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Content
May 1995, Volume 25, Issue 1
- 19-31 On Some Properties of de Pril Transforms of Counting Distributions
by Sundt, Bjørn
- 33-48 Efficient Portfolios in the Asset Liability Context
by Keel, Alex & Müller, Heinz H.
- 49-66 Does Markov-Modulation Increase the Risk?
by Asmussen, Søren & Frey, Andreas & Rolski, Tomasz & Schmidt, Volker
- 67-74 The Effect of the Retention Limit on the Risk Reserve
by Centeno, Maria de Lourdes
- 75-76 C.D. Daykin, T. Pentikäinen and M. Pesonen: Practical Risk Theory for Actuaries. Monographs on Statistics and Applied Probability 53, Chapman & Hall, London1993. 546 pp. ISBN 0-412-42850-4
by Neuhaus, Walther
November 1994, Volume 24, Issue 2
- 161-166 Further Results on Hesselager's Recursive Procedure for Calculation of some Compound Distributions
by Wang, Shaun & Sobrero, Monica
- 167-181 Two Stochastic Approaches for Discounting Actuarial Functions
by Parker, Gary
- 183-193 A Markov Model for Loss Reserving
by Hesselager, Ole
- 195-220 Martingale Approach to Pricing Perpetual American Options
by Gerber, Hans U. & Shiu, Elias S.W.
- 221-233 Robust Credibility via Robust Kalman Filtering
by Kremer, Erhard
- 235-254 Recursive Methods for Computing Finite-Time Ruin Probabilities for Phase-Distributed Claim Sizes
by Stanford, D.A. & Stroiński, K.J.
- 255-263 On the Compound Generalized Poisson Distributions
by Ambagaspitiya, R.S. & Balakrishnan, N.
- 265-285 Modelling the Claims Process in the Presence of Covariates
by Renshaw, Arthur E.
- 287-309 A Comparative Analysis of 30 Bonus-Malus Systems
by Lemaire, Jean & Zi, Hongmin
- 311-318 Additivity of Chain-Ladder Projections
by Ajne, Björn
- 319-323 Deductibles and the Inverse Gaussian Distribution
by ter Berg, Peter
- 325-332 A Method for Modelling Varying Run-Off Evolutions in Claims Reserving
by Verrall, R.J.
- 333-334 Björn Sundt (1993): An Introduction to Non-Life Insurance Mathematics. Third edition. Veröffentlichungen des Instituts für Versicherungswissenschaft der Universitat Mannheim, Vol. 28, Verlag Versicherungswirtschaft, Karlsruhe, 215 pages, DM 32.—
by Hipp, Christian
May 1994, Volume 24, Issue 1
- 5-18 Risk Allocation in Capital Markets: Portfolio Insurance, Tactical Asset Allocation and Collar Strategies
by Chevallier, Eric & Müller, Heinz H.
- 19-32 A Recursive Procedure for Calculation of some Compound Distributions
by Hesselager, Ole
- 33-45 Some Comments on the Compound Binomial Model
by Dickson, David C.M.
- 47-60 Limiting Distribution of the Present Value of a Portfolio
by Parker, Gary
- 61-74 Bonus Made Easy1
by Holtan, Jon
- 75-86 High Deductibles instead of Bonus-Malus: Can it Work?
by Lemaire, Jean & Zi, Hongmin
- 87-88 Note on the Papers by J. Holtan and By J. Lemaire & H. Zi
by Holtan, Jon
- 89-96 On the Exact Calculation of the Aggregate Claims Distribution in the Individual Life Model
by Waldmann, Karl-Heinz
- 97-129 Modelling Mortgage Insurance Claims Experience: A Case Study
by Taylor, Greg
- 131-143 Premium Rating by Geographic Area Using Spatial Models
by Boskov, M. & Verrall, R. J.
November 1993, Volume 23, Issue 2
- 185-211 Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization
by Aase, Knut K.
