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Content
April 1995, Volume 16, Issue 1
December 1994, Volume 15, Issue 2-3
- 121-126 From perpetual strangles to Russian options
by Gerber, Hans U. & Shiu, Elias S. W.
- 127-132 Some alternatives for the individual model
by Kaas, R. & Gerber, H. U.
- 133-138 Which stochastic model is underlying the chain ladder method?
by Mack, Thomas
- 139-149 Longest runs in coin tossing
by Binswanger, K. & Embrechts, P.
- 151-162 Dynamic approaches to pension funding
by Haberman, Steven & Sung, Joo-Ho
- 163-179 Actuarial equivalence
by Wolthuis, Henk
- 181-186 A note on the solution of practical ruin problems
by De Vylder, F. & Goovaerts, M. J.
- 187-201 Capital structure and the cost of equity capital in the property-liability insurance industry
by Cummins, J. David & Lamm-Tennant, Joan
- 203-217 Premium adjustment by generalized adaptive exponential smoothing
by Herkenrath, U.
- 219-231 Compound model for two dependent kinds of claim
by Partrat, Christian
October 1994, Volume 15, Issue 1
July 1994, Volume 14, Issue 3
May 1994, Volume 14, Issue 2
- 107-115 On some measures of the severity of ruin in the classical Poisson model
by Picard, Philippe
- 117-127 Evaluation of the GIC rollover option
by Pedersen, Hal W. & Shiu, Elias S. W.
- 129-138 Proportional convergence and tail-cutting techniques in evaluating aggregate claim distributions
by Wang, Shaun & Panjer, Harry
- 139-161 A survey of stochastic continuous time models of the term structure of interest rates
by Vetzal, Kenneth R.
- 163-179 On the first crossing of the surplus process with a given upper barrier
by Picard, Philippe & Lefevre, Claude
- 181-196 On a class of approximative computation methods in the individual risk model
by Dhaene, Jan & Pril, Nelson De
April 1994, Volume 14, Issue 1
- 1-18 Pricing long term care insurance contracts
by Levikson, B. & Mizrahi, G.
- 19-32 Trend analysis and prediction procedures for time nonhomogeneous claim processes
by Berg, Menachem P. & Haberman, Steven
- 33-37 An analytical inversion of a Laplace transform related to annuities certain
by De Schepper, A. & Teunen, M. & Goovaerts, M.
- 39-50 Some results on the estimation of the credibility factor in the classical Buhlmann model
by Dannenburg, Dennis
- 51-60 Ruin problems and dual events
by Dickson, David C. M. & dos Reis, Alfredo Egidio
December 1993, Volume 13, Issue 3
- 241-254 How to (and how not to) compute stop-loss premiums in practice
by Kaas, R.
- 255-262 A stop-loss experience rating scheme for fleets of cars, Part II
by Szynal, Dominik & Teugels, Jozef L.
- 263-270 Pension funding : The effect of changing the frequency of valuations
by Haberman, Steven
- 271-285 Delay, feedback and variability of pension contributions and fund levels
by Zimbidis, Alexandros & Haberman, Steven
- 287-297 Critical starting points for stable evaluation of mixed Poisson probabilities
by Wang, Shaun & Panjer, Harry
- 299-302 Production decisions in case of monotone likelihood ratio shifts of cumulative distribution functions
by Machnes, Yaffa
- 303-304 Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum
by Bacinello, Anna Rita & Ortu, Fulvio
November 1993, Volume 13, Issue 2
September 1993, Volume 13, Issue 1
- 1-5 Bonus-malus system or partial coverage to oppose moral hazard problems?
by Vandebroek, Martina
- 7-14 A state space formulation of Whittaker graduation, with extensions
by Verrall, R. J.
- 15-22 Annuity distributions : A new class of compound Poisson distributions
by Ramsay, Colin M.
- 23-34 From planar Brownian windings to Asian options
by Yor, Marc
- 35-37 On Berry-Esseen results for the compound Poisson distribution
by Michel, R.
- 39-44 Remarks on the Swiss premium principle on positive risks
by Beyer, Dirk & Riedel, Manfred
- 45-56 Pension funding with time delays and autoregressive rates of investment return
by Haberman, Steven
- 57-62 Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
by Veraverbeke, Noel
- 63-74 On the application of Thiele's differential equation in life insurance
by Linnemann, Per
- 75-81 A semi-parametric estimator of a risk distribution
by Carriere, Jacques
- 83-97 Extensions of Ohlin's lemma with applications to optimal reinsurance structures
by Hesselager, Ole
June 1993, Volume 12, Issue 3
- 225-244 Optimal claim behaviour for vehicle damage insurances
by Dellaert, N. P. & Frenk, J. B. G. & van Rijsoort, L. P.
