ASTIN Bulletin

1958 - 2025

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

Volume 36, issue 2, 2006

The Impact of Multifactorial Genetic Disorders on Critical Illness Insurance: A Simulation Study Based on UK Biobank pp. 311-346

Angus Macdonald, Delme Pritchard and Pradip Tapadar

A Note on Credit Insurance pp. 347-360

Johannes Leitner

On the Tail Behavior of Sums of Dependent Risks pp. 361-373

Philippe Barbe, Anne-Laure Fougères and Christian Genest

Marginal Decomposition of Risk Measures pp. 375-413

Gary G. Venter, John A. Major and Rodney E. Kreps

Optimal Dynamic Reinsurance pp. 415-432

David C.M. Dickson and Howard R. Waters

Tail Variance Premium with Applications for Elliptical Portfolio of Risks pp. 433-462

Edward Furman and Zinoviy Landsman

A Damaged Generalised Poisson Model and its Application to Reported and Unreported Accident Counts pp. 463-487

David P.M. Scollnik

A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier pp. 489-503

Hans U. Gerber, X. Sheldon Lin and Hailiang Yang

Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework pp. 505-520

Marisa Cenci, Massimiliano Corradini and Andrea Gheno

The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited) pp. 521-542

Markus Buchwalder, Hans Bühlmann, Michael Merz and Mario V. Wüthrich

The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment pp. 543-552

Thomas Mack, Gerhard Quarg and Christian Braun

The Mean Square Error of Prediction in the Chain Ladder Reserving Method – Final Remark pp. 553-553

Markus Buchwalder, Hans Bühlmann, Michael Merz and Mario V. Wüthrich

The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach pp. 554-565

Alois Gisler

Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method pp. 566-571

Gary G. Venter

On Bayesian Mixture Credibility pp. 573-588

John W. Lau, Tak Kuen Siu and Hailiang Yang

Adverse Selection Spirals pp. 589-628

Piet De Jong and Shauna Ferris

Life Annuitization: Why and how Much? pp. 629-654

Donatien Hainaut and Pierre Devolder

Volume 36, issue 1, 2006

Maximizing Dividends without Bankruptcy pp. 5-23

Hans U. Gerber, Elias S.W. Shiu and Nathaniel Smith

Vehicle and Fleet Random Effects in a Model of Insurance Rating for Fleets of Vehicles pp. 25-77

Jean-François Angers, Denise Desjardins, Georges Dionne and François Guertin

Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* pp. 79-120

Andrew J.G. Cairns, David Blake and Kevin Dowd

Exact Credibility and Tweedie Models pp. 121-133

Esbjörn Ohlsson and Björn Johansson

Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches* pp. 135-160

Herold Ulf and Maurer Raimond

Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level pp. 161-185

Yaniv Zaks, Esther Frostig and Benny Levikson

Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions pp. 187-217

Mahmoud Hamada, Michael Sherris and John van der Hoek

Risk Exchange with Distorted Probabilities pp. 219-243

Andreas Tsanakas and Nicos Christofides

Quadratic Optimization of Life and Pension Insurance Payments pp. 245-267

Mogens Steffensen

A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks pp. 269-283

Masaaki Kijima

Fixed versus Random Effects in Poisson Regression Models for Claim Counts: A Case Study with Motor Insurance pp. 285-301

Jean-Philippe Boucher and Michel Denuit