- 213-225 Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates
by Mack, Thomas
- 227-258 On the Stability of Recursive Formulas
by H. Panjer, Harry & Shaun Wang,
- 259-272 Gamma Processes and Finite Time Survival Probabilities
by Dickson, David C. M. & Waters, Howard R.
- 273-286 Weighted Mortality Rates as Early Warning Signals for Insurance Companies
by Roberts, Leigh A.
- 287-299 The Incidence of Risk under Credit Insurance
by Taylor, Greg
- 301-303 Improved Error Bounds for Bertram's Method
by Sundt, Bjørn
May 1993, Volume 23, Issue 1
- 3-22 A Discrete Time Model for Pricing Treasury Bills, Forward, and Futures Contracts
by Morgan, I.G. & Neave, E.H.
- 23-54 An Appropriate Way to Switch from the Individual Risk Model to the Collective One
by Kuon, S. & Radtke, M. & Reich, A.
- 55-76 Predictive Stop-Loss Premiums
by Hürlimann, Werner
- 77-93 A Class of Conjugate Priors with Applications to Excess-of-Loss Reinsurance
by Hesselager, Ole
- 95-115 Prediction of Outstanding Liabilities in Non-Life Insurance1
by Norberg, Ragnar
- 117-143 Robust Credibility1
by Gisler, Alois & Reinhard, Peter
- 145-147 An Application of Exponential Dispersion Models in Premium Rating
by Renshaw, A. E.
- 149-156 A Note on Random Survivorship Group Benefits
by Ramsay, Colin M.
- 157-160 H. H. Panjer, G. E. Willmot (1992): Insurance risk models. Society of Actuaries, Schaumburg IL 60713-2226, USA, 442 pages, US$ 35.00 (overseas:+ 50%)
by Sundt, Bjørn
November 1992, Volume 22, Issue 2
- 135-148 Error Bounds for Compound Poisson Approximations of the Individual Risk Model
by De Pril, Nelson & Dhaene, Jan
- 149-165 Linear Estimation and Credibility in Continuous Time1
by Norberg, Ragnar
- 167-176 On Allocation of Excess of Loss Premiums
by Sundt, Bjørn
- 177-190 The Probability and Severity of Ruin in Finite and Infinite Time
by Dickson, David C. M. & Waters, Howard R.
- 191-216 A Simulation Procedure for Comparing Different Claims Reserving Methods
by Pentikäinen, Teivo & Rantala, Jukka
- 217-223 On the Convergence Rate of Bonus-Malus Systems
by Bonsdorff, Heikki
- 225-233 Maximizing Compound Poisson Stop-Loss Premiums Numerically with Given Mean and Variance
by Kaas, R. & Vanneste, M. & Goovaerts, M.J.
- 235-246 Approximations of Ruin Probability by Di-Atomic or Di-Exponential Claims
by Babier, Joshua & Chan, Beda
- 247-254 Premium Calculation Without Arbitrage? A note on a contribution by G. Venter
by Albrecht, Peter
- 255-256 Premium Calculation Without Arbitrage Author's Reply on the Note by P. Albrecht
by Venter, G.
May 1992, Volume 22, Issue 1
- 11-31 Trend et systèmes de Bonus-Malus1
by Besson, Par Jean-Luc & Partrat, et Christian
- 33-49 Robust Methods for Credibility
by Künsch, Hans R.
- 51-59 Improving Goovaerts' and De Vylder's Stable Recursive Algorithm
by Ramsay, Colin M.
- 61-80 On some Extensions of Panjer's Class of Counting Distributions1
by Sundt, Bjørn
- 81-96 Credit Risk and Prepayment Option
by Artzner, Philippe & Delbaen, Freddy
- 97-106 Using the Poisson Inverse Gaussian in Bonus-Malus Systems
by Tremblay, Luc
- 107-119 Risque de décès et risque de ruine: Réflexions sur la mesure du risque de ruine
by Amsler, Par Marc-Henri
- 121-123 Letter to the Editors
by Sundt, Bjørn
- 125-125 A. E. Van Heerwaarden (1991): Ordering of risks: Theory and actuarial applications. Thesis/Tinbergen Institute (Tinbergen Institute research series; no. 20), Amsterdam, 159 pages, US$ 21.00/DF1. 37.50
by Klüppelberg, C.
