Scandinavian Actuarial Journal

1996 - 2025

Current editor(s): Boualem Djehiche

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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 D. Egídio 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

Volume 2014, issue 8, 2014

Asymptotic optimal investment under interest rate for a class of subexponential distributions pp. 671-689

Julia Eisenberg

Inference in multiplicative pricing pp. 690-713

Stig Rosenlund

The use of phase-type models for disability insurance calculations pp. 714-728

Amin Hassan Zadeh, Bruce L. Jones and David A. Stanford

Recursions and fast Fourier transforms for a new bivariate aggregate claims model pp. 729-752

Tao Jin and Jiandong Ren

Authors’ Reply to ‘Letter to the Editor regarding folded models and the paper by Brazauskas and Kleefeld (2011)’ pp. 753-757

Vytaras Brazauskas and Andreas Kleefeld

Volume 2014, issue 7, 2014

Optimal investment of an insurer with regime-switching and risk constraint pp. 583-601

Jingzhen Liu, Ka-Fai Cedric Yiu and Tak Kuen Siu

Unconditional distributions obtained from conditional specification models with applications in risk theory pp. 602-619

E. Gómez-Déniz and E. Calderín-Ojeda

Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics pp. 620-648

Yasutaka Shimizu

Micro-level stochastic loss reserving for general insurance pp. 649-669

Katrien Antonio and Richard Plat

Volume 2014, issue 6, 2014

Stochastic modelling of mortality and financial markets pp. 483-509

Helena Aro and Teemu Pennanen

On the accuracy of phase-type approximations of heavy-tailed risk models pp. 510-534

E. Vatamidou, I.J.B.F. Adan, M. Vlasiou and B. Zwart

Minimizing the lifetime ruin under borrowing and short-selling constraints pp. 535-560

Haluk Yener

Consistent loss prediction for a portfolio and its subportfolios pp. 561-581

Sebastian Fuchs

Volume 2014, issue 5, 2014

Optimal constrained investment in the Cramer-Lundberg model pp. 383-404

Tatiana Belkina, Christian Hipp, Shangzhen Luo and Michael Taksar

A note on deficit analysis in dependency models involving Coxian claim amounts pp. 405-423

David Landriault, Wing Yan Lee, Gordon E. Willmot and Jae-Kyung Woo

Optimal reinsurance arrangements in the presence of two reinsurers pp. 424-438

Yichun Chi and Hui Meng

Modelling critical illness claim diagnosis rates I: methodology pp. 439-457

Erengul Ozkok, George Streftaris, Howard Waters and A. David Wilkie

Modelling critical illness claim diagnosis rates II: results pp. 458-482

E. Ozkok, G. Streftaris, H.R. Waters and A.D. Wilkie

Volume 2014, issue 4, 2014

On semiparametric estimation of ruin probabilities in the classical risk model pp. 283-308

Esterina Masiello

On a nonparametric estimator for ruin probability in the classical risk model pp. 309-338

Zhimin Zhang, Hailiang Yang and Hu Yang

SC-CR Algorithms with informative masking pp. 339-351

Peter Adamic and Sylvain Caron

Pricing catastrophe risk in life (re)insurance pp. 352-367

Erland Ekheden and Ola Hössjer

First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications pp. 368-382

David Landriault and Tianxiang Shi

Volume 2014, issue 3, 2014

Beyond the Gompertz law: exploring the late-life mortality deceleration phenomenon pp. 189-207

Mark Bebbington, Rebecca Green, Chin-Diew Lai and Ričardas Zitikis

Rethinking age-period-cohort mortality trend models pp. 208-227

Daniel Alai and Michael Sherris

Insurance markets and unisex tariffs: is the European Court of Justice improving or destroying welfare? pp. 228-254

Jörn Sass and Frank Seifried

The moments of the Gompertz distribution and maximum likelihood estimation of its parameters pp. 255-277

Adam Lenart

Regarding folded models and the paper by Brazauskas and Kleefeld (2011) pp. 278-281

David Scollnik

Errata for ‘Optimal dividend control for a generalized risk model with investment incomes and debit interest’ online version pp. 282-282

Jinxia Zhu

Volume 2014, issue 2, 2014

A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections pp. 93-115

Lothar Breuer and Andrei Badescu

On the complete monotonicity of the compound geometric convolution with applications in risk theory pp. 116-124

Sung Chiu and Chuancun Yin

On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula pp. 125-158

Stathis Chadjiconstantinidis and Spyridon Vrontos

Longitudinal modeling of insurance claim counts using jitters pp. 159-179

Peng Shi and Emiliano Valdez

New composite models for the Danish fire insurance data pp. 180-187

S. Nadarajah and S.A.A. Bakar

Volume 2014, issue 1, 2014

Computing the finite-time expected discounted penalty function for a family of Lévy risk processes pp. 1-31

Alexey Kuznetsov and Manuel Morales

An axiomatic approach to the valuation of cash flows pp. 32-40

Fredrik Armerin

Quantifying mortality risk in small defined-benefit pension schemes pp. 41-57

Catherine Donnelly

Modelling and predicting customer churn from an insurance company pp. 58-71

Clara-Cecilie Günther, Ingunn Tvete, Kjersti Aas, Geir Sandnes and Ørnulf Borgan

Optimal reinsurance under general law-invariant risk measures pp. 72-91

K.C. Cheung, K.C.J. Sung, S.C.P. Yam and S.P. Yung