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Scandinavian Actuarial Journal

1996 - 2025

Current editor(s): Boualem Djehiche

From Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

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Volume 2025, issue 3, 2025

Linear risk sharing in intergenerational pension pp. 237-270 Downloads
Michail Anthropelos, An Chen, Steven Vanduffel and Morten Wilke
Scalarized utility-based multi-asset risk measures pp. 271-299 Downloads
Sascha Desmettre, Christian Laudagé and Jörn Sass
Equity-linked annuity valuation under fractional jump-diffusion financial and mortality models pp. 300-339 Downloads
Haoran Jiang and Zhehao Zhang
On the estimation of bivariate conditional transition rates pp. 340-366 Downloads
Theis Bathke

Volume 2025, issue 2, 2025

Optimal investment strategies and intergenerational risk sharing for target benefit pension plans under habit formation pp. 117-138 Downloads
Qian Lu, Ximin Rong and Hui Zhao
Collective risk models with FGM dependence pp. 139-167 Downloads
Christopher Blier-Wong, Hélène Cossette and Etienne Marceau
Robust two-player differential investment game of defined contribution pension plans under multiple risks pp. 168-212 Downloads
Yumo Zhang, Peter Pommergård Lind and Hanqing Xiang
Enhancing valuation of variable annuities in Lévy models with stochastic interest rate pp. 213-235 Downloads
Ludovic Goudenege, Andrea Molent, Xiao Wei and Antonino Zanette

Volume 2025, issue 1, 2025

Money illusion in retirement savings with a minimum guarantee pp. 1-24 Downloads
Catherine Donnelly, Gaurav Khemka and William Lim
Last passage times for generalized drawdown processes with applications pp. 25-50 Downloads
Shu Li and Zijia Wang
The optimal reinsurance strategy with price-competition between two reinsurers pp. 51-78 Downloads
Liyuan Lin, Fangda Liu, Jingzhen Liu and Luyang Yu
Optimal consumption and investment in pooled annuity funds with and without fund managers pp. 79-116 Downloads
Lin He, Zongxia Liang and Zhaojie Ren

Volume 2024, issue 10, 2024

Enhanced gradient boosting for zero-inflated insurance claims and comparative analysis of CatBoost, XGBoost, and LightGBM pp. 1013-1035 Downloads
Banghee So
Spatial natural hedging: a general framework with application to the mortality of U.S. states pp. 1036-1064 Downloads
Kyran Cupido, Petar Jevtić, Luca Regis and Kenneth Q. Zhou
Semiparametric copula models applied to the decomposition of claim amounts pp. 1065-1092 Downloads
Sébastien Farkas and Olivier Lopez
Cashflow-driven investment beyond expectations pp. 1093-1118 Downloads
Sergio Alvares Maffra and Teemu Pennanen

Volume 2024, issue 9, 2024

On technical bases and surplus in life insurance pp. 881-909 Downloads
Oytun Haçarız, Torsten Kleinow and Angus S. Macdonald
Mutual aid insurance with a three-state Markov chain pp. 910-934 Downloads
Ruotian Ti, Ximin Rong, Cheng Tao and Hui Zhao
What is fair? Proxy discrimination vs. demographic disparities in insurance pricing pp. 935-970 Downloads
Mathias Lindholm, Ronald Richman, Andreas Tsanakas and Mario V. Wüthrich
Ensemble distributional forecasting for insurance loss reserving pp. 971-1012 Downloads
Benjamin Avanzi, Yanfeng Li, Bernard Wong and Alan Xian

Volume 2024, issue 8, 2024

Loss modeling with many-parameter distributions pp. 763-780 Downloads
Erik Bølviken and Ingrid Hobæk Haff
The role of direct capital cash transfers towards poverty and extreme poverty alleviation - an omega risk process pp. 781-812 Downloads
José Miguel Flores-Contró and Séverine Arnold
Pension system design: roles and interdependencies of tax-financed and funded pensions pp. 813-847 Downloads
Søren F. Jarner, Snorre Jallbjørn and Torben M. Andersen
The effect of the COVID-19 health disruptions on breast cancer mortality for older women: a semi-Markov modelling approach pp. 848-879 Downloads
Ayşe Arık, Andrew J.G. Cairns, Erengul Dodd, Angus S. Macdonald and George Streftaris

Volume 2024, issue 7, 2024

Life reinsurance under perfect and asymmetric information pp. 657-679 Downloads
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 Downloads
Caibin Zhang and Zhibin Liang
A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game pp. 705-738 Downloads
Qingqing Zhang, Zhibin Liang and Fudong Wang
Accurate and explainable mortality forecasting with the LocalGLMnet pp. 739-761 Downloads
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 Downloads
Jamaal Ahmad and Mogens Bladt
Cramér–Lundberg asymptotics for spectrally positive Markov additive processes pp. 561-582 Downloads
Lucas van Kreveld, Michel Mandjes and Jan-Pieter Dorsman
Optimal management of DB pension fund under both underfunded and overfunded cases pp. 583-624 Downloads
Guohui Guan, Zongxia Liang and Yi Xia
Cyber risk modeling: a discrete multivariate count process approach pp. 625-655 Downloads
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 Downloads
Julie Huyghe, Julien Trufin and Michel Denuit
Two hybrid models for dependent death times of couple: a common shock approach pp. 440-462 Downloads
Zied Chaieb, Domenico De Giovanni and Djibril Gueye
Optimal mix among PAYGO, EET and individual savings pp. 463-505 Downloads
Lin He, Zongxia Liang, Zhaojie Ren and Yilun Song
Valuing equity-linked annuities under high-water mark fee structure pp. 506-531 Downloads
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 Downloads
Kira Henshaw, Michel Mandjes and Corina Constantinescu
Stackelberg reinsurance chain under model ambiguity pp. 329-360 Downloads
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 Downloads
Yang Yang, Yahui Fan and Kam Chuen Yuen
Optimal reinsurance design under solvency constraints pp. 383-416 Downloads
Benjamin Avanzi, Hayden Lau and Mogens Steffensen

Volume 2024, issue 3, 2024

Wealth heterogeneity in a closed pooled annuity fund pp. 199-226 Downloads
Thomas Bernhardt and Ge Qu
Pareto-optimal insurance with an upper limit on the insurer's exposure pp. 227-251 Downloads
Oma Coke, Mario Ghossoub and Michael B. Zhu
Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees pp. 252-278 Downloads
Meiqiao Ai, Yunyun Wang, Zhimin Zhang and Dan Zhu
Isotonic recalibration under a low signal-to-noise ratio pp. 279-299 Downloads
Mario V. Wüthrich and Johanna Ziegel

Volume 2024, issue 2, 2024

Time-series forecasting of mortality rates using transformer pp. 109-123 Downloads
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 Downloads
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 Downloads
Jackie Li
Soft splicing model: bridging the gap between composite model and finite mixture model pp. 168-197 Downloads
Tsz Chai Fung, Himchan Jeong and George Tzougas

Volume 2024, issue 1, 2024

Expert Kaplan–Meier estimation pp. 1-27 Downloads
Martin Bladt and Christian Furrer
A Stackelberg reinsurance-investment game under α-maxmin mean-variance criterion and stochastic volatility pp. 28-63 Downloads
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 Downloads
M. V. Boutsikas, D.-J. Economides and E. Vaggelatou
An insurer's optimal strategy towards a new independent business pp. 89-107 Downloads
Yichun Chi, Yuxia Huang and Ken Seng Tan
Page updated 2025-04-04