ASTIN Bulletin

1958 - 2025

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

Volume 47, issue 3, 2017

A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES pp. 631-679

Andrés M. Villegas, Steven Haberman, Vladimir K. Kaishev and Pietro Millossovich

A BAYESIAN JOINT MODEL FOR POPULATION AND PORTFOLIO-SPECIFIC MORTALITY pp. 681-713

Frank van Berkum, Katrien Antonio and Michel Vellekoop

TESTING FOR A UNIT ROOT IN LEE–CARTER MORTALITY MODEL pp. 715-735

Xuan Leng and Liang Peng

PROBABILITY OF SUFFICIENCY OF SOLVENCY II RESERVE RISK MARGINS: PRACTICAL APPROXIMATIONS pp. 737-785

Eric Dal Moro and Yuriy Krvavych

AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL pp. 787-801

Yoichiro Fujii, Hideki Iwaki and Yusuke Osaki

LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION pp. 803-836

Jan Dhaene, Els Godecharle, Katrien Antonio, Michel Denuit and Hamza Hanbali

BROKEN-HEART, COMMON LIFE, HETEROGENEITY: ANALYZING THE SPOUSAL MORTALITY DEPENDENCE pp. 837-874

Yang Lu

RATEMAKING OF DEPENDENT RISKS pp. 875-894

J. M. Andrade e Silva and Maria de Lourdes Centeno

THE FULL TAILS GAMMA DISTRIBUTION APPLIED TO MODEL EXTREME VALUES pp. 895-917

Joan del Castillo, Jalila Daoudi and Isabel Serra

BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL pp. 919-942

Edward Furman and Ričardas Zitikis

BAYESIAN ANALYSIS OF BIG DATA IN INSURANCE PREDICTIVE MODELING USING DISTRIBUTED COMPUTING pp. 943-961

Yanwei Zhang

Volume 47, issue 2, 2017

COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY pp. 361-389

Haiyan Liu and Ruodu Wang

RISK SHARING WITH EXPECTED AND DUAL UTILITIES pp. 391-415

Tim J. Boonen

MEASURING THE IMPACT OF A BONUS-MALUS SYSTEM IN FINITE AND CONTINUOUS TIME RUIN PROBABILITIES FOR LARGE PORTFOLIOS IN MOTOR INSURANCE pp. 417-435

Lourdes B. Afonso, Rui M. R. Cardoso, Alfredo Egidio dos Reis and Gracinda Rita Guerreiro

TERRITORIAL RISK CLASSIFICATION USING SPATIALLY DEPENDENT FREQUENCY-SEVERITY MODELS pp. 437-465

Peng Shi and Kun Shi

A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS pp. 467-499

Ambrose Lo

RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS pp. 501-525

Chou-Wen Wang and Hong-Chih Huang

CONTINUOUS-TIME SEMI-MARKOV INFERENCE OF BIOMETRIC LAWS ASSOCIATED WITH A LONG-TERM CARE INSURANCE PORTFOLIO pp. 527-561

Guillaume Biessy

COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH pp. 563-600

Hong Li and Yang Lu

MODELLING MORTALITY FOR PENSION SCHEMES pp. 601-629

Andrew Hunt and David Blake

Volume 47, issue 1, 2017

EXISTENCE AND UNIQUENESS OF CHAIN LADDER SOLUTIONS pp. 1-41

Greg Taylor

LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS pp. 43-77

Craig Blackburn, Katja Hanewald, Annamaria Olivieri and Michael Sherris

THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK pp. 79-151

Yanxin Liu and Johnny Siu-Hang Li

MODEL SELECTION AND AVERAGING OF HEALTH COSTS IN EPISODE TREATMENT GROUPS pp. 153-167

Shujuan Huang, Brian Hartman and Vytaras Brazauskas

APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION pp. 169-198

Zhimin Zhang

REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL pp. 199-238

José-Luis Pérez and Kazutoshi Yamazaki

OPTIMAL FINANCING AND DIVIDEND DISTRIBUTION WITH TRANSACTION COSTS IN THE CASE OF RESTRICTED DIVIDEND RATES pp. 239-268

Jinxia Zhu

POTENTIAL GAMES WITH AGGREGATION IN NON-COOPERATIVE GENERAL INSURANCE MARKETS pp. 269-302

Renchao Wu and Athanasios A. Pantelous

RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES pp. 303-329

Tim J. Boonen

A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT pp. 331-357

Jianxi Su and Edward Furman

SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL-CORRIGENDUM pp. 359-359

Evgueni Gordienko and Patricia Vázquez-Ortega