ASTIN Bulletin

1958 - 2025

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

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