November 1991, Volume 21, Issue 2
- 177-192 Risk Theory with the Gamma Process
by Dufresne, François & Gerber, Hans U. & Shiu, Elias S. W.
- 193-198 Evaluating Compound Generalized Poisson Distributions Recursively
by Goovaerts, M. J. & Kaas, R.
- 199-221 Recursive Calculation of Survival Probabilities
by Dickson, David C. M. & Waters, Howard R.
- 223-230 Premium Calculation Implications of Reinsurance Without Arbitrage
by Venter, Gary G.
- 231-238 A Mixed Model for Loss Ratio Analysis
by El-Bassiouni, M. Y.
- 239-251 Distributions de Pareto: Intérêts et limites en réassurance
by Huyghues-Beaufond, Par Claude
- 253-276 Statistical Analysis of Natural Events in the United States
by Charles Levi, & Partrat, Christian
- 277-277 Letter to the Editors
by Anonymous
- 279-284 Foundations of Casualty Actuarial Science: Published by Casualty Actuarial Society, One Penn Plaza, 250 West 34th Street, New York, NY 10119. 584 pages. $65. — (overseas $97.50)
by Neuhaus, Walther
April 1991, Volume 21, Issue 1
- 17-40 Cooperative Game Theory and its Insurance Applications
by Lemaire, Jean
- 41-55 Combining Quota-Share and Excess of Loss Treaties on the Reinsurance of n Independent Risks
by Centeno, Lourdes & Simões, Onofre
- 57-71 Distribution of Surplus in Life Insurance
by Ramlau-Hansen, Henrik
- 73-91 Credibility Models with Time-Varying Trend Components
by Ledolter, Johannes & Klugman, Stuart & Lee, Chang-Soo
- 93-109 A Simple Parametric Model for Rating Automobile Insurance or Estimating IBNR Claims Reserves
by Mack, Thomas
- 111-127 Separating True IBNR and IBNER Claims1
by Schnieper, R.
- 129-132 The Schmitter Problem
by Brockett, P. & Goovaerts, M. & Taylor, G.
- 133-146 The Schmitter Problem and a Related Problem: A Partial Solution
by Kaas, R.
- 151-152 M.J. Goovaerts, R. Kaas, A. E. van Heerwaarden, T. Bauwelinckx (1990): Effective Actuarial Methods. Elsevier Science Publishers BV, Amsterdam, 316 pages, US$ 92.25/DFL. 180.00
by Embrechts, Paul
- 153-153 Letter to the Editors
by Anonymous
November 1990, Volume 20, Issue 2
- 125-166 Asset Pricing Models and Insurance Ratemaking
by Cummins, J. David
- 167-172 Convergence of Bayes and Credibility Premiums
by Schmidt, Klaus D.
- 173-179 Minimax Estimation of a Mean Vector for Distributions on a Compact Set
by Dykstra, Richard
- 181-190 Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation1
by Denneberg, Dieter
- 191-200 On Changing the Parameter of Exponential Smoothing in Experience Rating
by Bonsdorff, Heikki
- 201-216 Estimation in the Pareto Distribution
by Rytgaard, Mette
- 217-243 Bayes and Empirical Bayes Estimation for the Chain Ladder Model
by Verrall, R.J.
- 245-246 Eric Briys (1990). Demande d'assurance et microéconomie de l'incertain. Presses Universitaires de France, Collection Finance, 151 pages, 118 FF
by Lemaire, Jean
April 1990, Volume 20, Issue 1
- 11-22 The Asymptotic Efficiency of Largest Claims Reinsurance Treaties
by Kremer, Erhard
- 23-31 Pareto Optimal Risk Exchanges and a System of Differential Equations: a Duality Theorem
by Wyler, Erich
- 33-55 Fuzzy Insurance
by Lemaire, Jean
- 57-79 Pseudo Compound Poisson Distributions in Risk Theory
by Hürlimann, W.
