Scandinavian Actuarial Journal

1996 - 2024

Current editor(s): Boualem Djehiche

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Volume 2024, issue 7, 2024

Life reinsurance under perfect and asymmetric information pp. 657-679

An Chen, Maria Hinken and Yang Shen

Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle pp. 680-704

Caibin Zhang and Zhibin Liang

A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game pp. 705-738

Qingqing Zhang, Zhibin Liang and Fudong Wang

Accurate and explainable mortality forecasting with the LocalGLMnet pp. 739-761

Francesca Perla, Ronald Richman, Salvatore Scognamiglio and Mario V. Wüthrich

Volume 2024, issue 6, 2024

Aggregate Markov models in life insurance: estimation via the EM algorithm pp. 533-560

Jamaal Ahmad and Mogens Bladt

Cramér–Lundberg asymptotics for spectrally positive Markov additive processes pp. 561-582

Lucas van Kreveld, Michel Mandjes and Jan-Pieter Dorsman

Optimal management of DB pension fund under both underfunded and overfunded cases pp. 583-624

Guohui Guan, Zongxia Liang and Yi Xia

Cyber risk modeling: a discrete multivariate count process approach pp. 625-655

Yang Lu, Jinggong Zhang and Wenjun Zhu

Volume 2024, issue 5, 2024

Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking pp. 417-439

Julie Huyghe, Julien Trufin and Michel Denuit

Two hybrid models for dependent death times of couple: a common shock approach pp. 440-462

Zied Chaieb, Domenico De Giovanni and Djibril Gueye

Optimal mix among PAYGO, EET and individual savings pp. 463-505

Lin He, Zongxia Liang, Zhaojie Ren and Yilun Song

Valuing equity-linked annuities under high-water mark fee structure pp. 506-531

Kaixin Yan, Shuanming Li and Aili Zhang

Volume 2024, issue 4, 2024

A stochastic model of group wealth responses to insurance mechanisms in low-income communities pp. 301-328

Kira Henshaw, Michel Mandjes and Corina Constantinescu

Stackelberg reinsurance chain under model ambiguity pp. 329-360

Jingyi Cao, Dongchen Li, Virginia R. Young and Bin Zou

Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors pp. 361-382

Yang Yang, Yahui Fan and Kam Chuen Yuen

Optimal reinsurance design under solvency constraints pp. 383-416

Benjamin Avanzi, Hayden Lau and Mogens Steffensen

Volume 2024, issue 3, 2024

Wealth heterogeneity in a closed pooled annuity fund pp. 199-226

Thomas Bernhardt and Ge Qu

Pareto-optimal insurance with an upper limit on the insurer's exposure pp. 227-251

Oma Coke, Mario Ghossoub and Michael B. Zhu

Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees pp. 252-278

Meiqiao Ai, Yunyun Wang, Zhimin Zhang and Dan Zhu

Isotonic recalibration under a low signal-to-noise ratio pp. 279-299

Mario V. Wüthrich and Johanna Ziegel

Volume 2024, issue 2, 2024

Time-series forecasting of mortality rates using transformer pp. 109-123

Jun Wang, Lihong Wen, Lu Xiao and Chaojie Wang

Optimal reinsurance contract in a Stackelberg game framework: a view of social planner pp. 124-148

Xia Han, David Landriault and Danping Li

Bayesian joint modelling of life expectancy and healthy life expectancy and valuation of retirement village contract pp. 149-167

Jackie Li

Soft splicing model: bridging the gap between composite model and finite mixture model pp. 168-197

Tsz Chai Fung, Himchan Jeong and George Tzougas

Volume 2024, issue 1, 2024

Expert Kaplan–Meier estimation pp. 1-27

Martin Bladt and Christian Furrer

A Stackelberg reinsurance-investment game under α-maxmin mean-variance criterion and stochastic volatility pp. 28-63

Guohui Guan, Zongxia Liang and Yilun Song

On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model pp. 64-88

M. V. Boutsikas, D.-J. Economides and E. Vaggelatou

An insurer's optimal strategy towards a new independent business pp. 89-107

Yichun Chi, Yuxia Huang and Ken Seng Tan

Volume 2023, issue 10, 2023

Consistent development patterns pp. 933-945

Walther Neuhaus

Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells pp. 946-973

M. Lindholm, F. Lindskog and J. Palmquist

Transaction time models in multi-state life insurance pp. 974-999

Kristian Buchardt, Christian Furrer and Oliver Lunding Sandqvist

Managing cyber risk, a science in the making pp. 1000-1021

Michel Dacorogna and Marie Kratz

Volume 2023, issue 9, 2023

Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio pp. 853-884

Bavo D. C. Campo and Katrien Antonio

A refracted Lévy process with delayed dividend pullbacks pp. 885-906

Zijia Wang, Mohamed Amine Lkabous and David Landriault

A note on bivariate survival functions following a law of uniform seniority pp. 907-915

