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Content
2013, Volume 17, Issue 4
- 297-305 Collective Approaches to Risk in Business: An Introduction to Plural Rationality Theory
by David Ingram & Elijah Bush - 306-324 Managed Care and Health Care Utilization: Specification of Bivariate Models Using Copulas
by Peng Shi & Wei Zhang
2013, Volume 17, Issue 3
- 181-215 Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings
by Bonnie-Jeanne MacDonald & Bruce Jones & Richard Morrison & Robert Brown & Mary Hardy - 216-228 Model Selection and Averaging in Financial Risk Management
by Brian Hartman & Chris Groendyke - 229-252 Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
by Xiao Wei & Marcellino Gaudenzi & Antonino Zanette - 253-271 Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation
by Qihe Tang & Zhongyi Yuan
2013, Volume 17, Issue 2
- 101-113 Double Chain Ladder and Bornhuetter-Ferguson
by Maria Martínez-Miranda & Jens Nielsen & Richard Verrall - 114-135 Life Insurance Purchasing to Maximize Utility of Household Consumption
by Erhan Bayraktar & Virginia Young - 136-152 Annuity Uncertainty with Stochastic Mortality and Interest Rates
by Xiaoming Liu - 153-167 Life Insurance Lapse Behavior
by Stephen Fier & Andre Liebenberg - 168-179 Polynomial Approximation to Option Prices under Regime Switching
by Yunfan Tang
2013, Volume 17, Issue 1
- 1-2 Editorial
by Mary Hardy - 3-12 A Digital Picture of the Actuarial Research Community
by Christian Genest & Alberto Carabarín-Aguirre - 13-28 Managing the Invisible: Identifying Value-Maximizing Combinations of Risk and Capital
by William Panning - 29-40 The Impact of the Interest Rate on Insurance/Financials Industries: The Analysis of the Stock Market's Reactions to Federal Funds Rate Changes
by Charles Yang - 41-62 Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models
by Andrew Ng & Johnny Li - 63-81 Pricing Funeral (Burial) Insurance in a Microinsurance World with Emphasis on Africa
by Colin Ramsay & Luis Arcila - 82-97 State Pension Reform in a Public Choice Framework
by Philip Booth - 98-100 Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
by S. Vanduffel & Jing Yao
2012, Volume 16, Issue 4
- 403-433 Patterns of Aging-Related Changes on the Way to 100
by Anatoliy Yashin & Konstantin Arbeev & Svetlana Ukraintseva & Igor Akushevich & Alexander Kulminski - 434-448 Mortality Compression and Longevity Risk
by Jack Yue - 449-461 Risk-Sharing and Benefit Smoothing in A Hybrid Pension Plan
by Zaki Khorasanee - 462-486 Optimal Risk Classification with an Application to Substandard Annuities
by Nadine Gatzert & Gudrun Schmitt-Hoermann & Hato Schmeiser - 487-492 Jackknife Euclidean Likelihood-Based Inference for Spearman's Rho
by Miguel de Carvalho & Filipe Marques - 493-512 Dividend Barrier Strategies in A Renewal Risk Model with Generalized Erlang Interarrival Times
by Yuliya Mishura & Hanspeter Schmidli - 513-523 The Bankruptcy Cost of the Life Insurance Industry Under Regulatory Forbearance
by Shang-Yin Yang & Ya-Wen Hwang & Shih-Chieh Chang - 524-524 Society of Actuaries
by The Editors
2012, Volume 16, Issue 3
- 285-305 Loss Reserves and the Employment Status of the Appointed Actuary
by Mary Kelly & Anne Kleffner & Si Li - 306-322 The Impact of No-Fault Legislation on Automobile Insurance
by Cassandra Cole & Kevin Eastman & Patrick Maroney & Kathleen McCullough & David Macpherson - 323-349 Equilibrium Pricing of General Insurance Policies
by Paul Emms - 350-363 Asymptotic Analysis of Multivariate Tail Conditional Expectations
by Li Zhu & Haijun Li - 364-377 Temporal Evolution of Mortality Indicators
by A. Debón & F. Martínez-Ruiz & F. Montes - 378-397 A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization
by Qihe Tang & Zhongyi Yuan - 398-401 “A Bayesian Log-Normal Model for Multivariate Loss Reserving”, Peng Shi, Sanjib Basu, and Glenn G. Meyers, March 2012
by Mario Wϋthrich
2011, Volume 15, Issue 4
- 475-486 Jackknife Empirical Likelihood Intervals for Spearman’s Rho
