Scandinavian Actuarial Journal

1996 - 2026

Current editor(s): Boualem Djehiche

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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

Volume 2019, issue 10, 2019

Concordance-based predictive measures in regression models for discrete responses pp. 824-836

Michel Denuit, Mhamed Mesfioui and Julien Trufin

On additivity of tail comonotonic risks pp. 837-866

Ka Chun Cheung, Hok Kan Ling, Qihe Tang, Sheung Chi Phillip Yam and Fei Lung Yuen

Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure pp. 867-902

K. Fergusson

Reinsurance premium principles based on weighted loss functions pp. 903-923

Jun Cai and Ying Wang

Volume 2019, issue 9, 2019

Budget-constrained optimal reinsurance design under coherent risk measures pp. 729-751

Ka Chun Cheung, Wing Fung Chong and Ambrose Lo

Optimal proportional reinsurance with a loss-dependent premium principle pp. 752-767

Duni Hu and Hailong Wang

Representation of concave distortions and applications pp. 768-783

Gero Junike

Reinsurance contract design with adverse selection pp. 784-798

K. C. Cheung, S. C. P. Yam and F. L. Yuen

A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time pp. 799-823

Florin Avram and Dan Goreac

Volume 2019, issue 8, 2019

Ragnar Norberg (1945–2017): an actuary of a unique kind pp. 637-641

Mogens Steffensen

Extending composite loss models using a general framework of advanced computational tools pp. 642-660

Bettina Grün and Tatjana Miljkovic

The maximum entropy mortality model: forecasting mortality using statistical moments pp. 661-685

Marius D. Pascariu, Adam Lenart and Vladimir Canudas-Romo

Multivariate Cox Hidden Markov models with an application to operational risk pp. 686-710

Tsz Chai Fung, Andrei L. Badescu and X. Sheldon Lin

A unified approach to ruin probabilities with delays for spectrally negative Lévy processes pp. 711-728

Mohamed Amine Lkabous and Jean-François Renaud

Volume 2019, issue 7, 2019

Gibbs posterior inference on value-at-risk pp. 548-557

Nicholas Syring, Liang Hong and Ryan Martin

A general class of distortion operators for pricing contingent claims with applications to CAT bonds pp. 558-584

Frédéric Godin, Van Son Lai and Denis-Alexandre Trottier

Intrinsic objective Bayesian estimation of the mean of the Tweedie family pp. 585-603

Limor Langbord, Zinoviy Landsman and Udi E. Makov

An introduction to gevistic regression mortality models pp. 604-620

Anthony Medford and James W. Vaupel

One-year estimation uncertainty in some claim development models pp. 621-635

Walther Neuhaus

Volume 2019, issue 6, 2019

A criterion for the comparison of binary classifiers based on a stochastic dominance with an application to the sale of home insurances pp. 453-477

María Concepción López-Díaz, Miguel López-Díaz and Sergio Martínez-Fernández

Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios pp. 478-507

Peter Hieber, Jan Natolski and Ralf Werner

Spatial statistical modelling of insurance risk: a spatial epidemiological approach to car insurance pp. 508-522

Oskar Tufvesson, Johan Lindström and Erik Lindström

Survival analysis of pension scheme mortality when data are missing pp. 523-547

Francesco Ungolo, Marcus C. Christiansen, Torsten Kleinow and Angus S. MacDonald

Volume 2019, issue 5, 2019

Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times pp. 355-386

Eric C.K. Cheung and Runhuan Feng

Multivariate lifetime distributions for the exponential dispersion family pp. 387-405

Daniel H. Alai

A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates pp. 406-431

Cary Chi-Liang Tsai and Ying Zhang

Interplay of insurance and financial risks in a stochastic environment pp. 432-451

Qihe Tang and Yang Yang

Volume 2019, issue 4, 2019

Comparisons of aggregate claim numbers and amounts: a study of heterogeneity pp. 273-290

Yiying Zhang, Peng Zhao and Ka Chun Cheung

Computing the Gerber–Shiu function by frame duality projection pp. 291-307

Wenyuan Wang and Zhimin Zhang

Approximation methods for piecewise deterministic Markov processes and their costs pp. 308-335

Peter Kritzer, Gunther Leobacher, Michaela Szölgyenyi and Stefan Thonhauser

The expected discounted penalty function: from infinite time to finite time pp. 336-354

Shuanming Li, Yi Lu and Kristina P. Sendova

Volume 2019, issue 3, 2019

The impact of geographical factors on churn prediction: an application to an insurance company in Madrid's urban area pp. 188-203

Miguel Ángel de la Llave, Fernando A. López and Ana Angulo

Life insurance decisions under recursive utility pp. 204-227

Ninna Reitzel Jensen

Compound trend renewal process with discounted claims: a unified approach pp. 228-246

Ghislain Léveillé and Emmanuel Hamel

Modeling cause-of-death mortality using hierarchical Archimedean copula pp. 247-272

Hong Li and Yang Lu

Volume 2019, issue 2, 2019

A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes pp. 97-112

Jackie Li and Jia Liu

Insurance loss coverage and social welfare pp. 113-128

MingJie Hao, Angus S. Macdonald, Pradip Tapadar and R. Guy Thomas

Focussed selection of the claim severity distribution pp. 129-142

Yinzhi Wang and Ingrid Hobæk Haff

Claims frequency modeling using telematics car driving data pp. 143-162

Guangyuan Gao, Shengwang Meng and Mario V. Wüthrich

Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting pp. 163-187

Karim Barigou and Jan Dhaene

Volume 2019, issue 1, 2019

Periodic threshold-type dividend strategy in the compound Poisson risk model pp. 1-31

Eric C. K. Cheung and Zhimin Zhang

Parisian types of ruin probabilities for a class of dependent risk-reserve processes pp. 32-61

Mogens Bladt, Bo Friis Nielsen and Oscar Peralta

A constraint-free approach to optimal reinsurance pp. 62-79

Hans U. Gerber, Elias S.W. Shiu and Hailiang Yang

A two-dimensional dividend problem for collaborating companies and an optimal stopping problem pp. 80-96

Peter Grandits