ASTIN Bulletin

1958 - 2025

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

Volume 45, issue 3, 2015

DIFFERENCES IN EUROPEAN MORTALITY RATES: A GEOMETRIC APPROACH ON THE AGE–PERIOD PLANE pp. 477-502

Marcus C. Christiansen, Evgeny Spodarev and Verena Unseld

RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES pp. 503-550

Alice X.D. Dong, Jennifer Chan and Gareth W. Peters

OPTIMAL MIX BETWEEN PAY AS YOU GO AND FUNDING FOR PENSION LIABILITIES IN A STOCHASTIC FRAMEWORK pp. 551-575

Pierre Devolder and Roberta Melis

MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS pp. 577-599

Anas Abdallah, Jean-Philippe Boucher and Hélène Cossette

COMPARISON OF APPROXIMATIONS FOR COMPOUND POISSON PROCESSES pp. 601-637

Raffaello Seri and Christine Choirat

MODELLING INSURANCE DATA WITH THE PARETO ARCTAN DISTRIBUTION pp. 639-660

Emilio Gómez-Déniz and Enrique Calderín-Ojeda

PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE pp. 661-678

Edward Furman, Jianxi Su and Ričardas Zitikis

DISAPPOINTMENT AVERSION PREMIUM PRINCIPLE pp. 679-702

Ka Chun Cheung, Wing Fung Chong, Robert Elliott and Sheung Chi Phillip Yam

COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES pp. 703-728

Tim J. Boonen

FITTING MIXTURES OF ERLANGS TO CENSORED AND TRUNCATED DATA USING THE EM ALGORITHM pp. 729-758

Roel Verbelen, Lan Gong, Katrien Antonio, Andrei Badescu and Sheldon Lin

Volume 45, issue 2, 2015

CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION pp. 239-266

Mark J. Cathcart, Hsiao Yen Lok, Alexander J. McNeil and Steven Morrison

A QUANTITATIVE STUDY OF CHAIN LADDER BASED PRICING APPROACHES FOR LONG-TAIL QUOTA SHARES pp. 267-307

Ulrich Riegel

CREDIBILITY CLAIMS RESERVING WITH STOCHASTIC DIAGONAL EFFECTS pp. 309-353

Hans Bühlmann and Franco Moriconi

VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK pp. 355-395

Chi Chung Siu, Sheung Chi Phillip Yam and Hailiang Yang

OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL pp. 397-419

An Chen and Łukasz Delong

RECURSIVE CALCULATION OF RUIN PROBABILITIES AT OR BEFORE CLAIM INSTANTS FOR NON-IDENTICALLY DISTRIBUTED CLAIMS pp. 421-443

Anisoara Maria Raducan, Raluca Vernic and Gheorghita Zbaganu

COMPOSITE BERNSTEIN COPULAS pp. 445-475

Jingping Yang, Zhijin Chen, Fang Wang and Ruodu Wang

Volume 45, issue 1, 2015

LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL pp. 1-47

Knut Aase

ACTUARIAL FAIRNESS AND SOLIDARITY IN POOLED ANNUITY FUNDS pp. 49-74

Catherine Donnelly

BAYESIAN CHAIN LADDER MODELS pp. 75-99

Greg Taylor

PRICING A MOTOR EXTENDED WARRANTY WITH LIMITED USAGE COVER pp. 101-125

Fidelis T. Musakwa

SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL pp. 127-150

Eugenio V. Rodríguez-Martínez, Rui M. R. Cardoso and Alfredo Egidio dos Reis

ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS pp. 151-173

Gordon E. Willmot and Jae-Kyung Woo

ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS pp. 175-205

Enkelejd Hashorva and Gildas Ratovomirija

PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS pp. 207-238

Ming Zhou and Kam C. Yuen