Alexander Schimmele and Klaus D. Schmidt

Mortality forecasting using the four-way CANDECOMP/PARAFAC decomposition pp. 916-932

Giovanni Cardillo, Paolo Giordani, Susanna Levantesi, Andrea Nigri and Alessandro Spelta

Volume 2023, issue 8, 2023

Sequential Monte Carlo samplers to fit and compare insurance loss models pp. 765-787

Pierre-O. Goffard

Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms pp. 788-810

Hansjörg Albrecher and Brandon Garcia Flores

Time-inconsistent view on a dividend problem with penalty pp. 811-833

Josef Anton Strini and Stefan Thonhauser

Insurance pricing in an equilibrium model pp. 834-852

Frank Y. Feng, Xudong Zeng and Guanxia Zhu

Volume 2023, issue 7, 2023

Some optimisation problems in insurance with a terminal distribution constraint pp. 655-678

Katia Colaneri, Julia Eisenberg and Benedetta Salterini

Approximating the classical risk process by stable Lévy motion pp. 679-707

Jingyi Cao and Virginia R. Young

Valuation of variable annuities under stochastic volatility and stochastic jump intensity pp. 708-734

Wei Zhong, Dan Zhu and Zhimin Zhang

Stackelberg differential game for insurance under model ambiguity: general divergence pp. 735-763

Jingyi Cao, Dongchen Li, Virginia R. Young and Bin Zou

Volume 2023, issue 6, 2023

The impact of correlation on (Range) Value-at-Risk pp. 531-564

Carole Bernard, Corrado De Vecchi and Steven Vanduffel

Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process pp. 565-597

Xue Dong, Ximin Rong and Hui Zhao

Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity pp. 598-623

Jingyi Cao and Virginia R. Young

Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees pp. 624-654

J. Lars Kirkby and Jean-Philippe Aguilar

Volume 2023, issue 5, 2023

Optimal investment and reinsurance strategies under 4/2 stochastic volatility model pp. 413-449

Wenyuan Wang, Dmitry Muravey, Yang Shen and Yan Zeng

Actuarial pricing with financial methods pp. 450-476

Alejandro Balbás, Beatriz Balbás, Raquel Balbás and Antonio Heras

On the surplus management of funds with assets and liabilities in presence of solvency requirements pp. 477-508

Benjamin Avanzi, Ping Chen, Lars Frederik Brandt Henriksen and Bernard Wong

A simple Bayesian state-space approach to the collective risk models pp. 509-529

Jae Youn Ahn, Himchan Jeong and Yang Lu

Volume 2023, issue 4, 2023

Phase-type mixture-of-experts regression for loss severities pp. 303-329

Martin Bladt and Jorge Yslas

Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models pp. 330-358

Meiqiao Ai, Zhimin Zhang and Dan Zhu

Socioeconomic differentials in mortality: implications on index-based longevity hedges pp. 359-387

Pintao Lyu, Johnny Siu-Hang Li and Kenneth Q. Zhou

Conditional increments of aggregate discounted claims with a trend pp. 388-410

Ghislain Léveillé and Ilie Radu Mitric

Correction pp. 411-411

The Editors

Volume 2023, issue 3, 2023

Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables pp. 219-243

Hamza Hanbali, Daniël Linders and Jan Dhaene

A multi-state model for sick leave and its impact on partial early retirement incentives: the case of the Netherlands pp. 244-268

Sophie de Mol van Otterloo and Jennifer Alonso-García

Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory pp. 269-289

Zuo Quan Xu

An impossibility theorem on capital allocation pp. 290-302

Yuanying Guan, Andreas Tsanakas and Ruodu Wang

Volume 2023, issue 2, 2023

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process pp. 97-122

Budhi Surya, Wenyuan Wang, Xianghua Zhao and Xiaowen Zhou

Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate pp. 123-152

Ling Wang, Mei Choi Chiu and Hoi Ying Wong

Finite-time ruin probabilities using bivariate Laguerre series pp. 153-190

Eric C. K. Cheung, Hayden Lau, Gordon E. Willmot and Jae-Kyung Woo

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation pp. 191-217

Karim Barigou, Daniël Linders and Fan Yang

Volume 2023, issue 1, 2023

Reserve-dependent Management Actions in life insurance pp. 1-19

Debbie Kusch Falden and Anna Kamille Nyegaard

Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process pp. 20-37

A. Y. Golubin and V. N. Gridin

q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model pp. 38-50

Yuxuan Liu, Zhengjun Jiang and Yiwen Zhang

On the decomposition of an insurer's profits and losses pp. 51-70

Marcus C. Christiansen

LocalGLMnet: interpretable deep learning for tabular data pp. 71-95

Ronald Richman and Mario V. Wüthrich