- 81-92 Distributions in Life Insurance
by Dhaene, Jan
- 93-111 Predicting IBNYR Events and Delays II. Discrete Time
by Jewell, William S.
- 113-114 Ruin Probability for Translated Combination of Exponential Claims
by Chan, Beda
- 115-115 W. R. Heilmann (1988). Fundamentals of Risk Theory. Verlag für Versicherungswirtschaft, Karlsruhe, 288 pages, 36 DM
by Straub, Erwin
November 1989, Volume 19, Issue S1
November 1989, Volume 19, Issue 2
April 1989, Volume 19, Issue 1
- 9-24 The Aggregate Claims Distribution in the Individual Model with Arbitrary Positive Claims
by De Pril, Nelson
- 25-55 Predicting Ibnyr Events and Delays: I. Continuous Time
by Jewell, William S.
- 57-70 Estimators and Bootstrap Confidence Intervals for Ruin Probabilities
by Hipp, Christian
- 71-90 Three Methods to Calculate the Probability of Ruin
by Dufresne, François & Gerber, Hans U.
- 91-122 Use of Spline Functions for Premium Rating by Geographic Area
by Taylor, G. C.
- 123-124 E. Straub (1988): Non-Life Insurance Mathematics. Springer-Verlag, Berlin etc. and Association of Swiss Actuaries, Zurich, 136 pages, DM 84.00
by Reich, Axel
November 1988, Volume 18, Issue 2
- 127-145 Modern Portfolio Theory: Some Main Results
by Müller, Heinz H.
- 147-160 Hedging by Sequential Regression: An Introduction to the Mathematics of Option Trading
by Föllmer, H. & Schweizer, M.
- 161-168 Mathematical Fun with the Compound Binomial Process
by Gerber, Hans U.
- 169-174 Between Individual and Collective Model for the Total Claims
by Kaas, R. & van Heerwaarden, A. E. & Goovaerts, M. J.
- 175-187 What is a Sports Car?
by Ingenbleek, Jean-François & Lemaire, Jean
- 189-197 Produits financiers et determination de la prime glissante de traites non proportionnels
by Levi, Charles
- 199-200 Stephen P. D'Arcy and Neil A. Doherty (1988). The Financial Theory of Pricing Property-Liability Insurance Contracts. Philadelphia, PA: S. S. Huebner Foundation, University of Pennsylvania. 99 pp. $19.95
by Cummins, J. David
- 200-202 N. L. Bowers, H. V. Gerber, J. C. Hickman, D. A. Jones, C. J. Nesbitt (1986). Actuarial Mathematics. The Society of Actuaries624 pages, USA $ 65.-, Overseas $ 97.50; (please send orders to: Society of Actuaries, P.O. Box 95668, Chicago, IL 60694)
by Hipp, Christian
April 1988, Volume 18, Issue 1
- 17-29 Sundt and Jewell's Family of Discrete Distributions
by Willmot, Gordon
- 31-46 Distributions stationnaires d'un système bonus–malus et probabilité de ruine
by Dufresne, Par François
- 47-55 Pareto-Optimal Profit-Sharing
by Vandebroek, Martina
- 57-68 On A Model for the Claim Number Process
by Ruohonen, Matti
- 69-78 A General Bound for the Net Premium of the Largest Claims Reinsurance Covers
by Kremer, Erhard
- 79-90 A Credibility Model with Random Fluctuations in Delay Probabilities for the Prediction of IBNR Claims(*)
by Hesselager, Ole & Witting, Thomas
- 91-97 On Stop-Loss Premiums for the Individual Model
by Kaas, R. & van Heerwaarden, A. E. & Goovaerts, M. J.
- 99-112 Construction of the New Belgian Motor Third Party Tariff Structure
by Lemaire, Jean
- 113-114 Letters to the Editors
by Reimers, L.
