ASTIN Bulletin

1958 - 2025

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

Volume 35, issue 2, 2005

Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models pp. 337-349

Marek Kaluszka

Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model pp. 351-361

Andrew C.Y. Ng and Hailiang Yang

Pareto-optimal Contracts in an Insurance Market pp. 363-378

A.Y. Golubin

Multivariate Counting Processes: Copulas and Beyond pp. 379-408

Nicole Bäuerle and Rudolf Grübel

Applying the Proportional Hazard Premium Calculation Principle pp. 409-425

Maria de Lourdes Centeno and e Silva João Andrade

Pricing General Insurance Using Optimal Control Theory pp. 427-453

Paul Emms and Steven Haberman

Calculation of LTC Premiums Based on Direct Estimates of Transition Probabilities pp. 455-469

Florian Helms, Claudia Czado and Susanne Gschlößl

Insurance Capital as a Shared Asset pp. 471-486

Donald Mango

Book Reviews - David C.M. Dickson (2005) Insurance Risk and Ruin. Cambridge University Press (CUP). ISBN 0-521-846404 pp. 487-488

François Dufresne

P. Cizek, W. Härdle, R. Weron (Eds.), 2005, Statistical Tools for Finance and Insurance, Springer pp. 488-489

Anna Maria De Meyer

Volume 35, issue 1, 2005

EM Algorithm for Mixed Poisson and Other Discrete Distributions pp. 3-24

Dimitris Karlis

Analysis of the Expected Shortfall of Aggregate Dependent Risks pp. 25-43

Stan Alink, Matthias Löwe and Mario V. Wüthrich

The Density of the Time to Ruin in the Classical Poisson Risk Model pp. 45-60

David C.M. Dickson and Gordon E. Willmot

Ruin Probabilities for Two Classes of Risk Processes pp. 61-77

Shuanming Li and José Garrido

Market Based Tools for Managing the Life Insurance Company pp. 79-111

Massimo De Felice and Franco Moriconi

Explicit Solutions for Survival Probabilities in the Classical Risk Model pp. 113-130

Jorge M.A. Garcia

Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models pp. 131-144

D.A. Stanford, F. Avram, A.L. Badescu, L. Breuer, A. Da Silva Soares and G. Latouche

A Review on Phase-type Distributions and their Use in Risk Theory pp. 145-161

Mogens Bladt

Premium Calculation for Fat-tailed Risk pp. 163-188

Roger Gay

Tail Conditional Expectations for Exponential Dispersion Models pp. 189-209

Zinoviy Landsman and Emiliano A. Valdez

Excess of Loss Reinsurance with Reinstatements Revisited pp. 211-238

Werner Hürlimann

Proportional Hazard Estimation Adjusted by Continuous Credibility pp. 239-258

Jens Perch Nielsen and Bjørn Lunding Sandqvist

Bonus-malus Systems with Varying Deductibles pp. 261-274

Sandra Pitrebois, Jean-François Walhin and Michel Denuit

Fair Valuation of Various Participation Schemes in Life Insurance pp. 275-297

Pierre Devolder and Inmaculada Domínguez-Fabián

Bonus-malus Systems in a Deregulated Environment: Forecasting Market Shares Using Diffusion Models pp. 299-319

Krupa Viswanathan and Jean Lemaire