by Ruodu Wang & Liang Peng - 487-498 Effects of Risk Management on Cost Efficiency and Cost Function of the U.S. Property and Liability Insurers
by Hong-Jen Lin & Min-Ming Wen & Charles Yang - 499-516 Capital Allocation Using the Bootstrap
by Joseph Kim - 517-534 Fair Valuation of Equity-Linked Policies under Insurer Default Risk
by Massimo Costabile & Ivar Massabò & Emilio Russo - 535-552 A Statistical Basis for Claims Experience Monitoring
by Greg Taylor - 553-558 “Human Survival at Older Ages and the Implications for Longevity Bond Pricing,” Leslie Mayhew and David Smith, June, 2011
by Michael Cowell
2011, Volume 15, Issue 3
- 357-376 Markovian Approaches to Joint-Life Mortality
by Min Ji & Mary Hardy & Johnny Siu-Hang Li - 377-392 Predicting the Frequency and Amount of Health Care Expenditures
by Edward Frees & Jie Gao & Marjorie Rosenberg - 393-416 Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling
by Jae Youn Ahn & Nariankadu Shyamalkumar - 417-431 Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
by Xiang Lin & Yanfang Li - 432-447 Mortality Measurement at Advanced Ages
by Leonid Gavrilov & Natalia Gavrilova - 448-467 Optimum Allocations to Health Care Flexible Spending Accounts
by Colin Ramsay & Victor Oguledo - 468-471 “Voluntary Termination of Life Insurance Policies: Evidence from the U.S. Market,” Shi-jie Jiang, Vol. 14, No. 3, 2010
by Ryen Robinson & Christian DesRochers - 471-472 Author’s Reply: Voluntary Termination of Life Insurance Policies: Evidence from the U.S. Market by Shi-jie Jiang - Discussion by Ryen Robinson; Christian Desrochers
by The Editors
2011, Volume 15, Issue 2
- 141-149 Longevity Risk and Capital Markets
by David Blake & Pat Brockett & Samuel Cox & Richard MacMinn - 150-176 Longevity Hedging 101
by Guy Coughlan & Marwa Khalaf-Allah & Yijing Ye & Sumit Kumar & Andrew Cairns & David Blake & Kevin Dowd - 177-200 Measuring Basis Risk in Longevity Hedges
by Johnny Li & Mary Hardy - 201-211 Hedging Longevity Risk When Interest Rates are Uncertain
by Jeffrey Tsai & Larry Tzeng & Jennifer Wang - 212-236 Mortality-Indexed Annuities Managing Longevity Risk Via Product Design
by Andreas Richter & Frederik Weber - 237-247 A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks
by Kevin Dowd & David Blake & Andrew Cairns - 248-265 Human Survival at Older Ages and the Implications for Longevity Bond Pricing
by Leslie Mayhew & David Smith - 266-289 Mortality Regimes and Pricing
by Andreas Milidonis & Yijia Lin & Samuel Cox - 290-314 Explaining Mortality Dynamics
by Katja Hanewald - 315-333 The Poisson Log-Bilinear Lee-Carter Model
by Valeria D’Amato & Emilia Di Lorenzo & Steven Haberman & Maria Russolillo & Marilena Sibillo - 334-356 A Gravity Model of Mortality Rates for Two Related Populations
by Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & Marwa Khalaf-Allah
2011, Volume 15, Issue 1
- 1-12 A Risk-Based Evaluation Methodology for Cost Effectiveness of Chronic Condition Health Management Programs
by Ian Duncan & Bryan Beatty & Brian Day - 13-31 Structural Changes in the Lee-Carter Mortality Indexes
by Johnny Li & Wai-Sum Chan & Siu-Hung Cheung - 32-58 Estimates of the Incidence, Prevalence, Duration, Intensity, and Cost of Chronic Disability Among the U.S. Elderly
by Eric Stallard - 59-76 The Valuation of Guaranteed Lifelong Withdrawal Benefit Options in Variable Annuity Contracts and the Impact of Mortality Risk
by Gabriella Piscopo & Steven Haberman - 77-96 Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
by Carole Bernard & Mateusz Maj & Steven Vanduffel - 97-111 Longevity-Indexed Life Annuities
by Michel Denuit & Steven Haberman & Arthur Renshaw - 112-136 Actuarial Applications of Epidemiological Models
by Runhuan Feng & Jose Garrido - 137-139 “Mortality Projections for Social Security Programs in the United States,” Alice H. Wade, Vol. 14, No. 3, 2010
by Michael Cowell
2010, Volume 14, Issue 4
- 369-380 Voluntary Termination of Life Insurance Policies
by Shi-jie Jiang - 381-399 Developing Mortality Improvement Formulas
