ASTIN Bulletin

1958 - 2025

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

Volume 46, issue 3, 2016

A CREDIBILITY APPROACH FOR COMBINING LIKELIHOODS OF GENERALIZED LINEAR MODELS pp. 531-569

Marcus C. Christiansen and Edo Schinzinger

EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING pp. 571-604

Moshe Milevsky and Thomas S. Salisbury

OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION pp. 605-626

An Chen and Peter Hieber

HOW ACCURATELY DOES 70% FINAL EMPLOYMENT EARNINGS REPLACEMENT MEASURE RETIREMENT INCOME (IN)ADEQUACY? INTRODUCING THE LIVING STANDARDS REPLACEMENT RATE (LSRR) pp. 627-676

Bonnie-Jeanne MacDonald, Lars Osberg and Kevin D. Moore

GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS pp. 677-707

Jennifer Alonso-García and Pierre Devolder

ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS pp. 709-746

Benjamin Avanzi, Vincent Tu and Bernard Wong

ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK pp. 747-778

Lin Yang, Athanasios A. Pantelous and Hirbod Assa

EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION pp. 779-799

Cuihong Yin and X. Sheldon Lin

SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL pp. 801-814

Evgueni Gordienko and Patricia Vázquez-Ortega

OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER pp. 815-849

Jun Cai, Christiane Lemieux and Fangda Liu

Volume 46, issue 2, 2016

CONSISTENT YIELD CURVE PREDICTION pp. 191-224

Josef Teichmann and Mario V. Wüthrich

CORRELATIONS BETWEEN INSURANCE LINES OF BUSINESS: AN ILLUSION OR A REAL PHENOMENON? SOME METHODOLOGICAL CONSIDERATIONS pp. 225-263

Benjamin Avanzi, Greg Taylor and Bernard Wong

INSURANCE LOSS COVERAGE UNDER RESTRICTED RISK CLASSIFICATION: THE CASE OF ISO-ELASTIC DEMAND pp. 265-291

MingJie Hao, Angus S. Macdonald, Pradip Tapadar and R. Guy Thomas

CHAIN LADDER AND ERROR PROPAGATION pp. 293-330

Ancus Röhr

LIFE CARE ANNUITIES (LCA) EMBEDDED IN A NOTIONAL DEFINED CONTRIBUTION (NDC) FRAMEWORK pp. 331-363

Javier Pla-Porcel, Manuel Ventura-Marco and Carlos Vidal-Melia

OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE pp. 365-399

Dingjun Yao, Hailiang Yang and Rongming Wang

MODELING THE NUMBER OF INSURED HOUSEHOLDS IN AN INSURANCE PORTFOLIO USING QUEUING THEORY pp. 401-430

Jean-Philippe Boucher and Guillaume Couture-Piché

THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL pp. 431-467

Mark Joshi and Dan Zhu

USING WEIGHTED DISTRIBUTIONS TO MODEL OPERATIONAL RISK pp. 469-485

Lourdes B. Afonso and Pedro Corte Real

MARITAL STATUS AS A RISK FACTOR IN LIFE INSURANCE: AN EMPIRICAL STUDY IN TAIWAN pp. 487-505

Hsin Chung Wang, Jack C. Yue and Yi-Hsuan Tsai

PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS pp. 507-530

Tim J. Boonen, Ken Seng Tan and Sheng Chao Zhuang

Volume 46, issue 1, 2016

TAMING UNCERTAINTY: THE LIMITS TO QUANTIFICATION1 pp. 1-7

Andreas Tsanakas, M. Bruce Beck and Michael Thompson

INTERNATIONAL CAUSE-SPECIFIC MORTALITY RATES: NEW INSIGHTS FROM A COINTEGRATION ANALYSIS pp. 9-38

Séverine Arnold-Gaille and Michael Sherris

THE USE OF ANNUAL MILEAGE AS A RATING VARIABLE pp. 39-69

Jean Lemaire, Sojung Carol Park and Kili C. Wang

LIFE INSURANCE AND PENSION CONTRACTS II: THE LIFE CYCLE MODEL WITH RECURSIVE UTILITY pp. 71-102

Knut Aase

HOW A SINGLE-FACTOR CAPM WORKS IN A MULTI-CURRENCY WORLD pp. 103-139

Robert Thomson, Şule Şahin and Taryn Reddy

THE DESIGN OF AN OPTIMAL RETROSPECTIVE RATING PLAN pp. 141-163

Xinxiang Chen, Yichun Chi and Ken Seng Tan

MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE pp. 165-190

Helena Chuliá, Montserrat Guillén and Jorge Uribe