Scandinavian Actuarial Journal

1996 - 2025

Current editor(s): Boualem Djehiche

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Volume 2017, issue 10, 2017

Converting retirement benefit into a life care annuity with graded benefits pp. 829-853

Javier Pla-Porcel, Manuel Ventura-Marco and Carlos Vidal-Melia

Discrete time ruin probability with Parisian delay pp. 854-869

Irmina Czarna, Zbigniew Palmowski and Przemysław Świa̧tek

Robust bootstrap procedures for the chain-ladder method pp. 870-897

Kris Peremans, Pieter Segaert, Stefan Van Aelst and Tim Verdonck

Estimating the Gerber–Shiu function by Fourier–Sinc series expansion pp. 898-919

Zhimin Zhang

Volume 2017, issue 9, 2017

On capital injections and dividends with tax in a diffusion approximation pp. 751-760

Hanspeter Schmidli

On dividends in the phase–type dual risk model pp. 761-784

Agnieszka I. Bergel, Eugenio V. Rodríguez-Martínez and Alfredo D. Egídio dos Reis

A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics pp. 785-803

Harrie Hendriks and Zinoviy Landsman

Parameter risk in time-series mortality forecasts pp. 804-828

Torsten Kleinow and Stephen J. Richards

Volume 2017, issue 8, 2017

Financial fairness and conditional indexation pp. 651-669

Torsten Kleinow and Johannes Schumacher

A class of nonzero-sum investment and reinsurance games subject to systematic risks pp. 670-707

Chi Chung Siu, Sheung Chi Phillip Yam, Hailiang Yang and Hui Zhao

On the relationship between classical chain ladder and granular reserving pp. 708-729

M. Hiabu

On some new dependence models derived from multivariate collective models in insurance applications pp. 730-750

Enkelejd Hashorva, Gildas Ratovomirija and Maissa Tamraz

Volume 2017, issue 7, 2017

Pricing participating policies under the Meixner process and stochastic volatility pp. 559-583

Brett Shanahan, Farzad Alavi Fard and John van der Hoek

A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints pp. 584-605

Ambrose Lo

A stochastic comparison of customer classifiers with an application to customer attrition in commercial banking pp. 606-627

M. C. López-Díaz, M. López-Díaz and S. Martínez-Fernández

Analysis of IBNR claims in renewal insurance models pp. 628-650

David Landriault, Gordon E. Willmot and Di Xu

Volume 2017, issue 6, 2017

Long guarantees with short duration: the rolling annuity pp. 471-494

Søren Fiig Jarner and Michael Preisel

Assessing implicit hypotheses in life table construction pp. 495-518

Josep Lledó, Jose M. Pavía and Francisco G. Morillas

Berry-Esseen bounds for compound-Poisson loss percentiles pp. 519-534

Frank Y. Feng, Michael R. Powers, Rui’an Xiao and Lin Zhao

Optimal insurance in the presence of reinsurance pp. 535-554

Sheng Chao Zhuang, Tim J. Boonen, Ken Seng Tan and Zuo Quan Xu

Jan M. Hoem, 1939–2017 pp. 555-557

Ragnar Norberg

Volume 2017, issue 5, 2017

Kolmogorov’s forward PIDE and forward transition rates in life insurance pp. 377-394

Kristian Buchardt

CDF formulation for solving an optimal reinsurance problem pp. 395-418

Chengguo Weng and Sheng Chao Zhuang

Incorporating the Bühlmann credibility into mortality models to improve forecasting performances pp. 419-440

Cary Chi-Liang Tsai and Tzuling Lin

On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims pp. 441-451

Anişoara Maria Răducan, Raluca Vernic and Gheorghiţă Zbăganu

Nonparametric estimation of the finite time ruin probability in the classical risk model pp. 452-469

Zhimin Zhang

Volume 2017, issue 4, 2017

Iterated VaR or CTE measures: A false good idea? pp. 287-318

Pierre Devolder and Adrien Lebègue

Multi-population mortality models: fitting, forecasting and comparisons pp. 319-342