- 245-257 Pricing equity-linked life insurance with endogenous minimum guarantees
by Bacinello, Anna Rita & Ortu, Fulvio
- 259-264 Asymptotic ordering of risks and ruin probabilities
by Kluppelberg, Claudia
- 265-286 A Bayesian analysis of a simultaneous equations model for insurance rate-making
by Scollnik, David P. M.
- 287-295 Empirical probability generating function : An overview
by Nakamura, Miguel & Perez-Abreu, Victor
- 297-299 Using expected loss ratios in reserving
by Gogol, Daniel
April 1993, Volume 12, Issue 2
February 1993, Volume 12, Issue 1
- 1-1 Editorial
by Kuys, P. H. M.
- 3-8 Nonparametric tests for mixed Poisson distributions
by Carriere, Jacques
- 9-22 The probability of ruin for the Inverse Gaussian and related processes
by Dufresne, F. & Gerber, H. U.
- 23-38 How long is the surplus below zero?
by Egidio dos Reis, Alfredo
- 39-45 The transformed rejection method for generating Poisson random variables
by Hormann, W.
- 47-56 The impact of government social security payments on the annuity market
by Simon Power & Townley, Peter G. C.
- 57-60 Asymmetries and household insurance : A note
by Eisenhauer, Joseph G.
- 61-61 Ordering of risks : Angela van Heerwaarden, (Thesis publishers, Amsterdam, 1992) pp. 159, fl.37,50/US $21,-, ISBN 90.5170.122.5
by Goovaerts, M. J.
December 1992, Volume 11, Issue 4
- 247-247 Editorial
by Delbaen, F.
- 249-257 A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
by Schachermayer, W.
- 259-269 Estimation of the yield curve and the forward rate curve starting from a finite number of observations
by Delbaen, F. & Lorimier, Sabine
- 271-281 Interest randomness in annuities certain
by De Schepper, A. & De Vylder, F. & Goovaerts, M. & Kaas, R.
- 283-290 Some further results on annuities certain with random interest
by De Schepper, A. & Goovaerts, M.
- 291-294 The Laplace transform of annuities certain with exponential time distribution
by De Schepper, A. & Goovaerts, M. & Delbaen, F.
- 295-299 Remarks on the methodology introduced by Goovaerts et al
by Deelstra, G. & Delbaen, F.
- 301-310 A stochastic interest model with an application to insurance
by Dietz, Hans M.
- 311-314 Numerical evaluation of the Wilkie inflation model
by Hurlimann, Werner
October 1992, Volume 11, Issue 3
August 1992, Volume 11, Issue 2
- 81-82 Editorial
by de Vylder, F. & Goovaerts, M. J. & Kaas, R.
- 83-86 The actuary
by Buhlmann, H.
- 87-89 The fellowship of actuaries
by Kan, A. H. G. Rinnooy
- 91-96 The actuary : From academic to professional
by Kuys, P. H. M.
- 97-107 A stochastic approach to insurance cycles
by Goovaerts, M. J. & De Vylder, F. & Kaas, R.
- 109-111 Credibility applications in Switzerland
by Straub, E.
- 113-127 Stochastic discounting
by Buhlmann, H.
- 129-133 The Dutch premium principle
by van Heerwaarden, A. E. & Kaas, R.
- 135-138 Credibility and the Dutch fire insurance
by Willemse, A. H. & Voshol, E.
- 139-152 Ordering of risks in life insurance
by Kling, Bart & Wolthuis, Henk
- 153-161 A summary of new results on optimal parameter estimation under zero-excess assumptions
by De Vylder, F. & Goovaerts, M. J.
- 163-166 On the probability of ruin for infinitely divisible claim amount distributions
by Gerber, Hans U.
April 1992, Volume 11, Issue 1
- 1-6 Optimal parameter estimation under zero-excess assumptions in a classical model
by De Vylder, F. & Goovaerts, M. J.
- 7-16 A Bayesian interpretation of Whittaker--Henderson graduation
by Taylor, Greg
- 17-29 Modeling large claims in non-life insurance
by Beirlant, Jan & Teugels, Jozef L.
- 31-48 A dynamic reinsurance theory
by De Waegenaere, A. & Delbaen, F.
- 49-54 Ordering of risks through loss ratios
by Hurlimann, Werner
- 55-69 Stochastic processes defined from a Lagrangian
by De Vylder, F. & Goovaerts, M. J. & Kaas, R.
- 71-77 Stop-loss order, unequal means, and more dangerous distributions
by Kaas, R. & van Heerwaarden, A. E.
January 1992, Volume 10, Issue 4
- 231-231 Editorial
by Goovaerts, M. J. & Kaas, R. & De Vylder, F.
