Scandinavian Actuarial Journal

1996 - 2026

Current editor(s): Boualem Djehiche

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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

Volume 2015, issue 8, 2015

Editorial Board pp. (ebi)-(ebi)

The Editors

Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks pp. 641-659

Yang Yang and Dimitrios G. Konstantinides

Cash flows and policyholder behaviour in the semi-Markov life insurance setup pp. 660-688

Kristian Buchardt, Thomas Møller and Kristian Bjerre Schmidt

Mortality regimes and longevity risk in a life annuity portfolio pp. 689-724

Killian Lemoine

Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria pp. 725-751

Bo Yi, Frederi Viens, Zhongfei Li and Yan Zeng

Volume 2015, issue 7, 2015

A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications pp. 549-572

Armelle Guillou, Philippe Naveau and Alexandre You

Calculation of ruin probabilities for a dense class of heavy tailed distributions pp. 573-591

Mogens Bladt, Bo Friis Nielsen and Gennady Samorodnitsky

Dividend optimization for general diffusions with restricted dividend payment rates pp. 592-615

Jinxia Zhu

On risk charges and shadow account options in pension funds pp. 616-639

Peter Jørgensen and Nadine Gatzert

Volume 2015, issue 6, 2015

Gaussian risk models with financial constraints pp. 469-481

Krzysztof Dȩbicki, Enkelejd Hashorva and Lanpeng Ji

A model study about the applicability of the Chain Ladder method pp. 482-499

Magda Schiegl

Bayesian estimators of the lognormal–Pareto composite distribution pp. 500-515

Kahadawala Cooray and Chin-I Cheng

From ruin theory to solvency in non-life insurance pp. 516-526

Mario V. Wüthrich

Fourier-analytic measures for heavy-tailed insurance losses pp. 527-547

Michael R. Powers and Thomas Y. Powers

Volume 2015, issue 5, 2015

Double chain ladder, claims development inflation and zero-claims pp. 383-405

MaríA Dolores Martínez Miranda, Jens Perch Nielsen, Richard Verrall and Mario V. Wüthrich

Computing finite-time survival probabilities using multinomial approximations of risk models pp. 406-422

M. Costabile, I. Massabò and E. Russo

Optimal dividend policies for piecewise-deterministic compound Poisson risk models pp. 423-454

Runhuan Feng, Hans W. Volkmer, Shuaiqi Zhang and Chao Zhu

Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process pp. 455-467

Lianzeng Zhang, Xiang Hu and Baige Duan

Volume 2015, issue 4, 2015

The finite time ruin probability in a risk model with capital injections pp. 301-318

Ciyu Nie, David C.M. Dickson and Shuanming Li

Tail approximation for reinsurance portfolios of Gaussian-like risks pp. 319-331

Julia Farkas and Enkelejd Hashorva

Premiums and reserves, adjusted by distortions pp. 332-351

Alois Pichler

A partial internal model for longevity risk pp. 352-382

Søren fiig Jarner and Thomas Møller

Volume 2015, issue 3, 2015

A Pareto scale-inflated outlier model and its Bayesian analysis pp. 201-220

David P.M. Scollnik

Ordered random vectors and equality in distribution pp. 221-244

Ka Chun Cheung, Jan Dhaene, Alexander Kukush and Daniël Linders

On a ruin model with both interclaim times and premiums depending on claim sizes pp. 245-265

Zhong Li and Kristina P. Sendova

Seasonal mortality for fractional ages in short term life insurance pp. 266-277

J.J. Fernández-Durán and M.M. Gregorio-Domínguez

The geometric chain-ladder pp. 278-300

D. Kuang, B. Nielsen and J.P. Nielsen

Volume 2015, issue 2, 2015

A simulation model for calculating solvency capital requirements for non-life insurance risk pp. 107-123

Jonas Alm

Sensitivity of life insurance reserves via Markov semigroups pp. 124-140

Matthias A. Fahrenwaldt

The impact of known breast cancer polygenes on critical illness insurance pp. 141-171

Craig Adams, Catherine Donnelly and Angus Macdonald

Asymptotics for large claims reinsurance in a time-dependent renewal risk model pp. 172-183

Jinzhu Li

A new parametric model for converting excess mortality from clinical studies to insured population pp. 184-199

Igor Itskovich and Bradley T. Roudebush

Volume 2015, issue 1, 2015

Prediction in a Poisson cluster model with multiple cluster processes pp. 1-31

Muneya Matsui

Further developments in the Erlang(n) risk process pp. 32-48

Agnieszka I. Bergel and Alfredo Egidio dos Reis

Estimating a tail of the mixture of log-normal and inverse Gaussian distribution pp. 49-58

Jelena Kočović, Vesna Ćojbašić Rajić and Milan Jovanović

Optimal consumption, investment and life insurance with surrender option guarantee pp. 59-87

Morten Tolver Kronborg and Mogens Steffensen

Stochastic modelling of disability insurance in a multi-period framework pp. 88-106

Helena Aro, Boualem Djehiche and Björn Löfdahl