by Johnny Li & Mary Hardy & Ken Tan - 400-419 Biometric Solvency Risk for Portfolios of General Life Contracts. I. The Single-Life Multiple Decrement Case
by Werner Hürlimann - 420-434 A Direct Approach to the Discounted Penalty Function
by Hansjörg Albrecher & Hans Gerber & Hailiang Yang - 434-438 “A Direct Approach to the Discounted Penalty Function”, Hansjörg Albrecher, Hans U. Gerber, and Hailiang Yang, Volume 14, No. 4, 2010
by Volkmar Lautscham - 438-441 “A Direct Approach to the Discounted Penalty Function”, Hansjörg Albrecher, Hans U. Gerber, and Hailiang Yang, Volume 14, No. 4, 2010
by Yi Lu - 441-445 “A Direct Approach to the Discounted Penalty Function”, Hansjörg Albrecher, Hans U. Gerber, and Hailiang Yang, Volume 14, No. 4, 2010
by Eric Cheung - 445-447 Authors’ Reply: A Direct Approach to the Discounted Penalty Function - Discussion by Volkmar Lautscham; Yi Lu; Eric C. K. Cheung
by Hansjörg Albrecher & Hans U. Gerber & Hailiang Yang - 448-463 Fair Terms and Fair Pricing for Multiple Warrant Issues
by P. W. A. Dayananda & John Kemper - 464-471 The Moments of the Time of Ruin in Markovian Risk Models
by Kaiqi Yu & Jiandong Ren & David Stanford
2010, Volume 14, Issue 3
- 281-298 Backtesting Stochastic Mortality Models
by Kevin Dowd & Andrew Cairns & David Blake & Guy Coughlan & David Epstein & Marwa Khalaf-Allah - 299-315 Mortality Projections for Social Security Programs in the United States
by Alice Wade - 316-337 Mortality Projections for Social Security Programs in Canada
by Michel Montambeault & Jean-Claude Ménard - 338-354 Household Life Insurance Demand
by Edward Frees & Yunjie (Winnie) Sun - 355-368 Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy
by Laura Ballotta
2010, Volume 14, Issue 2
- 157-175 The Effectiveness of Using a Basis Hedging Strategy to Mitigate the Financial Consequences of Weather-Related Risks
by Linda Golden & Charles Yang & Hong Zou - 176-197 Relative Choice Models for Income Drawdown in a Defined Contribution Pension Scheme
by Paul Emms - 198-216 Conditional Tail Moments of the Exponential Family and Its Related Distributions
by Joseph Kim - 217-234 An Asymptotic Analysis of the Bootstrap Bias Correction for the Empirical CTE
by Jae Ahn & Nariankadu Shyamalkumar - 235-255 Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method
by Mario Wüthrich - 256-272 Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method
by Fei Yuen & Hailiang Yang - 272-277 “Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method”, Fei Lung Yuen and Hailiang Yang, April, 2010
by Robert Elliott & Chuin Liew & Tak Siu - 278-279 “Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009
by Steven Vanduffel - 280-280 “Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009
by Hans Gerber & Elias Shiu
2010, Volume 14, Issue 1
- 1-15 Monitoring Changes in Capital and Hedge Effectiveness Under Fair Value Accounting Principles
by Louis Lombardi - 16-37 The Effect of Policyholder Transfer Behavior on the Value of Guaranteed Minimum Death Benefits
by Eric Ulm - 38-58 Valuation of a Guaranteed Minimum Income Benefit
by Claymore Marshall & Mary Hardy & David Saunders - 59-67 Improving Skewness of Mean-Variance Portfolios
by Luis Zuluaga & Samuel Cox - 68-85 Significantly Lower Estimates of Volatility Arise from the Use of Open-High-Low-Close Price Data
by Matthew Modisett & Edgard Maboudou-Tchao - 86-106 Portfolio Risk Management with CVaR-Like Constraints
by Ruilin Tian & Samuel Cox & Yijia Lin & Luis Zuluaga - 107-130 Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions
by Simon Lee & X. Lin - 131-149 Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework
by Carole Bernard & Olivier Le Courtois & François Quittard-Pinon - 150-156 “Computation of Multivariate Barrier Crossing Probability and Its Applications in Credit Risk Models,” Joonghee Huh and Adam Kolkiewicz, July 2008
by Tak Siu
2009, Volume 13, Issue 4
- 407-424 The DB Underpin Hybrid Pension Plan
by Kai Chen & Mary Hardy - 425-437 The Impact of Adjuster Moral Hazard on Driving Records