- 233-238 Estimation of the heterogeneity parameter in the Buhlmann-Straub credibility theory model
by De Vylder, F. & Goovaerts, M. J.
- 239-248 Current problems in insurance economics
by Van Cayseele, P.
- 249-258 Actuarial software
by Kaas, R.
- 259-274 Computational methods in risk theory: A matrix-algorithmic approach
by Asmussen, Soren & Rolski, Tomasz
- 275-287 Extra randomness in certain annuity models
by Beekman, John A. & Fuelling, Clinton P.
- 289-302 Statistical risk evaluation applied to (Belgian) car insurance
by Beirlant, J. & Derveaux, V. & De Meyer, A. M. & Goovaerts, M. J. & Labie, E. & Maenhoudt, B.
- 303-309 From the generalized gamma to the generalized negative binomial distribution
by Gerber, Hans U.
December 1991, Volume 10, Issue 3
July 1991, Volume 10, Issue 2
- 85-92 Forecasting compulsory motor insurance claims in Kuwait
by El-Bassiouni, M. Y. & El-Habashi, M. H.
- 93-97 A recursive evaluation of the finite time ruin probability based on an equation of Seal
by Kling, B. M. & Goovaerts, M. J.
- 99-107 The probability of ruin in a process with dependent increments
by Promislow, S. David
- 109-123 Reinsurance retention levels for property/liability firms : A managerial portfolio selection framework
by Kroll, Yoram & Nye, David
- 125-131 A note on Shiu--Fisher--Weil immunization theorem
by Montrucchio, Luigi & Peccati, Lorenzo
- 133-136 On approximating aggregate claims distributions and stop-loss premiums by truncation
by Sundt, Bjorn
- 137-143 The linear model revisited
by Ramsay, Colin M.
- 145-151 Optimal claim behaviour for third-party liability insurances with perfect information
by Dellaert, N. P. & Frenk, J. B. G. & Voshol, E.
- 153-159 Bounds on stop-loss premiums and ruin probabilities
by Steenackers, A. & Goovaerts, M. J.
- 161-161 H.U. Gerber, Life Insurance Mathematics (Springer-Verlag, Berlin-Heidelberg, and Swiss Association of Actuaries, Zurich, 1990) pp. xiii + 131, $59.50, ISBN 3-540-52944-6 Springer-Verlag, Berlin-Heidelberg-New York. ISBN 0-387-52944-6, Springer-Verlag, New York. Berlin-Heidelberg
by Wolthuis, H.
March 1991, Volume 10, Issue 1
- 1-8 On blocked poisson processes in risk theory
by Ramsay, Colin M.
- 9-20 Negative claim amounts, bessel functions, linear programming and Miller's algorithm
by Hurlimann, Werner
- 21-29 Rational ruin problems--a note for the teacher
by Dufresne, Francois & Gerber, Hans U.
- 31-36 On estimating the rate of return
by Heathcote, C. R. & Husler, J.
- 37-50 On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
by Csorgo, Miklos & Steinebach, Josef
- 51-59 Risk theory for the compound Poisson process that is perturbed by diffusion
by Dufresne, Francois & Gerber, Hans U.
- 61-67 On asymptotic rates on line in excess of loss reinsurance
by Sundt, Bjorn
- 69-74 Linearly sufficient fun with credibility
by Sundt, Bjorn
- 75-80 On the estimation of reserves from loglinear models
by Verrall, R. J.
- 81-81 Correction note: On maximum likelihood estimation for count data models, insurance: mathematics and economics 9 (1990), 39-49
by Hurlimann, W.
December 1990, Volume 9, Issue 4
- 237-247 Premium allocation and risk avoidance in a large firm: a continuous model
by Tapiero, Charles S. & Jacque, Laurent L.
- 249-255 Whole-life insurance lapse rates and the emergency fund hypothesis
by Outreville, J. Francois
- 257-272 Applications of the GB2 family of distributions in modeling insurance loss processes
by Cummins, J. David & Dionne, Georges & McDonald, James B. & Pritchett, B. Michael
- 273-275 Covariance matrix patterns invariant under multiplication and inversion
by Jewell, William S.
- 277-279 On Life Table applications of ordering among risks
by Hurlimann, Werner
- 281-290 The cost of deposit insurance: derivation of a risk-adjusted premium
by Urrutia, Jorge
- 291-293 A discussion of 'AIDS: exponential vs. polynomial growth models' by Harry H. Panjer
by Herzog, Thomas N.
- 295-303 'Finem Lauda' or the risks in swaps
by Artzner, Philippe & Delbaen, Freddy
September 1990, Volume 9, Issue 2-3
- 77-80 Credibility for increased limits
by Klugman, Stuart
- 81-94 Synthetic portfolio insurance on the Italian stock index: From theory to practice
by Pressacco, Flavio & Stucchi, Patrizia
- 95-99 Simulation of ruin probabilities
by Boogaert, P. & De Waegenaere, A.