- 115-116 W. R. Heilmann (1987). Grundbegriffe der Risikotheorie. Versicherungswirtschaft e.V., Karlsruhe, 215 pages, 32DM
by Dubey, A.
- 116-116 E. Kremer (1985). Einführung in die Versicherungsmathematik. Vandenhoeck and Rupprecht, Göttingen, 158 pages, 38DM
by Dubey, A.
November 1987, Volume 17, Issue 2
- 141-150 Economic Premium Principles in Insurance and the Capital Asset Pricing Model
by Müller, Heinz H.
- 151-163 On the Probability and Severity of Ruin
by Gerber, Hans U. & Goovaerts, Marc J. & Kaas, Rob
- 165-169 An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio
by Michel, R.
- 171-177 On the Definition of Catastrophe Claims and the Calculation of their Expected Cost for the Purpose of Long Range Planning and Profit Centre Control
by Ajne, Björn & Wide, Harry
- 179-181 Projecting Development of Losses During an Accident Year
by Gogol, Daniel
- 183-191 Panjer vs Kornya vs De Pril: A Comparison from a Practical Point of View
by Kuon, S. & Reich, A. & Reimers, L.
- 193-195 Letters to the Editors
by Mack, Thomas & Sundt, Bjørn & Kremer, Erhard
- 197-199 M. J. Goovaerts and W. J. Hoogstad (1987). Credibility Theory. Surveys of Actuarial Studies 4. Nationale-Nederlanden N. V., Rotterdam. 114 pages + 1 diskette
by Sundt, Bjørn
- 199-199 S. T. Pritchett and R. P. Wilder (1986). Stock Life Insurance Company Profitability and Workable Competition. Huebner Foundation Monograph No. 14, IX. S. S. Huebner Foundation for Insurance Education, University of Pennsylvania. 77 pages, $17.95
by Müller, Heinz
April 1987, Volume 17, Issue 1
- 15-39 Approximative Evaluation of the Distribution Function of Aggregate Claims1
by Pentikäinen, T.
- 41-70 Two Credibility Regression Approaches for the Classification of Passenger Cars in a Multiplicative Tariff1
by Sundt, Bjørn
- 71-84 The Linear Markov Property in Credibility Theory
by Witting, Thomas
- 85-132 The Solvency of a General Insurance Company in Terms of Emerging Costs
by Daykin, C. D. & Bernstein, G. D. & Coutts, S. M. & Devitt, E. R. F. & Hey, G. B. & Reynolds, D. I. W. & Smith, P. D.
- 133-134 H. U. Gerber (1986). Lebensversicherungsmathematik. Springer Verlag, Berlin etc.; Vereingung Schweizerischer Versicherungs-mathematiker, Zürich. XIII, 125 pages, DM 98.00
by Heilmann, W.-R.
- 134-136 Bjørn Sundt (1984). An Introduction to Non-Life Insurance Mathematics. Veröffentlichungen des Instituts für Versicherungswissenschaft der Universität Mannheim, Vol. 28, Verlag Versicherungswirtschaft, Karlsruhe. 168 pages, DM 24.00
by Hipp, Christian
April 1986, Volume 16, Issue S1
November 1986, Volume 16, Issue 2
- 77-88 Chains of Reinsurance Revisited
by Lemaire, Jean & Quairiere, Jean-Pierre
- 89-100 Improved Approximations for the Aggregate Claims Distribution in the Individual Model
by Hipp, Christian
- 101-108 Recursive Calculation of the Net Premium for Largest Claims Reinsurance Covers
by Kremer, E.
- 109-112 On the Exact Computation of the Aggregate Claims Distribution in the Individual Life Model
by De Pril, Nelson
- 113-147 Run-Off Risk as a Part of Claims Fluctuation
by Pentikäinen, T. & Rantala, J.
