Scandinavian Actuarial Journal

1996 - 2026

Current editor(s): Boualem Djehiche

From Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Volume 2013, issue 6, 2013

On mixing, compounding, and tail properties of a class of claim number distributions pp. 403-423

Gordon Willmot

Randomized observation periods for the compound Poisson risk model: the discounted penalty function pp. 424-452

Hansjörg Albrecher, Eric Cheung and Stefan Thonhauser

Ruin probabilities in models with a Markov chain dependence structure pp. 453-476

C. Constantinescu, D. Kortschak and V. Maume-Deschamps

Volume 2013, issue 5, 2013

Jackknife empirical likelihood for parametric copulas pp. 325-339

Ruodu Wang, Liang Peng and Jingping Yang

Contingent means in multi-life models pp. 340-351

Liang Hong and Jyotirmoy Sarkar

Sharp approximations of ruin probabilities in the discrete time models pp. 352-382

Lesław Gajek and Marcin Rudź

Modeling of group-specific mortality in China using a modified Lee–Carter model pp. 383-402

Bojuan Zhao, Xiangliang Liang, Wenke Zhao and Delong Hou

Volume 2013, issue 4, 2013

Fitting bivariate losses with phase-type distributions pp. 241-262

Amin Zadeh and Martin Bilodeau

Optimal investment-reinsurance with dynamic risk constraint and regime switching pp. 263-285

Jingzhen Liu, Ka-Fai Yiu, Tak Siu and Wai-Ki Ching

Safety margins for unsystematic biometric risk in life and health insurance pp. 286-323

Marcus Christiansen

Volume 2013, issue 3, 2013

On finite-time ruin probabilities with reinsurance cycles influenced by large claims pp. 163-185

Mathieu Bargès, Stéphane Loisel and Xavier Venel

Ruin time and aggregate claim amount up to ruin time for the perturbed risk process pp. 186-212

Landy Rabehasaina and Cary Chi-Liang Tsai

On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process pp. 213-239

Zhimin Zhang, Hailiang Yang and Hu Yang

Volume 2013, issue 2, 2013

Ruin problems for a discrete time risk model with non-homogeneous conditions pp. 83-102

Anna Castañer, M. Claramunt, Maude Gathy, Claude Lefèvre and Maite Mármol

Bounds for sums of random variables when the marginal distributions and the variance of the sum are given pp. 103-118

Ka Cheung and Steven Vanduffel

Optimal insurance contract with stochastic background wealth pp. 119-139

Hung-Hsi Huang, Yung-Ming Shiu and Ching-Ping Wang

Optimal dividend control for a generalized risk model with investment incomes and debit interest pp. 140-162

Jinxia Zhu

Volume 2013, issue 1, 2013

A cautionary note on pricing longevity index swaps pp. 1-23

Rui Zhou and Johnny Li

Raising and allocation capital principles as optimal managerial contracts pp. 24-48

Fernando Mierzejewski

Performance measurement of pension strategies: a case study of Danish life-cycle products pp. 49-68

Montserrat Guillén, Jens Nielsen, Ana Pérez-Marín and Kitt Petersen

On beta-product convolutions pp. 69-83

Enkelejd Hashorva