Scandinavian Actuarial Journal

1996 - 2025

Current editor(s): Boualem Djehiche

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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

Volume 2018, issue 10, 2018

Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure pp. 863-889

Xia Han, Zhibin Liang and Kam Chuen Yuen

A dynamic bivariate common shock model with cumulative effect and its actuarial application pp. 890-906

Hyunju Lee and Ji Hwan Cha

Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model pp. 907-932

Michele Antonello, Luca Cipani and Wolfgang J. Runggaldier

Optimal investment and risk control for an insurer with partial information in an anticipating environment pp. 933-952

Xingchun Peng, Fenge Chen and Wenyuan Wang

Volume 2018, issue 9, 2018

An application of two-stage quantile regression to insurance ratemaking pp. 753-769

Antonio Heras, Ignacio Moreno and José L. Vilar-Zanón

Credibility pseudo-estimators pp. 770-791

Stig Rosenlund

Convex risk measures for the aggregation of multiple information sources and applications in insurance pp. 792-822

G. I. Papayiannis and A. N. Yannacopoulos

Valuation of an early exercise defined benefit underpin hybrid pension pp. 823-844

Xiaobai Zhu, Mary Hardy and David Saunders

Semiparametric estimation in the optimal dividend barrier for the classical risk model pp. 845-862

Hiroshi Shiraishi and Zudi Lu

Volume 2018, issue 8, 2018

Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure pp. 661-680

Xing Wang, Qing Liu, Yanxi Hou and Liang Peng

A data driven binning strategy for the construction of insurance tariff classes pp. 681-705

Roel Henckaerts, Katrien Antonio, Maxime Clijsters and Roel Verbelen

A proposition of generalized stochastic Milevsky–Promislov mortality models pp. 706-726

Piotr S̀liwka and Lesław Socha

Moments of renewal shot-noise processes and their applications pp. 727-752

Jiwook Jang, Angelos Dassios and Hongbiao Zhao

Volume 2018, issue 7, 2018

Ruin probabilities in classical risk models with gamma claims pp. 555-575

Corina Constantinescu, Gennady Samorodnitsky and Wei Zhu

Lifetime dependence models generated by multiply monotone functions pp. 576-604

Daniel H. Alai and Zinoviy Landsman

A Bayesian non-parametric model for small population mortality pp. 605-628

Hong Li and Yang Lu

Multivariate geometric expectiles pp. 629-659

Klaus Herrmann, Marius Hofert and Mélina Mailhot

Volume 2018, issue 6, 2018

Machine learning in individual claims reserving pp. 465-480

Mario V. Wüthrich

Mathematical foundation of the replicating portfolio approach pp. 481-504

Jan Natolski and Ralf Werner

Ruin under stochastic dependence between premium and claim arrivals pp. 505-513

Matija Vidmar

Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon pp. 514-528

Long Bai

Separation of small and large claims on the basis of collective models pp. 529-544

Tobias Gütschow, Klaus Th. Hess and Klaus D. Schmidt

Dirichlet process mixture models for insurance loss data pp. 545-554

Liang Hong and Ryan Martin

Volume 2018, issue 5, 2018

Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model pp. 357-378

Hiroaki Hata and Kazuhiro Yasuda

Some mathematical aspects of price optimisation pp. 379-403

Enkelejd Hashorva, Gildas Ratovomirija, Maissa Tamraz and Yizhou Bai

A note on Mossin’s theorem for deductible insurance given random initial wealth pp. 404-411

Liang Hong

Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations pp. 412-425

Xiang Hu, Lianzeng Zhang and Weiwei Sun

A new efficient method for estimating the Gerber–Shiu function in the classical risk model pp. 426-449

Zhimin Zhang and Wen Su

Precise local large deviations for heavy-tailed random sums with applications to risk models pp. 450-463

Qiuying Zhang and Fengyang Cheng

Volume 2018, issue 4, 2018

A note on optimal expected utility of dividend payments with proportional reinsurance pp. 275-293

Xiaoqing Liang and Zbigniew Palmowski

Lifetime asset allocation with idiosyncratic and systematic mortality risks pp. 294-327

Yang Shen and Michael Sherris

Conditional risk measures in a bipartite market structure pp. 328-355

Oliver Kley, Claudia Klüppelberg and Gesine Reinert

Volume 2018, issue 3, 2018

Pricing pension buy-outs under stochastic interest and mortality rates pp. 173-190

Ayşe Arık, Yeliz Yolcu-Okur, Şule Şahin and Ömür Uğur

Randomly weighted sums of dependent subexponential random variables with applications to risk theory pp. 191-202

Fengyang Cheng and Dongya Cheng

Interest rate model comparisons for participating products under Solvency II pp. 203-224

Kjersti Aas, Linda R. Neef, Lloyd Williams and Dag Raabe

Optimal retirement time under habit persistence: what makes individuals retire early? pp. 225-249

An Chen, Felix Hentschel and Xian Xu

The real risk in pension forecasting pp. 250-273

Søren Kærgaard Slipsager

Volume 2018, issue 2, 2018

Automatic balancing mechanisms for notional defined contribution accounts in the presence of uncertainty pp. 85-108

Jennifer Alonso-García, María del Carmen Boado-Penas and Pierre Devolder

Third cumulant for multivariate aggregate claim models pp. 109-128

Nicola Loperfido, Stepan Mazur and Krzysztof Podgórski

Confidence intervals of the premiums of optimal bonus malus systems pp. 129-144

Dimitris Karlis, George Tzougas and Nicholas Frangos

Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps pp. 145-171

Danping Li, Yan Zeng and Hailiang Yang

Volume 2018, issue 1, 2018

Robust reinsurance contracts in continuous time pp. 1-22

Duni Hu, Shou Chen and Hailong Wang

Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios pp. 23-41

Narayanaswamy Balakrishnan, Yiying Zhang and Peng Zhao

Odd Pareto families of distributions for modeling loss payment data pp. 42-63

Nonhle Channon Mdziniso and Kahadawala Cooray

Sharp bounds on change in expected values and variances for single risk analysis in the flood catastrophe model pp. 64-75

Patryk Miziuła and Radek Solnický

Linking dividends and capital injections – a probabilistic approach pp. 76-83

Hansjörg Albrecher and Jevgenijs Ivanovs