ASTIN Bulletin

1958 - 2025

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

Volume 37, issue 2, 2007

The History of ASTIN. Invited Lecture at the 50 Years Anniversary of ASTIN pp. 191-202

Hans Bühlmann

On Exact Solutions for Dividend Strategies of Threshold and Linear Barrier Type in a Sparre Andersen Model* pp. 203-233

Hansjörg Albrecher, Jürgen Hartinger and Stefan Thonhauser

A Discrete-Time Model for Reinvestment Risk in Bond Markets* pp. 235-264

Mikkel Dahl

The Quantitative Modeling of Operational Risk: Between G-and-H and EVT pp. 265-291

Matthias Degen, Paul Embrechts and Dominik D. Lambrigger

Algorithmic Analysis of the Sparre Andersen Model in Discrete Time pp. 293-317

Attahiru Sule Alfa and Steve Drekic

A Note on a Recent Paper by Zaks, Frostig and Levikson pp. 319-321

Klaus D. Schmidt

Structural Parameter Estimation Using Generalized Estimating Equations for Regression Credibility Models pp. 323-343

Chi Ho Lo, Wing Kam Fung and Zhong Yi Zhu

Generalized Linear Models beyond the Exponential Family with Loss Reserve Applications* pp. 345-364

Gary G. Venter

Quantifying and Correcting the Bias in Estimated Risk Measures pp. 365-386

Joseph Hyun Tae Kim and Mary R. Hardy

Local Moment Matching and S-convex Extrema pp. 387-404

Cindy Courtois and Michel Denuit

On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation pp. 405-428

José L. Vilar-Zanón and Cristina Lozano-Colomer

A Correction for Ascertainment Bias in Estimating Rates of Onset of Highly Penetrant Genetic Disorders pp. 429-452

Carolina Espinosa and Angus Macdonald

Effective Implementation of Generic Market Models pp. 453-473

Mark Joshi and Lorenzo Liesch

A Primer on Copulas for Count Data pp. 475-515

Christian Genest and Johanna Nešlehová

Credibility, Hypothesis Testing and Regression Software pp. 517-535

Greg Taylor

Volume 37, issue 1, 2007

Dynamic Pricing of General Insurance in a Competitive Market pp. 1-34

Paul Emms

Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures pp. 35-52

Mark Johnston

Bonus-malus Systems as Markov Set-chains pp. 53-65

Małgorzata Niemiec

Locally Risk-minimizing Hedging of Insurance Payment Streams pp. 67-91

Martin Riesner

Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures pp. 93-112

Jun Cai and Ken Seng Tan

An Individual Claims Reserving Model pp. 113-132

Christian Roholte Larsen

Some Notes on the Average Duration of an Income Protection Claim* pp. 133-148

Isabel Maria Ferraz Cordeiro

Mortality Projection Based on the Wang Transform pp. 149-161

Piet De Jong and Claymore Marshall

Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds* pp. 163-183

Alexandros A. Zimbidis, Nickolaos E. Frangos and Athanasios A. Pantelous