ASTIN Bulletin

1958 - 2025

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 50, issue 3, 2020

WAVELET-BASED FEATURE EXTRACTION FOR MORTALITY PROJECTION pp. 675-707

Donatien Hainaut and Michel Denuit

VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD pp. 709-742

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

Kolos Agoston and Márton Gyetvai

TESTING FOR RANDOM EFFECTS IN COMPOUND RISK MODELS VIA BREGMAN DIVERGENCE pp. 777-798

Himchan Jeong

A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE pp. 799-825

Ning Sun, Chen Yang and Ričardas Zitikis

DISTORTION RISKMETRICS ON GENERAL SPACES pp. 827-851

Qiuqi Wang, Ruodu Wang and Yunran Wei

AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS pp. 853-871

Hyukjun Gweon, Shu Li and Rogemar Mamon

PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND pp. 873-912

Mengyi Xu, Michael Sherris and Adam W. Shao

EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS pp. 913-957

X. Sheldon Lin and Shuai Yang

RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE pp. 959-999

JinDong Wang and Wei Xu

TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL pp. 1001-1035

Andrea Molent

A METHOD FOR CONSTRUCTING AND INTERPRETING SOME WEIGHTED PREMIUM PRINCIPLES pp. 1037-1064

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

Jun Cai and Tiantian Mao

LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING pp. 1093-1122

Michel Denuit and Christian Y. Robert

Volume 50, issue 2, 2020

A NEW INFERENCE STRATEGY FOR GENERAL POPULATION MORTALITY TABLES pp. 325-356

Alexandre Boumezoued, Marc Hoffmann and Paulien Jeunesse

FORECASTING MULTIPLE FUNCTIONAL TIME SERIES IN A GROUP STRUCTURE: AN APPLICATION TO MORTALITY pp. 357-379

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

Kevin Fergusson

OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE pp. 419-447

Peter A. Forsyth, Kenneth R. Vetzal and Graham Westmacott

OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH pp. 449-477

Xiang Cheng, Zhuo Jin and Hailiang Yang

ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION pp. 479-511

Łukasz Delong and Marcin Szatkowski

A GENERALISED PROPERTY EXPOSURE RATING FRAMEWORK THAT INCORPORATES SCALE-INDEPENDENT LOSSES AND MAXIMUM POSSIBLE LOSS UNCERTAINTY pp. 513-553