Vasil Enchev, Torsten Kleinow and Andrew J. G. Cairns

Basis risk in static versus dynamic longevity-risk hedging pp. 343-365

Clemente De Rosa, Elisa Luciano and Luca Regis

Optimal proportional reinsurance from the point of view of cedent and reinsurer pp. 366-375

Nicolino Ettore D’Ortona and Gabriella Marcarelli

Volume 2017, issue 3, 2017

Valuing variable annuity guarantees on multiple assets pp. 209-230

José Da Fonseca and Jonathan Ziveyi

A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model pp. 231-244

M. Costabile

Reduction of Value-at-Risk bounds via independence and variance information pp. 245-266

Giovanni Puccetti, Ludger Rüschendorf, Daniel Small and Steven Vanduffel

Drawdown analysis for the renewal insurance risk process pp. 267-285

David Landriault, Bin Li and Shu Li

Volume 2017, issue 2, 2017

Ordering properties of the smallest and largest claim amounts in a general scale model pp. 105-124

Ghobad Barmalzan, Amir T. Payandeh Najafabadi and Narayanaswamy Balakrishnan

Forecasting disability: application of a frailty model pp. 125-147

Joelle H. Fong, Michael Sherris and James Yap

A posteriori ratemaking using bivariate Poisson models pp. 148-158

Lluís Bermúdez and Dimitris Karlis

Ruin probabilities in multivariate risk models with periodic common shock pp. 159-174

Ionica Cojocaru

Product pricing and solvency capital requirements for long-term care insurance pp. 175-208

Adam W. Shao, Michael Sherris and Joelle H. Fong

Volume 2017, issue 1, 2017

Characterizations of optimal reinsurance treaties: a cost-benefit approach pp. 1-28

Ka Chun Cheung and Ambrose Lo

Integral and differential equations for the moments of multistate models in health insurance pp. 29-50

Franck Adékambi and Marcus C. Christiansen

Lévy insurance risk process with Poissonian taxation pp. 51-87

Zhimin Zhang, Eric C.K. Cheung and Hailiang Yang

Tail mutual exclusivity and Tail-VaR lower bounds pp. 88-104

Ka Chun Cheung, Michel Denuit and Jan Dhaene

Volume 2016, issue 10, 2016

Signs of dependence and heavy tails in non-life insurance data pp. 859-875

Jonas Alm

Reserves and cash flows under stochastic retirement pp. 876-904

Kamille Sofie TÅgholt Gad and Jeppe Woetmann Nielsen

Barrier present value maximization for a diffusion model of insurance surplus pp. 905-931

Shangzhen Luo and Mingming Wang

On a risk measure inspired from the ruin probability and the expected deficit at ruin pp. 932-951

Ilie-Radu Mitric and Julien Trufin

Volume 2016, issue 9, 2016

Dynamics of solvency risk in life insurance liabilities pp. 763-792

M.C. Christiansen and M.A. Fahrenwaldt

Optimal life insurance with no-borrowing constraints: duality approach and example pp. 793-816

Xudong Zeng, James M. Carson, Qihong Chen and Yuling Wang

Modeling claims data with composite Stoppa models pp. 817-836

Enrique Calderín-Ojeda and Chun Fung Kwok

An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis pp. 837-857

Peter Jørgensen and Søren Kærgaard Slipsager

Volume 2016, issue 8, 2016

How an aggressively expanding insurance company becomes insolvent pp. 673-691

Vsevolod K. Malinovskii

Multivariate Tweedie lifetimes: the impact of dependence pp. 692-712

Daniel H. Alai, Zinoviy Landsman and Michael Sherris

General convex order on risk aggregation pp. 713-740

Edgars Jakobsons, Xiaoying Han and Ruodu Wang

Optimal reinsurance: minimize the expected time to reach a goal pp. 741-762

Shangzhen Luo, Mingming Wang and Xudong Zeng

Volume 2016, issue 7, 2016

The impact of multiple structural changes on mortality predictions pp. 581-603

Frank van Berkum, Katrien Antonio and Michel Vellekoop

Bifurcation of attritional and large losses in an additive IBNR environment pp. 604-623

