ASTIN Bulletin

1958 - 2025

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

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