ASTIN Bulletin

1958 - 2025

From Cambridge University Press
Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
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Volume 44, issue 3, 2014

AN INDUSTRY QUESTION: THE ULTIMATE AND ONE-YEAR RESERVING UNCERTAINTY FOR DIFFERENT NON-LIFE RESERVING METHODOLOGIES pp. 495-499

Eric Dal Moro and Joseph Lo

FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II pp. 501-533

Marcus C. Christiansen and Andreas Niemeyer

ANNUITIZATION BEHAVIOR: TAX INCENTIVES VS. PRODUCT DESIGN pp. 535-558

Alexander Kling, Andreas Richter and Jochen Ruß

STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES pp. 559-585

Carole Bernard, Mary Hardy and Anne Mackay

A POSTERIORI RATEMAKING WITH PANEL DATA pp. 587-612

Jean-Philippe Boucher and Rofick Inoussa

ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS pp. 613-633

Werner Hürlimann

ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS pp. 635-651

Chuancun Yin, Yuzhen Wen and Yongxia Zhao

SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS pp. 653-681

Runhuan Feng and Hans W. Volkmer

Volume 44, issue 2, 2014

THE IMPORTANCE OF THE CHOICE OF TEST FOR FINDING EVIDENCE OF ASYMMETRIC INFORMATION pp. 173-195

Catherine Donnelly, Martin Englund and Jens Perch Nielsen

RISK ANALYSIS OF ANNUITY CONVERSION OPTIONS IN A STOCHASTIC MORTALITY ENVIRONMENT pp. 197-236

Alexander Kling, Jochen Ruß and Katja Schilling

USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS pp. 237-276

Griselda Deelstra, Grégory Rayée, Steven Vanduffel and Jing Yao

DISTORTION RISK MEASURES, AMBIGUITY AVERSION AND OPTIMAL EFFORT pp. 277-302

Christian Y. Robert and Pierre-Emmanuel Thérond

VALUATION OF MORTGAGE INSURANCE CONTRACTS WITH COUNTERPARTY DEFAULT RISK: REDUCED-FORM APPROACH pp. 303-334

Chia-Chien Chang

THE IMPACT OF INFLATION RISK ON FINANCIAL PLANNING AND RISK-RETURN PROFILES pp. 335-365

Stefan Graf, Lena Haertel, Alexander Kling and Jochen Ruß

AN ACTUARIAL BALANCE SHEET MODEL FOR DEFINED BENEFIT PAY-AS-YOU-GO PENSION SYSTEMS WITH DISABILITY AND RETIREMENT CONTINGENCIES pp. 367-415

