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ASTIN Bulletin

1958 - 2021

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

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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

Volume 50, issue 3, 2020

WAVELET-BASED FEATURE EXTRACTION FOR MORTALITY PROJECTION pp. 675-707 Downloads
Donatien Hainaut and Michel Denuit
VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD pp. 709-742 Downloads
Griselda Deelstra, Pierre Devolder, Kossi Gnameho and Peter Hieber
JOINT OPTIMIZATION OF TRANSITION RULES AND THE PREMIUM SCALE IN A BONUS-MALUS SYSTEM pp. 743-776 Downloads
Kolos Csaba Ágoston and Márton Gyetvai
TESTING FOR RANDOM EFFECTS IN COMPOUND RISK MODELS VIA BREGMAN DIVERGENCE pp. 777-798 Downloads
Himchan Jeong
A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE pp. 799-825 Downloads
Ning Sun, Chen Yang and Ričardas Zitikis
DISTORTION RISKMETRICS ON GENERAL SPACES pp. 827-851 Downloads
Qiuqi Wang, Ruodu Wang and Yunran Wei
AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS pp. 853-871 Downloads
Hyukjun Gweon, Shu Li and Rogemar Mamon
PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND pp. 873-912 Downloads
Mengyi Xu, Michael Sherris and Adam W. Shao
EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS pp. 913-957 Downloads
X. Sheldon Lin and Shuai Yang
RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE pp. 959-999 Downloads
JinDong Wang and Wei Xu
TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL pp. 1001-1035 Downloads
Andrea Molent
A METHOD FOR CONSTRUCTING AND INTERPRETING SOME WEIGHTED PREMIUM PRINCIPLES pp. 1037-1064 Downloads
Antonia Castaño-Martínez, Fernando López-Blazquez, Gema Pigueiras and Miguel Á. Sordo
RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS pp. 1065-1092 Downloads
Jun Cai and Tiantian Mao
LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING pp. 1093-1122 Downloads
Michel Denuit and Christian Y. Robert

Volume 50, issue 2, 2020

A NEW INFERENCE STRATEGY FOR GENERAL POPULATION MORTALITY TABLES pp. 325-356 Downloads
Alexandre Boumezoued, Marc Hoffmann and Paulien Jeunesse
FORECASTING MULTIPLE FUNCTIONAL TIME SERIES IN A GROUP STRUCTURE: AN APPLICATION TO MORTALITY pp. 357-379 Downloads
Han Lin Shang and Steven Haberman
LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC pp. 381-417 Downloads
Kevin Fergusson
OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE pp. 419-447 Downloads
Peter A. Forsyth, Kenneth R. Vetzal and Graham Westmacott
OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH pp. 449-477 Downloads
Xiang Cheng, Zhuo Jin and Hailiang Yang
ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION pp. 479-511 Downloads
Łukasz Delong and Marcin Szatkowski
A GENERALISED PROPERTY EXPOSURE RATING FRAMEWORK THAT INCORPORATES SCALE-INDEPENDENT LOSSES AND MAXIMUM POSSIBLE LOSS UNCERTAINTY pp. 513-553 Downloads
Pietro Parodi
AN EM ALGORITHM FOR FITTING A NEW CLASS OF MIXED EXPONENTIAL REGRESSION MODELS WITH VARYING DISPERSION pp. 555-583 Downloads
George Tzougas and Dimitris Karlis
POISSON MODELS WITH DYNAMIC RANDOM EFFECTS AND NONNEGATIVE CREDIBILITIES PER PERIOD pp. 585-618 Downloads
Jean Pinquet
OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION pp. 619-646 Downloads
Wenjun Jiang, Marcos Escobar-Anel and Jiandong Ren
WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS pp. 647-673 Downloads
Haiyan Liu

Volume 50, issue 1, 2020

ACTUARIAL APPLICATIONS OF WORD EMBEDDING MODELS pp. 1-24 Downloads
Gee Y Lee, Scott Manski and Tapabrata Maiti
A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL pp. 25-60 Downloads
Andrea Gabrielli
ON MARINE LIABILITY PORTFOLIO MODELING pp. 61-93 Downloads
Guevara-Alarcón, William, Albrecher, Hansjörg and Parvez Chowdhury
ON THE OPTIMAL COMBINATION OF ANNUITIES AND TONTINES pp. 95-129 Downloads
An Chen, Manuel Rach and Thorsten Sehner
THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES pp. 131-154 Downloads
Anne G. Balter and Bas J. M. Werker
NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES pp. 155-185 Downloads
Tzuling Lin and Cary Chi-liang Tsai
REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE pp. 187-221 Downloads
Xiaoqing Liang and Virginia R. Young
MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS pp. 223-263 Downloads
Hongxuan Yan, Gareth W. Peters and Jennifer Chan
MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK pp. 265-292 Downloads
Klaus Herrmann, Marius Hofert and Mailhot, Mélina
BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS pp. 293-323 Downloads
Tim J. Boonen and Mario Ghossoub

