Scandinavian Actuarial Journal

1996 - 2025

Current editor(s): Boualem Djehiche

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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

Volume 2020, issue 10, 2020

Modelling seasonal mortality with individual data pp. 864-878

Stephen J. Richards, Stefan J. Ramonat, Gregory T. Vesper and Torsten Kleinow

Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle pp. 879-903

Xia Han, Zhibin Liang and Virginia R. Young

Indifference pricing of pure endowments via BSDEs under partial information pp. 904-933

Claudia Ceci, Katia Colaneri and Alessandra Cretarola

Tax- and expense-modified risk-minimization for insurance payment processes pp. 934-961

Kristian Buchardt, Christian Furrer and Thomas Møller

Volume 2020, issue 9, 2020

Incorporating structural changes in mortality improvements for mortality forecasting pp. 776-791

Jackie Li and Kenneth Wong

Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach pp. 792-818

Ze Chen, Bingzheng Chen and Jan Dhaene

On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models pp. 819-842

Lanpeng Ji

Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach pp. 843-863

Le Chang and Yanlin Shi

Volume 2020, issue 8, 2020

Correction pp. i-ii

The Editors

Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility pp. 677-699

Guohui Guan and Xiaojun Wang

A multiple state model for the working-age disabled population using cross-sectional data pp. 700-717

Poontavika Naka, María del Carmen Boado-Penas and Gauthier Lanot

Approximation of ruin probability and ruin time in discrete Brownian risk models pp. 718-735

Grigori Jasnovidov

On a discrete-time risk model with time-dependent claims and impulsive dividend payments pp. 736-753

Lianzeng Zhang and He Liu

Multi-population mortality forecasting using tensor decomposition pp. 754-775

Yumo Dong, Fei Huang, Honglin Yu and Steven Haberman

Volume 2020, issue 7, 2020

Weighted utility optimization of the participating endowment contract pp. 577-613

Lin He, Zongxia Liang, Yang Liu and Ming Ma

The Lee-Carter quantile mortality model pp. 614-633

Miguel Santolino

Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors pp. 634-649

Liang Hong and Ryan Martin

Cohort and value-based multi-country longevity risk management pp. 650-676

Michael Sherris, Yajing Xu and Jonathan Ziveyi

Volume 2020, issue 6, 2020

Continuous chain-ladder with paid data pp. 477-502

Stephan M. Bischofberger, Munir Hiabu and Alex Isakson

Combined tail estimation using censored data and expert information pp. 503-525

Martin Bladt, Hansjörg Albrecher and Jan Beirlant

Continuous-time multi-cohort mortality modelling with affine processes pp. 526-552

Yajing Xu, Michael Sherris and Jonathan Ziveyi

Generalized log-normal chain-ladder pp. 553-576

D. Kuang and B. Nielsen

Volume 2020, issue 5, 2020

Nonlinearly transformed risk measures: properties and application to optimal reinsurance pp. 376-395

Mario Brandtner, Wolfgang Kürsten and Robert Rischau

Proportional reinsurance and investment in multiple risky assets under borrowing constraint pp. 396-418

Haluk Yener

Robust reinsurance contracts with risk constraint pp. 419-453

Ning Wang and Tak Kuen Siu

Efficiency of institutional spending and investment rules pp. 454-476

Johannes Schumacher

Volume 2020, issue 4, 2020

A multivariate Markov chain stock model pp. 272-291

Guglielmo D'Amico and Riccardo De Blasis

On series expansions for scale functions and other ruin-related quantities pp. 292-306

David Landriault and Gordon E. Willmot

Dynamic principal component regression for forecasting functional time series in a group structure pp. 307-322

Han Lin Shang

A ruin model with a resampled environment pp. 323-341

C. Constantinescu, G. Delsing, M. Mandjes and L. Rojas Nandayapa

Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model pp. 342-375

Ailing Gu, Frederi G. Viens and Yang Shen

Volume 2020, issue 3, 2020

Bonus-Malus premiums under the dependent frequency-severity modeling pp. 172-195

Rosy Oh, Peng Shi and Jae Youn Ahn

Cash flow techniques for asset liability management pp. 196-217

Kim Aguirre Nolsøe, Dieter Degrijse, Sofie Ahm, Kristoffer Brix, Mads Storgaard and Jesper Strodl

Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option pp. 218-244

Zhongyang Sun, Xin Zhang and Kam Chuen Yuen

Budget-constrained optimal retention with an upper limit on the retained loss pp. 245-271

Mario Ghossoub

Volume 2020, issue 2, 2020

Optimal asset allocation for participating contracts under the VaR and PI constraint pp. 84-109

Yinghui Dong, Sang Wu, Wenxin Lv and Guojing Wang

A Hermite-spline model of post-retirement mortality pp. 110-127

Stephen J. Richards

Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates pp. 128-151

Yuying Liu, Zhaoyang Liu and Guoxin Liu

Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing pp. 152-171

Brian Hartman, Chris Groendyke and David Engler

Volume 2020, issue 1, 2020

Neural network embedding of the over-dispersed Poisson reserving model pp. 1-29

Andrea Gabrielli, Ronald Richman and Mario V. Wüthrich

Regulatory measures for distressed insurance undertakings: a comparative study pp. 30-43

An Chen, Peter Hieber and Lars Lämmlein

Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes pp. 44-83

David Baños, Erik Bølviken, Sindre Duedahl and Frank Proske