by Mary Kelly & Sapna Isotupa & Anne Kleffner - 438-458 Assessing Consumer Fraud Risk in Insurance Claims
by Jing Ai & Patrick Brockett & Linda Golden - 459-482 VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
by Ken Tan & Chengguo Weng & Yi Zhang - 483-496 Weighted Pricing Functionals With Applications to Insurance
by Edward Furman & Ričardas Zitikis - 497-513 Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model
by Eric Cheung & David Landriault - 514-520 “A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States,” Andrew J. G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, Alen Ong, and Igor Balevich, Vol. 13, No. 1, 2009
by Kailiang Chen & Jia Liao & Xiaoyu Shang & Johnny Siu-Hang Li - 520-524 “Valuation of Discrete Dynamic Fund Protection under Lévy Processes,” Hoi Ying Wong and Ka Wai Lam, April 2009
by Jun Yang
2009, Volume 13, Issue 3
- 303-315 Pricing Weather Derivatives Using the Indifference Pricing Approach
by Patrick Brockett & Linda Goldens & Min-Ming Wen & Charles Yang - 316-332 Pricing Annuity Guarantees Under a Regime-Switching Model
by X. Lin & Ken Tan & Hailiang Yang - 333-337 “Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009
by Robert Elliott & Tak Siu - 337-338 Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu
by The Editors - 339-355 Life Insurance Mathematics with Random Life Tables
by Michel Denuit & Esther Frostig - 356-369 Robust and Efficient Fitting of Loss Models
by Vytaras Brazauskas - 370-378 Cash Flow Matching
by Garud Iyengar & Alfred Ma - 378-384 “Cash Flow Matching: A Risk Management Approach”, Garud Iyengar and Alfred Ka Chun Ma, July, 2009
by Ken Kortanek - 385-403 Impact of Underwriting Cycles on the Solvency of an Insurance Company
by Julien Trufin & Hansjörg Albrecher & Michel Denuit - 404-406 “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model,” David Landriault and Gordon Willmot, Volume 13, No. 2, 2009
by Steve Drekic
2009, Volume 13, Issue 2
- 157-169 Examining the Effects of Guarantee Funds on Pension Plans
by Norma Nielson - 170-185 Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas
by Eduardo de Melo & Beatriz Mendes - 186-201 Is Defined Contribution a Panacea for Defined Benefit Social Security Funding Problems? Lessons from Two Countries
by Doug Andrews & Robert Brown - 202-216 Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
by Hoi Wong & Ka Lam - 217-251 Strategies for Dividend Distribution: A Review
by Benjamin Avanzi - 252-270 On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
by David Landriault & Gordon Willmot - 271-272 “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009
by David Dickson - 272-277 “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009
by Jae-Kyung Woo - 277-278 “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009
by Hans Gerber & Elias Shiu - 278-279 Author’s Reply: On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model - Discussion by David C. M. Dickson; Jae-Kyung Woo; Hans U. Gerber; Elias S. W. Shiu
by David Landriault & Gordon Willmot - 280-298 A Robustification of the Chain-Ladder Method
by Tim Verdonck & Martine Van Wouwe & Jan Dhaene
2009, Volume 13, Issue 1
- 1-35 A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
by Andrew Cairns & David Blake & Kevin Dowd & Guy Coughlan & David Epstein & Alen Ong & Igor Balevich - 36-53 Multivariate Models of Equity Returns for Investment Guarantees Valuation
by Mathieu Boudreault & Christian-Marc Panneton - 54-76 An Option-Based Operational Risk Management Model for Pandemics
by Hua Chen & Samuel Cox - 77-105 Optimal Management of an Insurer’s Exposure in a Competitive General Insurance Market
by Paul Emms & Steven Haberman - 106-140 Relative Hedging of Systematic Mortality Risk
by Michael Ludkovski & Erhan Bayraktar - 141-154 Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities
by Erhan Bayraktar & Virginia Young - 155-156 “The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008
by Jiandong Ren
2008, Volume 12, Issue 4
