ASTIN Bulletin

1958 - 2025

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

Volume 51, issue 3, 2021

NEIGHBOURING PREDICTION FOR MORTALITY pp. 689-718

Chou-Wen Wang, Jinggong Zhang and Wenjun Zhu

COST-SENSITIVE MULTI-CLASS ADABOOST FOR UNDERSTANDING DRIVING BEHAVIOR BASED ON TELEMATICS pp. 719-751

Banghee So, Jean-Philippe Boucher and Emiliano A. Valdez

DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS pp. 753-778

Hengxin Cui, Ken Seng Tan and Fan Yang

ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? pp. 779-812

Jean-François Bégin

TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL pp. 813-837

Daniel Gaigall

APPLYING ECONOMIC MEASURES TO LAPSE RISK MANAGEMENT WITH MACHINE LEARNING APPROACHES pp. 839-871

Stéphane Loisel, Pierrick Piette and Cheng-Hsien Jason Tsai

FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT pp. 873-904

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

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

Jackie Li, Maggie Lee and Simon Guthrie

GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS pp. 375-410

Clemente De Rosa, Elisa Luciano and Luca Regis

PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES pp. 411-447

Arne Freimann

DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH pp. 449-474

Jin Sun, Dan Zhu and Eckhard Platen

ROBUST ESTIMATION OF LOSS MODELS FOR LOGNORMAL INSURANCE PAYMENT SEVERITY DATA pp. 475-507

Chudamani Poudyal

TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS pp. 509-538

Hansjörg Albrecher, José Carlos Araujo-Acuna and Jan Beirlant

ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION pp. 539-570

Jie Hu, Yu Chen and Keqi Tan

ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES pp. 571-605

Jiajun Liu and Yang Yang

OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION pp. 607-629

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

Yanhong Chen

OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK pp. 661-688

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

Robert Matthijs Verschuren

ADDRESSING IMBALANCED INSURANCE DATA THROUGH ZERO-INFLATED POISSON REGRESSION WITH BOOSTING pp. 27-55

Simon C.K. Lee

GENERALIZING THE LOG-MOYAL DISTRIBUTION AND REGRESSION MODELS FOR HEAVY-TAILED LOSS DATA pp. 57-99

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

Thomas Bernhardt and Catherine Donnelly

A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES pp. 131-159

Maciej Augustyniak, Frédéric Godin and Emmanuel Hamel

MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL pp. 161-189

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

Yasutaka Shimizu, Yuki Minami and Ryunosuke Ito

UNIVERSALLY MARKETABLE INSURANCE UNDER MULTIVARIATE MIXTURES pp. 221-243

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

Luis E. Nieto-Barajas and Rodrigo Targino

APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING pp. 267-301

Radek Hendrych and Tomas Cipra

THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING pp. 303-347

Zhigao Wang, Xianyi Wu and Chunjuan Qiu