Ulrich Riegel

Optimal reinsurance with expectile pp. 624-645

Jun Cai and Chengguo Weng

Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model pp. 646-671

Xiang Lin and Yiping Qian

Volume 2016, issue 6, 2016

Frailty modelling of time-to-lapse of single policies for customers holding multiple car contracts pp. 489-501

Marion Haugen and Tron Anders Moger

Stress scenario generation for solvency and risk management pp. 502-529

Marcus Christian Christiansen, Lars Frederik Brandt Henriksen, Kristian Juul Schomacker and Mogens Steffensen

Cramér–Von Mises distance estimation for some positive infinitely divisible parametric families with actuarial applications pp. 530-549

Andrew Luong

The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes pp. 550-564

Wing Yan Lee and Gordon E. Willmot

Asymptotics for a discrete-time risk model with Gamma-like insurance risks pp. 565-579

Yang Yang and Kam C. Yuen

Volume 2016, issue 5, 2016

The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula pp. 385-397

Wuyuan Jiang and Zhaojun Yang

Dynamic preferences for popular investment strategies in pension funds pp. 398-419

Carole Bernard and Minsuk Kwak

On the time and the number of claims when the surplus drops below a certain level pp. 420-445

Shuanming Li and Yi Lu

The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours pp. 446-465

Anna Rita Bacinello, Pietro Millossovich and Alvaro Montealegre

Equity-linked annuities with multiscale hybrid stochastic and local volatility pp. 466-487

Sun-Yong Choi and Jeong-Hoon Kim

Volume 2016, issue 4, 2016

Uncertainty on survival probabilities and solvency capital requirement: application to long-term care insurance pp. 279-292

Frédéric Planchet and Julien Tomas

On the valuation of reverse mortgage insurance pp. 293-318

Chou-Wen Wang, Hong-Chih Huang and Yung-Tsung Lee

Parisian ruin probability with a lower ultimate bankrupt barrier pp. 319-337

Irmina Czarna

Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter pp. 338-355

Amin Hassan Zadeh and David A. Stanford

On fitting generalized linear and non-linear models of mortality pp. 356-383

Iain D. Currie

Volume 2016, issue 3, 2016

Optimal insurance and reinsurance policies chosen jointly in the individual risk model pp. 181-197

A.Y. Golubin

Insurance ratemaking using a copula-based multivariate Tweedie model pp. 198-215

Peng Shi

Moment-based density approximations for aggregate losses pp. 216-245

Tao Jin, Serge B. Provost and Jiandong Ren

A bivariate model for evaluating equity-linked policies with surrender option pp. 246-261

Paolo De Angelis, Antonio Luciano Martire and Emilio Russo

Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions pp. 262-278

Lazhar Benkhelifa

Volume 2016, issue 2, 2016

Cohort extensions of the Poisson common factor model for modelling both genders jointly pp. 93-112

Bowen Yang, Jackie Li and Uditha Balasooriya

Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing pp. 113-145

Matias Leppisaari

Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models pp. 146-166

Pauline M. Barrieu and Luitgard A.M. Veraart

Unallocated loss adjustment expense reserving pp. 167-180

Esbjörn Ohlsson

Volume 2016, issue 1, 2016

Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks pp. 1-17

Haizhong Yang, Wei Gao and Jinzhu Li

Optimal dynamic reinsurance with dependent risks: variance premium principle pp. 18-36

Zhibin Liang and Kam Chuen Yuen

Optimal investment-consumption-insurance with random parameters pp. 37-62

Yang Shen and Jiaqin Wei

On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes pp. 63-91

Eric C.K. Cheung and Jae-Kyung Woo