Volume 49, issue 3, 2019

MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX pp. 555-590 Downloads
Andrew J.G. Cairns, Malene Kallestrup-Lamb, Carsten Rosenskjold, David Blake and Kevin Dowd
SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES pp. 591-617 Downloads
Michel Denuit
DYNAMIC PRINCIPAL COMPONENT REGRESSION: APPLICATION TO AGE-SPECIFIC MORTALITY FORECASTING pp. 619-645 Downloads
Han Lin Shang
A CLASS OF MIXTURE OF EXPERTS MODELS FOR GENERAL INSURANCE: APPLICATION TO CORRELATED CLAIM FREQUENCIES pp. 647-688 Downloads
Tsz Chai Fung, Andrei L. Badescu and X. Sheldon Lin
MODELLING ZERO-INFLATED COUNT DATA WITH A SPECIAL CASE OF THE GENERALISED POISSON DISTRIBUTION pp. 689-707 Downloads
Calderín-Ojeda, Enrique, GóMez-Déniz, Emilio and Inmaculada Barranco-Chamorro
A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION pp. 709-739 Downloads
Andrei L. Badescu, Tianle Chen, X. Sheldon Lin and Dameng Tang
A TREE-BASED ALGORITHM ADAPTED TO MICROLEVEL RESERVING AND LONG DEVELOPMENT CLAIMS pp. 741-762 Downloads
Olivier Lopez, Xavier Milhaud and Thérond, Pierre-E.
CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM pp. 763-786 Downloads
Patrizia Gigante, Liviana Picech and Luciano Sigalotti
THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED pp. 787-821 Downloads
Alois Gisler
ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION pp. 823-846 Downloads
Han Li and Qihe Tang
MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS pp. 847-883 Downloads
Xiaoqing Liang and Virginia R. Young
COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE pp. 885-918 Downloads
Marius Hofert and Takaaki Koike
A TREE-BASED ALGORITHM ADAPTED TO MICROLEVEL RESERVING AND LONG DEVELOPMENT CLAIMS – ERRATUM pp. 919-919 Downloads
Olivier Lopez, Xavier Milhaud and Thérond, Pierre-E.

Volume 49, issue 2, 2019

PROPERTY GRAPHS – A STATISTICAL MODEL FOR FIRE AND EXPLOSION LOSSES BASED ON GRAPH THEORY pp. 263-297 Downloads
Pietro Parodi and Peter Watson
FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS pp. 299-333 Downloads
Å ukasz Delong, Jan Dhaene and Karim Barigou
ECONOMIC SCENARIO GENERATOR AND PARAMETER UNCERTAINTY: A BAYESIAN APPROACH pp. 335-372 Downloads
Bégin, Jean-François
MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS pp. 373-407 Downloads
Rui Zhou
JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS pp. 409-432 Downloads
Fabio Gobbi, Nikolai Kolev and Sabrina Mulinacci
BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL pp. 433-455 Downloads
Qing Liu, Chen Ling, Deyuan Li and Liang Peng
CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION pp. 457-490 Downloads
Qihe Tang and Zhongyi Yuan
INDEX INSURANCE DESIGN pp. 491-523 Downloads
Jinggong Zhang, Ken Seng Tan and Chengguo Weng
ORDERING PROPERTIES OF EXTREME CLAIM AMOUNTS FROM HETEROGENEOUS PORTFOLIOS pp. 525-554 Downloads
Yiying Zhang, Xiong Cai and Peng Zhao

Volume 49, issue 1, 2019

TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN pp. 5-30 Downloads
An Chen, Peter Hieber and Jakob K. Klein
VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO pp. 31-56 Downloads
T. Bienek and M. Scherer
HOW FUNCTIONAL DATA CAN ENHANCE THE ESTIMATION OF HEALTH EXPECTANCY: THE CASE OF DISABLED SPANISH POPULATION pp. 57-84 Downloads
Albarrán, Irene, Alonso-González, Pablo J., Ana Arribas-Gil and Grané, Aurea
PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES pp. 85-116 Downloads
Mogens Steffensen and Thøgersen, Julie
FREQUENTIST INFERENCE IN INSURANCE RATEMAKING MODELS ADJUSTING FOR MISREPRESENTATION pp. 117-146 Downloads
Rexford M. Akakpo, Michelle Xia and Alan M. Polansky
DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS pp. 147-168 Downloads
Sánchez-Sánchez, M., M.A. Sordo, Suárez-Llorens, A. and Gómez-Déniz, E.
NEW RESULTS ON THE DISTRIBUTION OF DISCOUNTED COMPOUND POISSON SUMS pp. 169-187 Downloads
Zhehao Zhang
AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL pp. 189-215 Downloads
Zarina Nukeshtayeva Oflaz, Ceylan Yozgatligil and A. Sevtap Selcuk-Kestel
A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT pp. 217-242 Downloads
A. Floryszczak, Lévy Véhel, J. and M. Majri
ON THE OPTIMALITY OF A STRAIGHT DEDUCTIBLE UNDER BELIEF HETEROGENEITY pp. 243-262 Downloads
Yichun Chi
Page updated 2021-05-15