ASTIN Bulletin

1958 - 2025

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

Volume 41, issue 2, 2011

Development Pattern and Prediction Error for the Stochastic Bornhuetter-Ferguson Claims Reserving Method pp. 279-313

Annina Saluz, Alois Gisler and Mario V. Wüthrich

Market-Consistent Valuation of Insurance Liabilities by Cost of Capital pp. 315-341

Christoph Möhr

The Impact of Genetic Information on the Insurance Industry: Conclusions from the ‘Bottom-Up’ Modelling Programme pp. 343-376

Angus Macdonald and Fei Yu

Modelling Adult Mortality in Small Populations: The Saint Model pp. 377-418

Søren Fiig Jarner and Esben Masotti Kryger

Modelling and Forecasting the Mortality of the Very Old pp. 419-427

Iain D. Currie

Fair Valuation of Life Insurance Contracts Under a Correlated Jump Diffusion Model pp. 429-447

Yinghui Dong

Dependent Loss Reserving using Copulas pp. 449-486

Peng Shi and Edward W. Frees

Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach pp. 487-509

Yichun Chi and Ken Seng Tan

The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities pp. 511-545

Alexander Kling, Frederik Ruez and Jochen Ruß

Optimal Reinsurance Revisited – Point of View of Cedent and Reinsurer pp. 547-574

Werner Hürlimann

Modelling Dependence in Insurance Claims Processes with Lévy Copulas pp. 575-609

Benjamin Avanzi, Luke C. Cassar and Bernard Wong

Optimal Dividends and Capital Injections in the Dual Model with Diffusion pp. 611-644

Benjamin Avanzi, Jonathan Shen and Bernard Wong

Randomized Observation Periods for the Compound Poisson Risk Model: Dividends pp. 645-672

Hansjörg Albrecher, Eric C.K. Cheung and Stefan Thonhauser

Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default pp. 673-710

Fabio Sigrist and Werner A. Stahel

Volume 41, issue 1, 2011

On Maximum Likelihood and Pseudo-Maximum Likelihood Estimation in Compound Insurance Models with Deductibles pp. 1-28

Jostein Paulsen and Knut Stubø

Bayesian Stochastic Mortality Modelling for Two Populations pp. 29-59

Andrew J.G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan and Marwa Khalaf-Allah

Pension Fund Management and Conditional Indexation pp. 61-86

Torsten Kleinow

A Bayesian Approach for Estimating Extreme Quantiles Under a Semiparametric Mixture Model pp. 87-106

Stefano Cabras and María Eugenia Castellanos

Cash Flow Simulation for a Model of Outstanding Liabilities Based on Claim Amounts and Claim Numbers pp. 107-129

María Dolores Martínez Miranda, Bent Nielsen, Jens Perch Nielsen and Richard Verrall

Maximum Likelihood and Estimation Efficiency of the Chain Ladder pp. 131-155

Greg Taylor

Ambiguity Aversion: A New Perspective on Insurance Pricing pp. 157-189

Lin Zhao and Wei Zhu

Measuring Comonotonicity in M-Dimensional Vectors pp. 191-213

Inge Koch and Ann De Schepper

On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula pp. 215-238

Mathieu Bargès, Hélène Cossette, Stéphane Loisel and Étienne Marceau

A Note on Subadditivity of Zero-Utility Premiums pp. 239-250

Michel M. Denuit, Louis Eeckhoudt and Mario Menegatti

Statistiscal Analysis of the Spreads of Catastrophe Bonds at the Time of Issue pp. 251-277

Dimitris Papachristou