Scandinavian Actuarial Journal

1996 - 2026

Current editor(s): Boualem Djehiche

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Optimal design of equity-linked products with a probabilistic constraint pp. 253-280: Phelim Boyle and Weidong Tian
On the discounted penalty function in a discrete time renewal risk model with general interclaim times pp. 281-294: Xueyuan Wu and Shuanming Li
Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios pp. 295-305: Esther Frostig and Michel Denuit
Non-parametric and parametric bootstrap techniques for age-to-age development factor methods in stochastic claims reserving pp. 306-331: Susanna Björkwall, Ola Hössjer and Esbjörn Ohlsson

A two-account model of pension saving contracts pp. 169-186: Mogens Steffensen and Stephan Waldstrøm
On the ordering of ruin probabilities for the surplus process perturbed by diffusion pp. 187-204: Cary Chi-Liang Tsai
Ruin probabilities in a discrete time risk model with dependent risks of heavy tail pp. 205-218: Chengguo Weng, Yi Zhang and Ken Tan
The Nash bargaining solution vs. equilibrium in a reinsurance syndicate pp. 219-238: Knut Aase
Projections of pension fund solvency under alternative valuation regimes pp. 239-251: Andriy Andreev and Hans-Kristian Sjöholm

Elliptical families and copulas: tilting and premium; capital allocation pp. 85-103: Zinoviy Landsman
Monotonicity properties and the deficit at ruin in the Sparre Andersen model pp. 104-118: Georgios Psarrakos and Konstadinos Politis
Risk minimization with inflation and interest rate risk: applications to non-life insurance pp. 119-151: Jérôme Barbarin, Tanguy De Launois and Pierre Devolder
A flexible model for actuarial risks under dependence pp. 152-167: Willem Albers, Wilbert Kallenberg and Viktor Lukocius
Book Review pp. 168-168: Boualem Djehiche

Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process pp. 1-26: Łukasz Delong
The distribution of compound sums of Pareto distributed losses pp. 27-37: Colin Ramsay
Management of catastrophic risks considering the existence of early warning systems pp. 38-62: Claudia Flores
Uncertainty of the claims development result in the chain ladder method pp. 63-84: Mario Wüthrich, Michael Merz and Natalia Lysenko

Second-order Bayesian revision of a generalised linear model pp. 202-242: Greg Taylor
Modelling long-term investment returns via Bayesian infinite mixture time series models pp. 243-282: John Lau and Tak Siu
Bounds on the estimation error in the chain ladder method pp. 283-300: Mario Wüthrich, Michael Merz and Hans Bühlmann
Combining generalized linear models and credibility models in practice pp. 301-314: Esbjörn Ohlsson
Solvency II: stability problems with the SCR aggregation formula pp. 315-315: Dietmar Pfeifer and Doreen Strassburger
Book Review pp. 316-316: Boualem Djehiche
39 INTERNATIONAL ASTIN COLLOQUIUM pp. 317-317: The Editors

Modelling and management of mortality risk: a review pp. 79-113: Andrew Cairns, David Blake and Kevin Dowd
On systematic mortality risk and risk-minimization with survivor swaps pp. 114-146: Mikkel Dahl, Martin Melchior and Thomas Møller
The evolution of death rates and life expectancy in Denmark pp. 147-173: Søren Jarner, Esben Kryger and Chresten Dengsøe
Reference mortality K2004 of personal life insurance policies in Finland pp. 174-183: Mika Mäkinen
Mortality among Swedish insured pp. 184-199: Ellinor Samuelsson

Randomized dividends in the compound binomial model with a general premium rate pp. 1-15: David Landriault
Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion pp. 16-33: Alexandros Zimbidis
The optimal claiming strategies in a Bonus-Malus System and the monotony property pp. 34-40: Yaniv Zaks
On finite-time ruin probabilities for classical risk models pp. 41-60: Claude Lefèvre and Stéphane Loisel
Solvency II: stability problems with the SCR aggregation formula pp. 61-77: Dietmar Pfeifer and Doreen Strassburger

Analysis of a threshold dividend strategy for a MAP risk model pp. 227-247: Andrei Badescu, Steve Drekic and David Landriault
On the analysis of a multi-threshold Markovian risk model pp. 248-260: Andrei Badescu, Steve Drekic and David Landriault
Multivariate Pareto portfolios: TCE-based capital allocation and divided differences pp. 261-280: Arthur Chiragiev and Zinoviy Landsman
Mean and dispersion modelling for policy claims costs pp. 281-292: Gillian Heller, D. Mikis Stasinopoulos, Robert Rigby and Piet De Jong
Non-parametric estimation of operational risk losses adjusted for under-reporting pp. 293-304: Tine Buch-Kromann, Martin Englund, Jim Gustafsson, Jens Perch Nielsen and Fredrik Thuring

Statistical estimate of the proportional hazard premium of loss pp. 147-161: Abdelhakim Necir, Djamel Meraghni and Fatima Meddi
Nested -statistics and their use in comparing the riskiness of portfolios pp. 162-179: Vytaras Brazauskas, Bruce Jones, Madan Puri and Ričardas Zitikis
Asymptotic analysis of the ruin with stationary stable steps generated by dissipative flows pp. 180-201: Ugur Tuncay Alparslan and Gennady Samorodnitsky
Spatial modelling of claim frequency and claim size in non-life insurance pp. 202-225: Susanne Gschlößl and Claudia Czado
Corrigendum pp. 226-226: Jan Dhaene, Gordon Willmot and Bjørn Sundt

Optimal expected exponential utility of dividend payments in a Brownian risk model pp. 73-107: Peter Grandits, Friedrich Hubalek, Walter Schachermayer and Mislav Žigo
Valuation portfolio in non-life insurance pp. 108-125: Markus Buchwalder, Hans Bühlmann, Michael Merz and Mario Wüthrich
Solvency II: Calibration for skewness pp. 126-134: Arne Sandström
Topical modelling issues in Solvency II pp. 135-146: Ronkainen Vesa, Koskinen Lasse and Berglund Raoul

Association and heterogeneity of insured lifetimes in the Lee–Carter framework pp. 1-19: Michel Denuit and Esther Frostig
On composite lognormal-Pareto models pp. 20-33: David Scollnik
Markov-modulated diffusion risk models pp. 34-52: Nicole Bäuerle and Mirko Kötter
Pragmatic insurance option pricing pp. 53-70: Jon Holtan