ASTIN Bulletin

1958 - 2025

From Cambridge University Press
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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

Volume 39, issue 2, 2009

Modelling Adverse Selection in The Presence of a Common Genetic Disorder: the Breast Cancer Polygene pp. 373-402

Angus S. Macdonald and Kenneth R. McIvor

Demand Elasticity, Risk Classification and Loss Coverage: When Can Community Rating Work? pp. 403-428

R. Guy Thomas

Quasi-Likelihood Estimation of Benchmark Rates for Excess of Loss Reinsurance Programs pp. 429-452

Robert Verlaak, Werner Hürlimann and Jan Beirlant

Taylor Approximations for Model Uncertainty within the Tweedie Exponential Dispersion Family pp. 453-477

Daniel H. Alai and Mario V. Wüthrich

Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation pp. 479-494

Xuemiao Hao and Qihe Tang

On Parameter Estimation in Hierarchical Credibility pp. 495-514

Hassine Belhadj, Vincent Goulet and Tommy Ouellet

Option Pricing in a Jump-Diffusion Model with Regime Switching pp. 515-539

Fei Lung Yuen and Hailiang Yang

Stochastic Mortality: The Impact on Target Capital pp. 541-563

Annamaria Olivieri and Ermanno Pitacco

Multi-Level Risk Aggregation pp. 565-575

Damir Filipović

Continuous Monitoring: Does Credit Risk Vanish? 1 pp. 577-589

Snorre Lindset and Svein-Arne Persson

Sharing Risk – An Economic Perspective pp. 591-613

Andreas Kull

The Application of Expected-Utility Theory to the Choice of Investment Channels in a Defined-Contribution Retirement Fund pp. 615-647

Shaun Levitan and Robert Thomson

Scenario Analysis for a Multi-Period Diffusion Model of Risk pp. 649-676

Vsevolod K. Malinovskii

A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model pp. 677-689

Huijuan Liu and Richard Verrall

New Goodness-of-Fit Tests for Pareto Distributions* pp. 691-715

Maria L. Rizzo

A Note on Nonparametric Estimation of the CTE pp. 717-734

Bangwon Ko, Ralph P. Russo and Nariankadu D. Shyamalkumar

Asymptotics for Operational Risk Quantified with Expected Shortfall pp. 735-752

Francesca Biagini and Sascha Ulmer

Volume 39, issue 1, 2009

Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models pp. 1-33

Gareth W. Peters, Pavel V. Shevchenko and Mario V. Wüthrich

Predictive Distributions for Reserves which Separate True IBNR and IBNER Claims pp. 35-60

Huijuan Liu and Richard Verrall

Full Credibility with Generalized Linear and Mixed Models pp. 61-80

José Garrido and Jun Zhou

Credible Loss Ratio Claims Reserves: the Benktander, Neuhaus and Mack Methods Revisited pp. 81-99

Werner Hürlimann

Risk Measures and Efficient use of Capital 1 pp. 101-116

Philippe Artzner, Freddy Delbaen and Pablo Koch-Medina

Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums pp. 117-136

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

Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach pp. 137-164

Johnny Siu-Hang Li, Mary R. Hardy and Ken Seng Tan

Actuarial Applications of a Hierarchical Insurance Claims Model pp. 165-197

Edward W. Frees, Peng Shi and Emiliano A. Valdez

Estimating the Variance of Bootstrapped Risk Measures pp. 199-223

Joseph H.T. Kim and Mary R. Hardy

Analysis of the Compound Poisson Surplus Model with Liquid Reserves, Interest and Dividends pp. 225-247

Jun Cai, Runhuan Feng and Gordon E. Willmot

Assessing Individual Unexplained Variation in Non-Life Insurance pp. 249-273

Ola Hössjer, Bengt Eriksson, Kajsa Järnmalm and Esbjörn Ohlsson

Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result pp. 275-306

Hans Bühlmann, Massimo De Felice, Alois Gisler, Franco Moriconi and Mario V. Wüthrich

Generalized Bonus-Malus Systems with a Frequency and a Severity Component on an Individual Basis in Automobile Insurance* pp. 307-315

Rahim Mahmoudvand and Hossein Hassani

Quasi Risk-Neutral Pricing in Insurance pp. 317-337

Harry Niederau and Peter Zweifel

Stochastic Models for Actuarial Use: The Equilibrium Modelling of Local Markets pp. 339-370

Robert J. Thomson and Dmitri V. Gott