- 101-113 The recursive calculation of the moments of the profit on a sickness insurance policy
by Waters, Howard
- 115-119 When does the surplus reach a given target?
by Gerber, Hans U.
- 121-126 A remark on the moments of ruin time in classical risk theory
by Delbaen, Freddy
- 127-130 Nonparametric estimators for the probability of ruin
by Croux, Kristof & Veraverbeke, Noel
- 131-139 Valuation of derivative securities involving several assets using discrete time methods
by Boyle, Phelim P.
- 141-148 Simulating risk solvency
by Embrechts, Paul & Wouters, Lode
- 149-153 On a fundamental identity for stopping times and its application to risk theory
by Ramsay, Colin M.
- 155-162 Macro-economic version of a classical formula in risk theory
by Boogaert, P. & De Waegenaere, A.
- 163-169 A 'bonus/malus' system with 'conditioned' bonus
by Sammartini, G.
- 171-175 On Redington's theory of immunization
by Shiu, Elias S. W.
- 177-178 Ordering of risks and ruin probabilities
by Kaas, R. & Van Heerwaarden, A. E.
- 179-184 Insurance vs. loss prevention - an actuarial approach
by Heilmann, W. -R.
- 185-196 Interest and mortality randomness in some annuities
by Beekman, John A. & Fuelling, Clinton P.
- 197-206 The parameters of a multiple criteria model of actuarial assumptions for pension plan valuations
by Shapiro, Arnold F.
- 207-220 Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk
by Heijnen, B.
- 221-228 On a multilevel hierarchical credibility algorithm
by Bauwelinckx, T. & Goovaerts, M. J.
- 229-234 The retrospective premium reserve
by Wolthuis, Henk & Hoem, Jan M.
March 1990, Volume 9, Issue 1
- 1-19 Portfolio insurance: a simulation under different market conditions
by Bird, Ron & Cunningham, Ross & Dennis, David & Tippett, Mark
- 21-32 Generalised linear models and excess mortality from peptic ulcers
by Haberman, S. & Renshaw, A. E.
- 33-37 Maximizing the expected time to ruin for a company operating N distinct funds with a 'superclaims' process
by Browne, Sidney
- 39-49 On maximum likelihood estimation for count data models
by Hurlimann, Werner
- 51-57 Improved estimation of IBNR claims by credibility theory
by Mack, Thomas
- 59-76 Optimal claim behaviour for third-party liability insurances or to claim or not to claim: that is the question
by Dellaert, N. P. & Frenk, J. B. G. & Kouwenhoven, A. & Van Der Laan, B. S.
December 1989, Volume 8, Issue 4
- 261-267 Properties of the Esscher premium calculation principle
by Van Heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J.
- 269-277 A martingale approach to premium calculation principles in an arbitrage free market
by Delbaen, F. & Haezendonck, J.
- 279-285 Estimation of ruin probabilities by means of hazard rates
by Kluppelberg, Claudia
- 287-302 Insurance-investment: diffusion analysis
by Page, Dominique
- 303-308 Estimating hedonic distributions using polynomials
by Butler, Richard J. & Worrall, John D.
- 309-313 On optimum loss control: the case of Poisson distributed losses
by Cho, Dongsae
- 315-319 Positive homogeneity and multiplicativity of premium principles on positive risks
by Schmidt, Klaus D.
- 321-330 Delay in claim settlement
by Boogaert, P. & Haezendonck, J.
November 1989, Volume 8, Issue 3
- 157-157 Guest editors' introduction
by Panjer, Harry H. & Willmot, Gordon E.
- 159-164 Bayesian modelling of mortality catastrophes
by Klugman, Stuart A.
- 165-173 Stochastic differential equations for compounded risk reserves
by Garrido, Jose
- 175-185 Limiting tail behaviour of some discrete compound distributions
by Willmot, Gordon E.
- 187-201 Weak convergence of random growth processes with applications to insurance
by Dufresne, Daniel
- 203-209 AIDS: Exponential vs. polynomial growth models
by Panjer, Harry H.
- 211-232 Observations on the HIV epidemic and managing uncertainty in insurance
by Holland, David M.
- 233-242 Further reflections on actuarial recognition of nuclear holocaust hazard
by Nesbitt, Cecil J.
- 243-249 Ruin probability by operational calculus
by Shiu, Elias S. W.
- 251-258 On the computation of the aggregate claim distribution when individual claims are Inverse Gaussian
by Gendron, Michel & Crepeau, Helene
June 1989, Volume 8, Issue 2
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