ASTIN Bulletin

1958 - 2025

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Volume 48, issue 3, 2018

MULTIVARIATE MODELLING OF HOUSEHOLD CLAIM FREQUENCIES IN MOTOR THIRD-PARTY LIABILITY INSURANCE pp. 969-993

Florian Pechon, Julien Trufin and Michel Denuit

LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS pp. 995-1024

Johannes Schumacher

OPTIMUM INSURANCE CONTRACTS WITH BACKGROUND RISK AND HIGHER-ORDER RISK ATTITUDES pp. 1025-1047

Yichun Chi and Wei Wei

MODELLING AND ESTIMATING INDIVIDUAL AND FIRM EFFECTS WITH COUNT PANEL DATA pp. 1049-1078

Jean-François Angers, Denise Desjardins, Georges Dionne and François Guertin

AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS pp. 1079-1107

José María Sarabia, Emilio Gómez-Déniz, Faustino Prieto and Vanesa Jordá

COMMON SHOCK MODELS FOR CLAIM ARRAYS pp. 1109-1136

Benjamin Avanzi, Greg Taylor and Bernard Wong

COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE pp. 1137-1156

Shengwang Meng and Guangyuan Gao

AN EXTREME-VALUE THEORY APPROXIMATION SCHEME IN REINSURANCE AND INSURANCE-LINKED SECURITIES pp. 1157-1173

Anonymous

PRICING OF CYBER INSURANCE CONTRACTS IN A NETWORK MODEL pp. 1175-1218

Matthias A. Fahrenwaldt, Stefan Weber and Kerstin Weske

SOLVENCY REQUIREMENT IN A UNISEX MORTALITY MODEL pp. 1219-1243

An Chen, Montserrat Guillen and Elena Vigna

DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS pp. 1245-1275

Xiaobai Zhu, Mary R. Hardy and David Saunders

DRAWING DOWN RETIREMENT SAVINGS—DO PENSIONS, TAXES AND GOVERNMENT TRANSFERS MATTER MUCH FOR OPTIMAL DECISIONS? pp. 1277-1306

Bonnie-Jeanne MacDonald, Richard J. Morrison, Marvin Avery and Lars Osberg

GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS pp. 1307-1347

Mike Ludkovski, Jimmy Risk and Howard Zail

GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS – CORRIGENDUM pp. 1349-1349

Mike Ludkovski, Jimmy Risk and Howard Zail

Volume 48, issue 2, 2018

A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST pp. 481-508

Donatien Hainaut

SMOOTHING POISSON COMMON FACTOR MODEL FOR PROJECTING MORTALITY JOINTLY FOR BOTH SEXES pp. 509-541

David Pitt, Jackie Li and Tian Kang Lim

AGE-SPECIFIC ADJUSTMENT OF GRADUATED MORTALITY pp. 543-569

Yahia Salhi and Pierre-Emmanuel Thérond

ON INTEGRATED CHANCE CONSTRAINTS IN ALM FOR PENSION FUNDS pp. 571-609

Youssouf A. F. Toukourou and François Dufresne

LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK pp. 611-646

Denis-Alexandre Trottier, Frédéric Godin and Emmanuel Hamel

ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS pp. 647-672

Benjamin Avanzi, Lars Frederik Brandt Henriksen and Bernard Wong

SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION pp. 673-698

Alexandru V. Asimit and Jinzhu Li

A GENERALIZED LOSS RATIO METHOD DEALING WITH UNCERTAIN VOLUME MEASURES pp. 699-747

Ulrich Riegel

COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING pp. 749-777

Gilles Dupin, Emmanuel Koenig, Pierre Le Moine, Alain Monfort and Eric Ratiarison

SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH pp. 779-815

Wenjun Zhu, Ken Seng Tan, Lysa Porth and Chou-Wen Wang

ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES pp. 817-839

Yiying Zhang, Xiaohu Li and Ka Chun Cheung

ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION pp. 841-870

Maissa Tamraz and Raluca Vernic

MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION pp. 871-904

Jennifer Chan, S.T.B. Choy, U.E. Makov and Z. Landsman

ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER pp. 905-960

Lv Chen and Yang Shen

Volume 48, issue 1, 2018

CHAIN-LADDER METHOD AND MIDYEAR LOSS RESERVING pp. 3-24

René Dahms

A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING pp. 25-53

Patrizia Gigante, Liviana Picech and Luciano Sigalotti

STOCHASTIC CLAIMS RESERVING VIA A BAYESIAN SPLINE MODEL WITH RANDOM LOSS RATIO EFFECTS pp. 55-88

Guangyuan Gao and Shengwang Meng

PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE pp. 89-110

Gary Venter and Şule Şahın

IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH pp. 111-137

Catherine Donnelly, Montserrat Guillen, Jens Perch Nielsen and Ana Maria Pérez-Marín

FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY pp. 139-169

Katja Ignatieva, Andrew Song and Jonathan Ziveyi

FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING pp. 171-196

Nicolas Privault and Xiao Wei

DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY pp. 197-232

Hong Li

NATURAL HEDGING IN LONG-TERM CARE INSURANCE pp. 233-274

Susanna Levantesi and Massimiliano Menzietti

ROBUST AND EFFICIENT FITTING OF SEVERITY MODELS AND THE METHOD OF WINSORIZED MOMENTS pp. 275-309

Qian Zhao, Vytaras Brazauskas and Jugal Ghorai

ON THE AGGREGATION OF EXPERTS' INFORMATION IN BONUS–MALUS SYSTEMS pp. 311-337

Víctor Blanco and José M. Pérez-Sánchez

EVOLUTIONARY HIERARCHICAL CREDIBILITY pp. 339-374

Greg Taylor

ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING pp. 375-411

Gilles Stupfler and Fan Yang

STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE pp. 413-434

Shumin Chen, Hailiang Yang and Yan Zeng

ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS pp. 435-477

Zhimin Zhang, Eric C.K. Cheung and Hailiang Yang

PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN SHRINKAGE - ERRATUM pp. 479-479

Gary Venter and Şule Şahın