ASTIN Bulletin

1958 - 2025

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

Volume 38, issue 2, 2008

Optimal Insurance and Reinsurance Policies in the Risk Process pp. 383-397

A.Y. Golubin

Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches pp. 399-422

Eric C.K. Cheung and Steve Drekic

Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis 1 pp. 423-440

Ralf Korn and Anke Wiese

Pareto Optimality and Equilibrium in an Insurance Market pp. 441-459

Alexey Y. Golubin

The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model pp. 461-481

Florin Avram and Miguel Usabel

Market Consistent Pricing of Insurance Products pp. 483-526

Semyon Malamud, Eugene Trubowitz and Mario V. Wüthrich

Sampling Distributions of Critical Illness Insurance Premium Rates: Breast and Ovarian Cancer pp. 527-542

Li Lu, Angus Macdonald and Howard Waters

Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws pp. 543-563

Eric Ulm

Credibility for the Chain Ladder Reserving Method pp. 565-600

Alois Gisler and Mario V. Wüthrich

Economic Capital Allocations for Non-negative Portfolios of Dependent Risks pp. 601-619

Edward Furman and Zinoviy Landsman

A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities 1 pp. 621-651

Daniel Bauer, Alexander Kling and Jochen Russ

Optimal Dividends in the Dual Model with Diffusion pp. 653-667

Benjamin Avanzi and Hans U. Gerber

Volume 38, issue 1, 2008

Allocation of Capital Between Assets and Liabilities pp. 1-11

Yingjie Zhang

Tax-Deductible Pre-Event Catastrophe Loss Reserves: The Case of Florida1 pp. 13-51

Andreas Milidonis and Martin Grace

The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model pp. 53-71

Shuanming Li and Yi Lu

Using Multi-Dimensional Credibility to Estimate Class Frequency Vectors in Workers Compensation pp. 73-85

Jose Couret and Gary Venter

The Prediction Error of Bornhuetter/Ferguson pp. 87-103

Thomas Mack

General Pareto Optimal Allocations and Applications to Multi-Period Risks1 pp. 105-136

Pauline Barrieu and Giacomo Scandolo

Multivariate Latent Risk: A Credibility Approach pp. 137-146

Martin Englund, Montserrat Guillén, Jim Gustafsson, Lars Hougaard Nielsen and Jens Perch Nielsen

Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks pp. 147-159

Alexandru V. Asimit and Bruce L. Jones

On the Optimal Pricing of a Heterogeneous Portfolio pp. 161-170

Gennady I. Falin

On the Applicability of the Wang Transform for Pricing Financial Risks pp. 171-181

Antoon Pelsser

On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach pp. 183-206

Esther Frostig

Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution pp. 207-230

Jennifer Chan, S.T. Boris Choy and Udi E. Makov

Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach pp. 231-257

Holger Kraft and Mogens Steffensen

Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin pp. 259-276

David C.M. Dickson

Posterior Regret Γ-Minimax Estimation of Insurance Premium in Collective Risk Model pp. 277-291

Agata Boratyńska

Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions* pp. 293-339

Shaun Yow and Michael Sherris

The Impact of Capital Structure on Economic Capital and Risk Adjusted Performance pp. 341-380

Bruce T. Porteous and Pradip Tapadar