ASTIN Bulletin

1958 - 2025

From Cambridge University Press
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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

Volume 40, issue 2, 2010

Cost-of-Capital Margin for a General Insurance Liability Runoff pp. 415-451

Robert Salzmann and Mario V. Wüthrich

Robust Estimation of Reserve Risk pp. 453-489

Marc Busse, Ulrich Müller and Michel Dacorogna

Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate pp. 491-517

Knut Aase

Pricing Unemployment Insurance – An Unemployment-Duration-Adjusted Approach pp. 519-545

Hwei-Lin Chuang and Min-Teh Yu

Measurement and Transfer of Catastrophic Risks. A Simulation Analysis pp. 547-568

Enrique de Alba, Jesús Zúñiga and Marco A. Ramírez Corzo

Supervisory Insurance Accounting: Mathematics for Provision – and Solvency Capital – Requirements* pp. 569-585

Philippe Artzner and Karl-Theodor Eisele

First-Order Mortality Rates and Safe-Side Actuarial Calculations in Life Insurance pp. 587-614

Marcus C. Christiansen and Michel M. Denuit

Recursive Formulas for Compound Phase Distributions – Univariate and Bivariate Cases pp. 615-629

Jiandong Ren

Analytical Pricing of the Unit-Linked Endowment with Guarantees and Periodic Premiums pp. 631-653

Werner Hürlimann

Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds pp. 655-667

Mark Joshi and David Pitt

Evaluating Quantile Reserve for Equity-Linked Insurance in a Stochastic Volatility Model: Long vs. Short Memory pp. 669-698

Hwai-Chung Ho, Sharon S. Yang and Fang-I Liu

Dependent Multi-Peril Ratemaking Models pp. 699-726

Frees, Edward W. (Jed), Glenn Meyers and A. David Cummings

On Fire Exposure Rating and the Impact of the Risk Profile Type pp. 727-777

Ulrich Riegel

Model Selection and Claim Frequency for Workers' Compensation Insurance pp. 779-796

Jisheng Cui, David Pitt and Guoqi Qian

Competition-Originated Cycles and Insurance Strategies pp. 797-843

Vsevolod K. Malinovskii

Bootstrapping the Separation Method in Claims Reserving pp. 845-869

Susanna Björkwall, Ola Hössjer and Esbjörn Ohlsson

Prediction of RBNS and IBNR Claims using Claim Amounts and Claim Counts pp. 871-887

Richard Verrall, Jens Perch Nielsen and Anders Hedegaard Jessen

Economic Factors and Solvency pp. 889-915

Harri Nyrhinen

A Row-Wise Stacking of the Runoff Triangle: State Space Alternatives for IBNR Reserve Prediction pp. 917-946

Rodrigo Atherino, Adrian Pizzinga and Cristiano Fernandes

Volume 40, issue 1, 2010

The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis pp. 1-33

Catherine Donnelly and Paul Embrechts

Survival Analysis on Pedigrees: A Marked Point Process Model pp. 35-64

Angus S. Macdonald

On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View pp. 65-95

Daniel Bauer, Daniela Bergmann and Rüdiger Kiesel

Optimal Reinsurance for Variance Related Premium Calculation Principles 1 pp. 97-121

Manuel Guerra and Maria de Lourdes Centeno

Discrete-Time Risk Models Based on Time Series for Count Random Variables pp. 123-150

Hélène Cossette, Etienne Marceau and Véronique Maume-Deschamps

A Multilevel Analysis of Intercompany Claim Counts pp. 151-177

Katrien Antonio, Edward W. Frees and Emiliano A. Valdez

Optimal Risk Control for The Excess of Loss Reinsurance Policies pp. 179-197

Hui Meng and Xin Zhang

Some Remarks on Delayed Renewal Risk Models pp. 199-219

Jae-Kyung Woo

Optimal Reinsurance Revisited – A Geometric Approach pp. 221-239

Ka Chun Cheung

A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process pp. 241-255

Benjamin Baumgartner and Riccardo Gatto

Determining and Allocating Diversification Benefits for a Portfolio of Risks pp. 257-269

Weihao Choo and Piet de Jong

Dispersion Estimates for Poisson and Tweedie Models pp. 271-279

Stig Rosenlund

On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model With Phase-Type Gains pp. 281-306

Andrew C.Y. Ng

Pricing of Reinsurance Contracts in the Presence of Catastrophe Bonds pp. 307-329

Gareth G. Haslip and Vladimir K. Kaishev

Comonotonic Approximations to Quantiles of Life Annuity Conditional Expected Present Values: Extensions to General Arima Models and Comparison with the Bootstrap pp. 331-349

M. Denuit, S. Haberman and A.E. Renshaw

Matrix-Form Recursions for a Family of Compound Distributions pp. 351-368

Xueyuan Wu and Shuanming Li

General Stein-Type Covariance Decompositions with Applications to Insurance and Finance pp. 369-375

Edward Furman and Ričardas Zitikis

Bounded Relative Error Importance Sampling and Rare Event Simulation pp. 377-398

Don L. McLeish

Numerical Evaluation of Continuous Time Ruin Probabilities for a Portfolio with Credibility Updated Premiums pp. 399-414

Lourdes B. Afonso, Alfredo Egidio dos Reis and Howard R. Waters