Scandinavian Actuarial Journal

1996 - 2025

Current editor(s): Boualem Djehiche

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

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Volume 2022, issue 10, 2022

Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link pp. 841-866

Donatien Hainaut, Julien Trufin and Michel Denuit

Variable annuity pricing, valuation, and risk management: a survey pp. 867-900

Runhuan Feng, Guojun Gan and Ning Zhang

A general surplus decomposition principle in life insurance pp. 901-925

Julian Jetses and Marcus C. Christiansen

Volume 2022, issue 9, 2022

Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model pp. 749-774

Ailing Gu, Shumin Chen, Zhongfei Li and Frederi G. Viens

Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility pp. 775-793

Wenjun Jiang

Robust reinsurance contract with learning and ambiguity aversion pp. 794-815

Duni Hu and Hailong Wang

Analytic valuation of GMDB options with utility based asset allocation pp. 816-840

Eric R. Ulm

Volume 2022, issue 8, 2022

Hereditarity of potential matrices and positive affine prediction of nonnegative risks from mixture models pp. 659-681

Jean Pinquet

Gambler's ruin problem in a Markov-modulated jump-diffusion risk model pp. 682-694

Yuxuan Liu, Zhengjun Jiang and Yixin Qu

Modelling mortality by continuous benefit amount pp. 695-717

Stephen J. Richards

Utilitarian versus neutralitarian design of endowment fund policies pp. 718-748

Johannes Schumacher

Volume 2022, issue 7, 2022

Ruin probabilities for risk process in a regime-switching environment pp. 565-590

Zbigniew Palmowski

Mortality forecasting using stacked regression ensembles pp. 591-626

Salvatory R. Kessy, Michael Sherris, Andrés M. Villegas and Jonathan Ziveyi

Modeling surrender risk in life insurance: theoretical and experimental insight pp. 627-658

Mark Kiermayer

Volume 2022, issue 6, 2022

Gamma, Gaussian and Poisson approximations for random sums using size-biased and generalized zero-biased couplings pp. 471-487

Fraser Daly

An innovative design of flexible, bequest-enhanced life annuity with natural hedging pp. 488-509

Yuxin Zhou, Michael Sherris, Jonathan Ziveyi and Mengyi Xu

Fractional inhomogeneous multi-state models in life insurance pp. 510-531

Martin Bladt

Bowley reinsurance with asymmetric information: a first-best solution pp. 532-551

Tim J. Boonen and Yiying Zhang

Hierarchical credibility pseudo-estimators pp. 552-564

Stig Rosenlund

Volume 2022, issue 5, 2022

Hierarchical Bayesian modeling of multi-country mortality rates pp. 375-398

Tzuling Lin and Cary Chi-Liang Tsai

Multivariate higher order moments in multi-state life insurance pp. 399-420

Jamaal Ahmad

Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy pp. 421-446

Vanessa Hanna, Peter Hieber and Pierre Devolder

An application of risk theory to mortgage lending pp. 447-469

Jiro Akahori, C. Constantinescu, Y. Imamura and H. H. Pham

Volume 2022, issue 4, 2022

Dynamic reinsurance in discrete time minimizing the insurer's cost of capital pp. 279-306

Alexander Glauner

Solving life-cycle problems with biometric risk by artificial insurance markets pp. 307-327

Christoph Hambel, Holger Kraft and Claus Munk

Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game pp. 328-355

Yu Yuan, Zhibin Liang and Xia Han

Dispersion modelling of mortality for both sexes with Tweedie distributions pp. 356-374

Jackie Li, David Pitt and Han Li

Volume 2022, issue 3, 2022

A multivariate CVaR risk measure from the perspective of portfolio risk management pp. 189-215

Jun Cai, Huameng Jia and Tiantian Mao

Spatial modelling of risk premiums for water damage insurance pp. 216-233

Jens Christian Wahl, Fredrik Lohne Aanes, Kjersti Aas, Sindre Froyn and Daniel Piacek

Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model pp. 234-243

Zhengjun Jiang

Portfolio optimization with wealth-dependent risk constraints pp. 244-268

Marcos Escobar-Anel, Markus Wahl and Rudi Zagst

A note on pandemic mortality rates pp. 269-278

Patrik Andersson and Mathias Lindholm

Volume 2022, issue 2, 2022

An actuarial model of arrhythmogenic right ventricular cardiomyopathy and life insurance pp. 94-114

Oytun Haçarız, Torsten Kleinow and Angus S. Macdonald

On the analysis of a discrete-time risk model with INAR(1) processes pp. 115-138

Guohui Guan and Xiang Hu

Tail index-linked annuity: A longevity risk sharing retirement plan pp. 139-164

An Chen, Hong Li and Mark B. Schultze

A perturbation approach to optimal investment, liability ratio, and dividend strategies pp. 165-188

Zhuo Jin, Zuo Quan Xu and Bin Zou

Volume 2022, issue 1, 2022

Collective reserving using individual claims data pp. 1-28

Łukasz Delong, Mathias Lindholm and Mario V. Wüthrich

Optimal reinsurance with model uncertainty and Stackelberg game pp. 29-48

Joshua Gavagan, Liang Hu, Gee Y. Lee, Haiyan Liu and Anna Weixel

Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times pp. 49-63

Hanspeter Schmidli

Mortality forecasting at age 65 and above: an age-specific evaluation of the Lee-Carter model pp. 64-79

Marie-Pier Bergeron-Boucher and Søren Kjærgaard

Group cohesion under individual regulatory constraints pp. 80-93

Delia Coculescu and Freddy Delbaen