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ASTIN Bulletin

1958 - 2024

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

Bibliographic data for series maintained by Kirk Stebbing ().

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Volume 54, issue 2, 2024

Machine Learning with High-Cardinality Categorical Features in Actuarial Applications pp. 213-238 Downloads
Benjamin Avanzi, Greg Taylor, Melantha Wang and Bernard Wong
Telematics combined actuarial neural networks for cross-sectional and longitudinal claim count data pp. 239-262 Downloads
Francis Duval, Jean-Philippe Boucher and Mathieu Pigeon
Integration of traditional and telematics data for efficient insurance claims prediction pp. 263-279 Downloads
Hashan Peiris, Himchan Jeong, Jae-Kwang Kim and Hangsuck Lee
A representation-learning approach for insurance pricing with images pp. 280-309 Downloads
Christopher Blier-Wong, Luc Lamontagne and Etienne Marceau
Mack’s estimator motivated by large exposure asymptotics in a compound poisson setting pp. 310-326 Downloads
Nils Engler and Filip Lindskog
Expressive mortality models through Gaussian process kernels pp. 327-359 Downloads
Jimmy Risk and Mike Ludkovski
A Markov multiple state model for epidemic and insurance modelling pp. 360-384 Downloads
Minh-Hoang Tran
Fair valuations of insurance policies under multiple risk factors: A flexible lattice approach pp. 385-409 Downloads
Pierre Devolder, Emilio Russo and Alessandro Staino
Signature-based validation of real-world economic scenarios pp. 410-440 Downloads
Hervé Andrès, Alexandre Boumezoued and Benjamin Jourdain
Optimal insurance with counterparty and additive background risk pp. 441-462 Downloads
Yanhong Chen

Volume 54, issue 1, 2024

Microscopic traffic models, accidents, and insurance losses pp. 1-24 Downloads
Sojung Kim, Marcel Kleiber and Stefan Weber
Construction of rating systems using global sensitivity analysis: A numerical investigation pp. 25-45 Downloads
Arianna Vallarino, Giovanni Rabitti and Amir Khorrami Chokami
Multi-population mortality modelling: a Bayesian hierarchical approach pp. 46-74 Downloads
Jianjie Shi, Yanlin Shi, Pengjie Wang and Dan Zhu
Optimal VIX-linked structure for the target benefit pension plan pp. 75-93 Downloads
Lv Chen, Danping Li, Yumin Wang and Xiaobai Zhu
Optimal performance of a tontine overlay subject to withdrawal constraints pp. 94-128 Downloads
Peter A. Forsyth, Kenneth R. Vetzal and Graham Westmacott
Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer pp. 129-158 Downloads
Yevhen Havrylenko, Maria Hinken and Rudi Zagst
Pricing and hedging of longevity basis risk through securitisation pp. 159-184 Downloads
Fadoua Zeddouk and Pierre Devolder
Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits pp. 185-212 Downloads
Jennifer Alonso-García, Michael Sherris, Samuel Thirurajah and Jonathan Ziveyi

Volume 53, issue 3, 2023

Risk management with local least squares Monte Carlo pp. 489-514 Downloads
Donatien Hainaut and Adnane Akbaraly
Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization pp. 515-544 Downloads
An Chen, Motonobu Kanagawa and Fangyuan Zhang
Target benefit versus defined contribution scheme: a multi-period framework pp. 545-579 Downloads
Ping Chen, Haixiang Yao, Hailiang Yang and Dan Zhu
A hybrid data mining framework for variable annuity portfolio valuation pp. 580-595 Downloads
Hyukjun Gweon and Shu Li
Ratemaking in a changing environment pp. 596-618 Downloads
A. Nii-Armah Okine
Estimating the VaR-induced Euler allocation rule pp. 619-635 Downloads
N.V. Gribkova, J. Su and R. Zitikis
Range-based risk measures and their applications pp. 636-657 Downloads
Marcelo Brutti Righi and Fernanda Maria Müller
Optimal commissions and subscriptions in mutual aid platforms pp. 658-683 Downloads
Yixing Zhao and Yan Zeng
Cyber insurance-linked securities pp. 684-705 Downloads
Alexander Braun, Martin Eling and Christoph Jaenicke
Reinsurance games with $\boldsymbol{{n}}$ variance-premium reinsurers: from tree to chain pp. 706-728 Downloads
Jingyi Cao, Dongchen Li, Virginia R. Young and Bin Zou

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 2024-05-23