Pietro Parodi

AN EM ALGORITHM FOR FITTING A NEW CLASS OF MIXED EXPONENTIAL REGRESSION MODELS WITH VARYING DISPERSION pp. 555-583

George Tzougas and Dimitris Karlis

POISSON MODELS WITH DYNAMIC RANDOM EFFECTS AND NONNEGATIVE CREDIBILITIES PER PERIOD pp. 585-618

Jean Pinquet

OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION pp. 619-646

Wenjun Jiang, Marcos Escobar-Anel and Jiandong Ren

WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS pp. 647-673

Haiyan Liu

Volume 50, issue 1, 2020

ACTUARIAL APPLICATIONS OF WORD EMBEDDING MODELS pp. 1-24

Gee Y Lee, Scott Manski and Tapabrata Maiti

A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL pp. 25-60

Andrea Gabrielli

ON MARINE LIABILITY PORTFOLIO MODELING pp. 61-93

William Guevara-Alarcón, Hansjörg Albrecher and Parvez Chowdhury

ON THE OPTIMAL COMBINATION OF ANNUITIES AND TONTINES pp. 95-129

An Chen, Manuel Rach and Thorsten Sehner

THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES pp. 131-154

Anne G. Balter and Bas J. M. Werker

NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES pp. 155-185

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

Xiaoqing Liang and Virginia R. Young

MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS pp. 223-263

Hongxuan Yan, Gareth W. Peters and Jennifer Chan

MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK pp. 265-292

Klaus Herrmann, Marius Hofert and Mélina Mailhot

BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS pp. 293-323

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

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

Michel Denuit

DYNAMIC PRINCIPAL COMPONENT REGRESSION: APPLICATION TO AGE-SPECIFIC MORTALITY FORECASTING pp. 619-645

Han Lin Shang

A CLASS OF MIXTURE OF EXPERTS MODELS FOR GENERAL INSURANCE: APPLICATION TO CORRELATED CLAIM FREQUENCIES pp. 647-688

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

Enrique Calderín-Ojeda, Emilio GóMez-Déniz and Inmaculada Barranco-Chamorro

A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION pp. 709-739

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

Olivier Lopez, Xavier Milhaud and Pierre-Emmanuel Thérond

CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM pp. 763-786

Patrizia Gigante, Liviana Picech and Luciano Sigalotti

THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED pp. 787-821

Alois Gisler

ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION pp. 823-846

Han Li and Qihe Tang

MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS pp. 847-883

Xiaoqing Liang and Virginia R. Young

COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE pp. 885-918

Marius Hofert and Takaaki Koike

A TREE-BASED ALGORITHM ADAPTED TO MICROLEVEL RESERVING AND LONG DEVELOPMENT CLAIMS – ERRATUM pp. 919-919

Olivier Lopez, Xavier Milhaud and Pierre-Emmanuel Thérond

Volume 49, issue 2, 2019

PROPERTY GRAPHS – A STATISTICAL MODEL FOR FIRE AND EXPLOSION LOSSES BASED ON GRAPH THEORY pp. 263-297

Pietro Parodi and Peter Watson

FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS pp. 299-333

Łukasz Delong, Jan Dhaene and Karim Barigou

ECONOMIC SCENARIO GENERATOR AND PARAMETER UNCERTAINTY: A BAYESIAN APPROACH pp. 335-372

Jean-François Bégin

MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS pp. 373-407

Rui Zhou

JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS pp. 409-432

Fabio Gobbi, Nikolai Kolev and Sabrina Mulinacci

BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL pp. 433-455

Qing Liu, Chen Ling, Deyuan Li and Liang Peng

CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION pp. 457-490

Qihe Tang and Zhongyi Yuan

INDEX INSURANCE DESIGN pp. 491-523

Jinggong Zhang, Ken Seng Tan and Chengguo Weng

ORDERING PROPERTIES OF EXTREME CLAIM AMOUNTS FROM HETEROGENEOUS PORTFOLIOS pp. 525-554

Yiying Zhang, Xiong Cai and Peng Zhao

Volume 49, issue 1, 2019

TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN pp. 5-30

An Chen, Peter Hieber and Jakob K. Klein

VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO pp. 31-56

T. Bienek and M. Scherer

HOW FUNCTIONAL DATA CAN ENHANCE THE ESTIMATION OF HEALTH EXPECTANCY: THE CASE OF DISABLED SPANISH POPULATION pp. 57-84

Irene Albarrán, Pablo J. Alonso-González, Ana Arribas-Gil and Aurea Grané

PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES pp. 85-116

Mogens Steffensen and Julie Thøgersen

FREQUENTIST INFERENCE IN INSURANCE RATEMAKING MODELS ADJUSTING FOR MISREPRESENTATION pp. 117-146

Rexford M. Akakpo, Michelle Xia and Alan M. Polansky

DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS pp. 147-168

M. Sánchez-Sánchez, M.A. Sordo, A. Suárez-Llorens and E. Gómez-Déniz

NEW RESULTS ON THE DISTRIBUTION OF DISCOUNTED COMPOUND POISSON SUMS pp. 169-187

Zhehao Zhang

AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL pp. 189-215

Zarina Nukeshtayeva Oflaz, Ceylan Yozgatligil and A. Sevtap Selcuk-Kestel

A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT pp. 217-242

A. Floryszczak, J. Lévy Véhel and M. Majri

ON THE OPTIMALITY OF A STRAIGHT DEDUCTIBLE UNDER BELIEF HETEROGENEITY pp. 243-262

Yichun Chi