chan

EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES pp. 921-952

Wenjun Jiang and Jiandong Ren

Volume 52, issue 2, 2022

IMPROVING AUTOMOBILE INSURANCE CLAIMS FREQUENCY PREDICTION WITH TELEMATICS CAR DRIVING DATA pp. 363-391

Shengwang Meng, He Wang, Yanlin Shi and Guangyuan Gao

A NEW MULTIVARIATE ZERO-INFLATED HURDLE MODEL WITH APPLICATIONS IN AUTOMOBILE INSURANCE pp. 393-416

Pengcheng Zhang, David Pitt and Xueyuan Wu

PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING pp. 417-448

Martin Bladt

FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING pp. 449-482

Matúš Maciak, Ivan Mizera and Michal Pešta

THE SAINT MODEL: A DECADE LATER pp. 483-517

Søren F. Jarner and Snorre Jallbjørn

CALIBRATING THE LEE-CARTER AND THE POISSON LEE-CARTER MODELS VIA NEURAL NETWORKS pp. 519-561

Salvatore Scognamiglio

MODERN LIFE-CARE TONTINES pp. 563-589

Peter Hieber and Nathalie Lucas

TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS pp. 591-617

Annamaria Olivieri, Samuel Thirurajah and Jonathan Ziveyi

A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN pp. 619-643

Xiaoqing Liang and Virginia R. Young

MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY pp. 645-667

Tim J. Boonen and Wenjun Jiang

MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION pp. 669-706

Xiang Hu and Lianzeng Zhang

Volume 52, issue 1, 2022

GEOGRAPHIC RATEMAKING WITH SPATIAL EMBEDDINGS pp. 1-31

Christopher Blier-Wong, Hélène Cossette, Luc Lamontagne and Etienne Marceau

JOINT MODELING OF CLAIM FREQUENCIES AND BEHAVIORAL SIGNALS IN MOTOR INSURANCE pp. 33-54

Alexandre Corradin, Michel Denuit, Marcin Detyniecki, Vincent Grari, Matteo Sammarco and Julien Trufin

DISCRIMINATION-FREE INSURANCE PRICING pp. 55-89

M. Lindholm, R. Richman, A. Tsanakas and M.V. Wüthrich

JOINT MODEL PREDICTION AND APPLICATION TO INDIVIDUAL-LEVEL LOSS RESERVING pp. 91-116

A. Nii-Armah Okine, Edward W. Frees and Peng Shi

A COLLECTIVE RESERVING MODEL WITH CLAIM OPENNESS pp. 117-143

Mathias Lindholm and Henning Zakrisson

MULTIVARIATE COMPOSITE COPULAS pp. 145-184

Jiehua Xie, Jun Fang, Jingping Yang and Lan Bu

ON THE $r\mathcal{B}$ELL FAMILY OF DISTRIBUTIONS WITH ACTUARIAL APPLICATIONS pp. 185-210

Deepesh Bhati and Enrique Calderín-Ojeda

INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH pp. 211-245

Karim Barigou, Valeria Bignozzi and Andreas Tsanakas

A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS pp. 247-289

Dilan SriDaran, Michael Sherris, Andrés M. Villegas and Jonathan Ziveyi

COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE pp. 291-331

Jamaal Ahmad, Kristian Buchardt and Christian Furrer

POINT AND INTERVAL FORECASTS OF DEATH RATES USING NEURAL NETWORKS pp. 333-360

Simon Schnürch and Ralf Korn

MULTIVARIATE COMPOSITE COPULAS – CORRIGENDUM pp. 361-361

Jiehua Xie, Jun Fang, Jingping Yang and Lan Bu