Scandinavian Actuarial Journal

1996 - 2026

Current editor(s): Boualem Djehiche

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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

Volume 2021, issue 10, 2021

Household consumption-investment-insurance decisions with uncertain income and market ambiguity pp. 832-865

Ning Wang, Zhuo Jin, Tak Kuen Siu and Ming Qiu

On the risk of credibility premium rules pp. 866-889

Søren Asmussen, Corina Constantinescu and Julie Thøgersen

Finite-time ruin probability for correlated Brownian motions pp. 890-915

Krzysztof Dȩbicki, Enkelejd Hashorva and Konrad Krystecki

Poissonian occupation times of spectrally negative Lévy processes with applications pp. 916-935

Mohamed Amine Lkabous

Functional sensitivity analysis of ruin probability in the classical risk models pp. 936-968

Fatah Cheurfa, Baya Takhedmit, Sofiane Ouazine and Karim Abbas

Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework pp. 969-997

Peng Yang, Zhiping Chen and Xiangyu Cui

Age-coherent extensions of the Lee–Carter model pp. 998-1016

Guangyuan Gao and Yanlin Shi

Spatial Tweedie exponential dispersion models: an application to insurance rate-making pp. 1017-1036

Aritra Halder, Shariq Mohammed, Kun Chen and Dipak K. Dey

Volume 2021, issue 9, 2021

Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach pp. 744-778

Peng Li and Runhuan Feng

A non-convex regularization approach for stable estimation of loss development factors pp. 779-803

Himchan Jeong, Hyunwoong Chang and Emiliano A. Valdez

Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion pp. 804-831

Eric C. K. Cheung and Zhimin Zhang

Volume 2021, issue 8, 2021

Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs pp. 645-670

Benjamin Avanzi, Hayden Lau and Bernard Wong

Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models pp. 671-694

Caroline Hillairet and Olivier Lopez

Stochastic modeling of assets and liabilities with mortality risk pp. 695-725

Sergio Alvares Maffra, John Armstrong and Teemu Pennanen

A law of uniform seniority for dependent lives pp. 726-743

Christian Genest and Nikolai Kolev

Volume 2021, issue 7, 2021

Structure of intergenerational risk-sharing plans: optimality and fairness pp. 543-571

Xiaobai Zhu, Mary Hardy and David Saunders

Time-series forecasting of mortality rates using deep learning pp. 572-598

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

Estimation of the Haezendonck-Goovaerts risk measure for extreme risks pp. 599-622

Yanchun Zhao, Tiantian Mao and Fan Yang

Bowley reinsurance with asymmetric information on the insurer's risk preferences pp. 623-644

Tim J. Boonen, Ka Chun Cheung and Yiying Zhang

Volume 2021, issue 6, 2021

Retrospective reserves and bonus pp. 457-475

Kenneth Bruhn and Alexander Sevel Lollike

On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment pp. 476-504

Claude Lefèvre, Stéphane Loisel and Pierre Montesinos

Optimal contribution rate of PAYGO pension pp. 505-531

Lin He, Zongxia Liang, Yilun Song and Qi Ye

Two-step risk analysis in insurance ratemaking pp. 532-542

Seul Ki Kang, Liang Peng and Andrew Golub

Volume 2021, issue 5, 2021

Ruin probability in a two-dimensional model with correlated Brownian motions pp. 362-379

Peter Grandits and Maike Klein

Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model pp. 380-407

Carole Bettonville, Louise d'Oultremont, Michel Denuit, Julien Trufin and Robin Van Oirbeek

Market pricing of longevity-linked securities pp. 408-436

Sixian Tang and Jackie Li

Tontines with mixed cohorts pp. 437-455

An Chen, Linyi Qian and Zhixin Yang

Volume 2021, issue 4, 2021

Time-consistent and market-consistent actuarial valuation of the participating pension contract pp. 266-294

Ahmad Salahnejhad Ghalehjooghi and Antoon Pelsser

Grouping of contracts in insurance using neural networks pp. 295-322

Mark Kiermayer and Christian Weiß

Optimal prevention of large risks with two types of claims pp. 323-334

Romain Gauchon, Stéphane Loisel, Jean-Louis Rulliere and Julien Trufin

Optimal dividend strategy for an insurance group with contagious default risk pp. 335-361

Zhuo Jin, Huafu Liao, Yue Yang and Xiang Yu

Volume 2021, issue 3, 2021

Correction pp. i-i

The Editors

Financial position and performance in IFRS 17 pp. 171-197

Lina Palmborg, Mathias Lindholm and Filip Lindskog

Optimal reinsurance and dividends with transaction costs and taxes under thinning structure pp. 198-217

Mi Chen, Kam Chuen Yuen and Wenyuan Wang

Ranking the extreme claim amounts in dependent individual risk models pp. 218-247

Nuria Torrado and Jorge Navarro

Quantile hedging in a defaultable market with life insurance applications pp. 248-265

Anna Glazyrina and Alexander Melnikov

Volume 2021, issue 2, 2021

Robust optimal investment and reinsurance problems with learning pp. 82-109

Nicole Bäuerle and Gregor Leimcke

Life expectancy and lifespan disparity forecasting: a long short-term memory approach pp. 110-133

Andrea Nigri, Susanna Levantesi and Mario Marino

Stochastic modelling and projection of mortality improvements using a hybrid parametric/semi-parametric age–period–cohort model pp. 134-155

Erengul Dodd, Jonathan J. Forster, Jakub Bijak and Peter W. F. Smith

An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking pp. 156-170

Fabio Baione and Davide Biancalana

Volume 2021, issue 1, 2021

On copula-based collective risk models: from elliptical copulas to vine copulas pp. 1-33

Rosy Oh, Jae Youn Ahn and Woojoo Lee

Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays pp. 34-53

Olivier Lopez and Xavier Milhaud

Genetics, insurance and hypertrophic cardiomyopathy pp. 54-81

Oytun Haçarız, Torsten Kleinow and Angus S. Macdonald