Scandinavian Actuarial Journal

1996 - 2026

Current editor(s): Boualem Djehiche

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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

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 Egidio 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