- 149-163 Tarification de l'Incendie des Risques Industriels Français par la Méthode de la Crédibilité
by Cohen, Albert & Dupin, Gilles & Levi, Charles
- 165-183 An Integrated System for Estimating the Risk Premium of Individual Car Models in Motor Insurance
by Campbell, Malcolm
- 185-185 Martin T. Katzmann (1985). Chemical Catastrophes: Regulating Environment Risk through Pollution Liability Insurance. Huebner Foundation Studies, Wharton School, University of Pennsylvania. 177 pages, $25.00
by Straub, Erwin
- 186-187 Jean Lemaire (1985). Automobile Insurance: Actuarial Models. Kluwer & Nijhoff Publishing, Boston/Dordrecht/Lancaster. Huebner International Series on Risk, Insurance and Economic Security. 248 pages, $44.00
by Dubey, André
April 1986, Volume 16, Issue 1
November 1985, Volume 15, Issue 2
- 73-88 A Heuristic Review of some Ruin Theory Results
by Taylor, G. C.
- 89-101 Premium Calculation from Top Down
by Bühlmann, Hans
- 103-121 Credibility Approximations for Bayesian Prediction of Second Moments
by William S. Jewell, & Schnieper, Rene
- 123-133 Probabilités de Ruine pour une Classe de Modèles de Risque Semi-Markoviens
by Janssen, Jacques & Reinhard, Jean-Marie
- 135-139 Recursions for Convolutions of Arithmetic Distributions
by De Pril, Nelson
- 141-148 The Reinsurer's Monopoly and the Bowley Solution
by Chan, Fung-Yee & Gerber, Hans U.
- 149-169 Draft of a System for Solvency Control in Non-Life Insurance
by Norberg, Ragnar & Sundt, Bjørn
- 171-183 A Statistical Approach to IBNR-Reserves in Marine Reinsurance
by Hertig, Joakim
April 1985, Volume 15, Issue 1
- 1-17 An Evolutionary Credibility Model for Claim Numbers
by Albrecht, Peter
- 19-35 Linear Filtering and Recursive Credibility Estimation
by Zehnwirth, Ben
- 37-43 Unbayesed Credibility Revisited
by Norberg, Ragnar
- 44-44 Corrigendum
by Anonymous
- 45-48 Asymptotic Behaviour of Compound Distributions
by Embrechts, Paul & Maejima, Makoto & Teugels, Jozef L.
- 49-63 On Combining Quota-Share and Excess of Loss
by Centeno, Lourdes
- 67-68 J. van Eeghen, E. K. Greup and J. A. Nijssen (1983). Rate Making. Surveys of Actuarial Studies, No. 2. Nationale-Nederlanden N.V., Rotterdam. 138 pages
by Ajne, B.
- 69-70 R. E. Beard, T. Pentikäinen and E. Pesonen (1984). Risk Theory (3rd edition). Chapman & Hall Ltd., London, xvii + 408 pages, £11.95 paperback/£24.50 hardbound
by Goovaerts, M.
- 70-72 M. Goovaerts, F. De Vylder and J. Haezendonck (1984). Insurance Premiums. Theory and Applications. North-Holland, Amsterdam, xi + 406 pages, US $63.75/Dfl.150.00
by Reich, A.
October 1984, Volume 14, Issue 2
- 105-121 Premium Calculation for Deductible Policies with an Aggregate Limit
by Mack, Thomas
- 123-133 Homogeneous Premium Calculation Principles
by Reich, Axel
- 135-148 Approximating the Distribution of a Dynamic Risk Portfolio
by Jewell, William S.
- 149-150 R. V. Hogg and S. A. Klugman (1984). Loss Distributions, xii + 235, £28.45. Chichester: John Wiley & Sons Limited
by ter Berg, P.
- 151-163 Rate Making and Society's Sense of Fairness
by de Wit, G. W. & van Eeghen, J.
- 165-171 The Influence of Expense Loadings on the Fairness of a Tariff
by Lemaire, Jean
- 173-181 L'écrêtement des sinistres “automobile”
by Moreau, Par Lionel
- 183-191 Actuarial Remarks on Planning and Controlling in Reinsurance
by Straub, Erwin
April 1984, Volume 14, Issue 1
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