ASTIN Bulletin

1958 - 2025

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

Volume 34, issue 2, 2004

Second Order Bayes Prediction of Functionals of Exponential Dispersion Distributions and an Application to the Prediction of the Tails pp. 285-298

Zinoviy Landsman

Optimal Premium Plans for Reinsurance with Reinstatements pp. 299-313

Klaus TH. Hess and Klaus D. Schmidt

Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times pp. 315-332

F. Avram and M. Usábel

Modeling and Generating Dependent Risk Processes for IRM and DFA pp. 333-360

Dietmar Pfeifer and Johana Nešlehová

Risk Theory with the Generalized Inverse Gaussian Lévy Process pp. 361-377

Manuel Morales

A Functional Approach to Approximations for the Individual Risk Model pp. 379-397

Susan M. Pitts

The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles pp. 399-423

Christian Braun

The Treatment of Assets in Pension Funding pp. 425-433

M. Iqbal Owadally and Steven Haberman

An Application of Linear Programming to Bonus Malus System Design pp. 435-456

Antonio Heras, José A. Gil, Pilar García-Pineda and José L. Vilar

Volume 34, issue 1, 2004

On Merton’s Problem for Life Insurers pp. 5-25

Mogens Steffensen

An Extension of the Gerber-Bühlmann-Jewell Conditions for Optimal Risk Sharing pp. 27-48

Marek Kaluszka

Some Optimal Dividends Problems pp. 49-74

David C.M. Dickson and Howard R. Waters

On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance pp. 75-83

Morten Hald and Hanspeter Schmidli

On the Use of Conditional Specification Models in Claim Count Distributions: an Application to Bonus-Malus Systems pp. 85-98

José María Sarabia, Emilio Gómez-Déniz and Francisco J. Vázquez-Polo

Asset Allocation with Regime-Switching: Discrete-Time Case pp. 99-111

Ka Chun Cheung and Hailiang Yang

An Accurate Asymptotic Approximation for Experience Rated Premiums pp. 113-124

Riccardo Gatto

Robust Bayesian Experience Rating pp. 125-150

René Schnieper

Testing for Concordance Ordering pp. 151-173

Ana C. Cebrián, Michel Denuit and Olivier Scaillet

Application of Frailty-Based Mortality Models Using Generalized Linear Models pp. 175-197

Zoltan Butt and Steven Haberman

Measuring Process Risk in Income Protection Insurance pp. 199-227

Steven Haberman, Zolan Butt and Ben Rickayzen

Testing Distributions of Stochastically Generated Yield Curves pp. 229-247

Gary G. Venter

The Sample Size Needed for the Calculation of a GLM Tariff pp. 249-262

Hans Schmitter

Book Reviews - Lars Jaeger (2002), Managing Risk in Alternative Investment Strategies, FT Prentice Hall ISBN 0-273-656988 pp. 263-264

Stephen Philbrick

Credit Risk. Pricing, Measurement, and Management. Princeton University Press, 2003, Darrell Duffie and Kenneth J. Singleton pp. 264-265

Paul Embrechts

Volume 33, issue 2, 2003

New Econ for Life Actuaries pp. 117-122

Knut Aase and Svein-Arne Persson

Comment on the Discussion Article by Aase and Persson pp. 123-124

Hans Bühlmann

Guaranteed Annuity Options pp. 125-152

Phelim Boyle and Mary Hardy

A Discrete Time Benchmark Approach for Insurance and Finance pp. 153-172

Hans Bühlmann and Eckhard Platen

A Unified Approach to Generate Risk Measures pp. 173-191

Marc Goovaerts, Rob Kaas, Jan Dhaene and Qihe Tang

Optimal Dynamic XL Reinsurance pp. 193-207

Christian Hipp and Michael Vogt

Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling pp. 209-238

Filip Lindskog and Alexander J. McNeil

Asymptotic Dependence of Reinsurance Aggregate Claim Amounts pp. 239-263

Ana J. Mata

The Markov Chain Market pp. 265-287

Ragnar Norberg

Pension Funding and the Actuarial Assumption Concerning Investment Returns pp. 289-312

M. Iqbal Owadally

Chain Ladder Bias pp. 313-330

Greg Taylor

Claims Reserving Using Tweedie's Compound Poisson Model pp. 331-346

Mario V. Wüthrich

Interest-Rate Changes and the Value of a Non-life Insurance Company pp. 347-364

Thomas Albrecht

Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data pp. 365-381

Vytaras Brazauskas and Robert Serfling

The Valuation and Hedging of Variable Rate Savings Accounts pp. 383-397

Frank de Jong and Jacco Wielhouwer

Prediction of Stock Returns: A New Way to Look at It pp. 399-417

Jens Perch Nielsen and Stefan Sperlich

Setting a Bonus-Malus Scale in the Presence of Other Rating Factors: Taylor's Work Revisited pp. 419-436

Sandra Pitrebois, Michel Denuit and Jean-François Walhin

Book Reviews - Modern Actuarial Risk Theory by Rob Kaas, Marc Goovaerts, Jan Dhaene and Michel Denuit [Kluwer Academic Publishers, Boston, 2001] pp. 437-438

Howard Waters

Mary Hardy: Investment Guarantees: Modelling and risk management for equity-linked life insurance. John Wiley & Sons. ISBN 0-471-39290-1, 2003 pp. 439-448

David Wilkie

Volume 33, issue 1, 2003

On Characterization of Distortion Premium Principle* pp. 1-10

Xianyi Wu and Jinglong Wang

On the Density and Moments of the Time of Ruin with Exponential Claims pp. 11-21

Steve Drekic and Gordon E. Willmot

Dependence in Dynamic Claim Frequency Credibility Models pp. 23-40

Oana Purcaru and Michel Denuit

A Gaussian Exponential Approximation to Some Compound Poisson Distributions pp. 41-55

Werner Hürlimann

Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model* pp. 57-73

Shaun S. Wang

Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables pp. 75-92

Mario V. Wüthrich

Scale Mixtures Distributions in Insurance Applications pp. 93-104

S.T. Boris Choy and C.M. Chan

Klaus D. Schmidt (2002): Versicherungsmathematik. Springer, Berlin. viii + 320 pages, ISBN 3-540-42731-7 pp. 106-106

Hartmut Milbrodt