Manuel Ventura-Marco and Carlos Vidal-Melia

OPTIMAL BONUS-MALUS SYSTEMS USING FINITE MIXTURE MODELS pp. 417-444

George Tzougas, Spyridon Vrontos and Nicholas Frangos

BAYESIAN ASYMMETRIC LOGIT MODEL FOR DETECTING RISK FACTORS IN MOTOR RATEMAKING pp. 445-457

J.M. Pérez-Sánchez, M.A. Negrín-Hernández, C. García-García and E. Gómez-Déniz

DIVIDEND OPTIMIZATION FOR A REGIME-SWITCHING DIFFUSION MODEL WITH RESTRICTED DIVIDEND RATES pp. 459-494

Jinxia Zhu

Volume 44, issue 1, 2014

MODELING THE MORTALITY TREND UNDER MODERN SOLVENCY REGIMES pp. 1-38

Matthias Börger, Daniel Fleischer and Nikita Kuksin

PRICING AND SOLVENCY OF VALUE-MAXIMIZING LIFE ANNUITY PROVIDERS pp. 39-61

Maathumai Nirmalendran, Michael Sherris and Katja Hanewald

STATISTICAL APPROACH FOR OPEN BONUS MALUS pp. 63-83

Gracinda Rita Guerreiro, João Tiago Mexia and Maria de Fátima Miguens

A COPULA REGRESSION FOR MODELING MULTIVARIATE LOSS TRIANGLES AND QUANTIFYING RESERVING VARIABILITY pp. 85-102

Peng Shi

OPTIMAL REINSURANCE WITH LIMITED CEDED RISK: A STOCHASTIC DOMINANCE APPROACH pp. 103-126

Yichun Chi and X. Sheldon Lin

A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS pp. 127-172

Ulrich Riegel

Volume 43, issue 3, 2013

VAR-BASED OPTIMAL PARTIAL HEDGING pp. 271-299

Jianfa Cong, Ken Seng Tan and Chengguo Weng

MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING pp. 301-322

Andreas Tsanakas, Mario V. Wüthrich and Aleš Černý

SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK pp. 323-357

Marcus C. Christiansen and Mogens Steffensen

ON OPTIMAL DIVIDENDS IN THE DUAL MODEL pp. 359-372

Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki

EXOGENOUS AND ENDOGENOUS RISK FACTORS MANAGEMENT TO PREDICT SURRENDER BEHAVIOURS pp. 373-398

Xavier Milhaud

INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK pp. 399-428

Mathieu Pigeon, Katrien Antonio and Michel Denuit

Volume 43, issue 2, 2013

STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY pp. 81-95

Paul Embrechts and Marius Hofert

THE PRICING OF MORTALITY-LINKED CONTINGENT CLAIMS: AN EQUILIBRIUM APPROACH pp. 97-121

Jeffrey T. Tsai and Larry Y. Tzeng

HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS* pp. 123-157

Francesca Biagini, Thorsten Rheinländer and Jan Widenmann

PARTICIPATING PAYOUT LIFE ANNUITIES: LESSONS FROM GERMANY pp. 159-187

Raimond Maurer, Ralph Rogalla and Ivonne Siegelin

SOME DISTRIBUTIONAL PROPERTIES OF A CLASS OF COUNTING DISTRIBUTIONS WITH CLAIMS ANALYSIS APPLICATIONS pp. 189-212

Gordon E. Willmot and Jae-Kyung Woo

FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES pp. 213-243

Hansjörg Albrecher and Volkmar Lautscham

MULTIVARIATE TAIL ESTIMATION WITH APPLICATION TO ANALYSIS OF COVAR pp. 245-270

Tilo Nguyen and Gennady Samorodnitsky

Volume 43, issue 1, 2013

PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING pp. 1-20

Sebastian Happ and Mario V. Wüthrich

A CORRELATION SENSITIVITY ANALYSIS OF NON-LIFE UNDERWRITING RISK IN SOLVENCY CAPITAL REQUIREMENT ESTIMATION pp. 21-37

Lluís Bermúdez, Antoni Ferri and Montserrat Guillén

DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS pp. 39-59

Tianxiang Shi and David Landriault

AN ITERATIVITY CONDITION FOR THE MEAN-VALUE PRINCIPLE UNDER CUMULATIVE PROSPECT THEORY pp. 61-71

Marek Kaluszka and Michał Krzeszowiec

Volume 42, issue 2, 2012

Invited Discussion Paper 1: Surprise, Surprise from Neoclassical Economics to E-Life 2 pp. 389-411

David Ingram, Paul Tayler and Michael Thompson

Key Q-Duration: A Framework for Hedging Longevity Risk pp. 413-452

Johnny Siu-Hang Li and Ancheng Luo

On the Calculation of the Solvency Capital Requirement Based on Nested Simulations* pp. 453-499

Daniel Bauer, Andreas Reuss and Daniela Singer

The Impact of Culture on the Demand for Non-Life Insurance pp. 501-527

Sojung Carol Park and Jean Lemaire

Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability pp. 529-557

Yichun Chi

Are Flexible Premium Variable Annuities Under-Priced? pp. 559-574

Yichun Chi and X. Sheldon Lin

Average Value-at-Risk Minimizing Reinsurance Under Wang's Premium Principle with Constraints pp. 575-600

K.C. Cheung, F. Liu and S.C.P. Yam

Tail Comonotonicity and Conservative Risk Measures pp. 601-629

Lei Hua and Harry Joe

The Covariance Between the Surplus Prior to and at Ruin in the Classical Risk Model pp. 631-653

Georgios Psarrakos and Konstadinos Politis

A Multivariate Discrete Poisson-Lindley Distribution: Extensions and Actuarial Applications pp. 655-678

Emilio Gómez-Déniz, José María Sarabia and N. Balakrishnan

Volume 42, issue 1, 2012

Linear Stochastic Reserving Methods pp. 1-34

René Dahms

Modelling Claims Run-Off with Reversible Jump Markov Chain Monte Carlo Methods pp. 35-58

Richard Verrall, Ola Hössjer and Susanna Björkwall

Double Chain Ladder pp. 59-76

María Dolores Martínez Miranda, Jens Perch Nielsen and Richard Verrall

Global Warming, Extreme Weather Events, and Forecasting Tropical Cyclones: A Market-Based Forward-Looking Approach pp. 77-101

Carolyn W. Chang, Jack S.K. Chang and Kian Guan Lim

Mean-Value Principle under Cumulative Prospect Theory pp. 103-122

Marek Kaluszka and Michał Krzeszowiec

Parameter Uncertainty in Exponential Family Tail Estimation pp. 123-152

Z. Landsman and A. Tsanakas

Modeling Dependent Risks with Multivariate Erlang Mixtures pp. 153-180

Simon C.K. Lee and X. Sheldon Lin

A Nonhomogeneous Poisson Hidden Markov Model for Claim Counts pp. 181-202

Yi Lu and Leilei Zeng

No-Good-Deal, Local Mean-Variance and Ambiguity Risk Pricing and Hedging for an Insurance Payment Process pp. 203-232

Łukasz Delong

Experience and Exposure Rating for Property Per Risk Excess of Loss Reinsurance Revisited pp. 233-270

S. Desmedt, M. Snoussi, X. Chenut and J. F. Walhin

Estimating Copulas for Insurance from Scarce Observations, Expert Opinion and Prior Information: A Bayesian Approach pp. 271-290

Philipp Arbenz and Davide Canestraro

Bootstrapping Individual Claim Histories pp. 291-324

Stig Rosenlund

Conditional Tail Expectation and Premium Calculation* pp. 325-342

Antonio Heras, Beatriz Balbás and José Luis Vilar

On Approximating Law-Invariant Comonotonic Coherent Risk Measures pp. 343-353

Yumiharu Nakano

Higher Moments of the Claims Development Result in General Insurance pp. 355-384

Robert Salzmann, Mario V. Wüthrich and Michael Merz