- 1-1 Editorial
by Mary Hardy - 345-371 Securitization of Longevity Risk in Reverse Mortgages
by Liang Wang & Emiliano Valdez & John Piggott - 372-383 Negative Effects of the Canadian GIS Clawback and Possible Mitigating Alternatives
by Diana Chisholm & Rob Brown - 384-400 Minimizing the Probability of Lifetime Ruin under Random Consumption
by Erhan Bayraktar & Kristen Moore & Virginia Young - 401-412 Simulation of Compound Hierarchical Models in R
by Vincent Goulet & Louis-Philippe Pouliot - 413-425 The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model
by Shuanming Li - 425-427 “The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008
by Xueyuan Wu - 428-442 Minimizing the Probability of Ruin When Consumption is Ratcheted
by Erhan Bayraktar & Virginia Young - 443-445 “On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” Jiandong Ren, April 2008
by Shuanming Li
2008, Volume 12, Issue 3
- 221-227 Market Price of Insurance Risk Implied by Catastrophe Derivatives
by Alexander Muermann - 228-241 Efficient Post-Retirement Asset Allocation
by Barry Freedman - 242-262 A Simple Model of Insurance Market Dynamics
by Greg Taylor - 263-291 Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models
by Joonghee Huh & Adam Kolkiewicz - 292-298 Intergenerational Transfers and Insurance Policy Design
by David Bernstein - 299-318 Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model
by Eric Cheung & David Dickson & Steve Drekic - 319-335 Ordering Ruin Probabilities Resulting from Layer-Based Claim Amounts for Surplus Process Perturbed by Diffusion
by Cary Chi-Liang Tsai - 336-340 “Recursive Calculation of the Dividend Moments in a Multi-Threshold Risk Model,” Andrei Badescu and David Landriault, January 2008
by Eric Cheung - 341-341 Author’s Reply: The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model - Discussion by Shuanming Li, July 2007
by Jiandong Ren - 341-342 Author’s Reply: On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals - Discussion by Professor Elias Shiu, April 2008
by Jiandong Ren - 343-343 Edited by Geoffrey Poitras with Franck Jovanovic
by Elias Shiu
2008, Volume 12, Issue 2
- 1-1 Editorial
by Bruce Schobel - 99-115 Threshold Life Tables and Their Applications
by Johnny Siu-Hang Li & Mary Hardy & Ken Seng Tan - 116-128 Estimating the Probability of a Rare Event via Elliptical Copulas
by Liang Peng - 129-142 Modeling Insurance Claims with Extreme Observations: Transformed Kernel Density and Generalized Lambda Distribution
by Uditha Balasooriya & Chan-Kee Low - 143-174 Ruin Minimization for Insurers with Borrowing Constraints
by Shangzhen Luo - 175-197 Prediction Error of the Multivariate Chain Ladder Reserving Method
by Michael Merz & Mario Wüthrich - 198-206 On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals
by Jiandong Ren - 206-207 “On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” Jiandong Ren April 2008
by Elias Shiu - 208-210 “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007
by Shuanming Li - 210-212 “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007
by Andrei Badescu - 213-215 “Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007
by Tak Kuen Siu - 216-219 Authors’ Reply: On Optimal Dividend Strategies in the Compound Poisson Model - Discussion by Bangwon Ko, July 2006
by Hans Gerber & Elias Shiu - 220-220 Gerard Cornuejols and Reha Tütüncü
by Carole Bernard
2008, Volume 12, Issue 1
- 1-19 Predictive Modeling of Costs for a Chronic Disease with Acute High-Cost Episodes
by Marjorie Rosenberg & Phillip Farrell - 18-46 The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model
by Tak Kuen Siu & Christina Erlwein & Rogemar Mamon - 47-64 Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty
by Zhongfei Li & Ken Seng Tan & Hailiang Yang - 65-73 Pricing a Heterogeneous Portfolio Based on a Demand Function
by Yaniv Zaks & Esther Frostig & Benny Levikson - 74-88 Recursive Calculation of the Dividend Moments in a Multi-threshold Risk Model
by Andrei Badescu & David Landriault - 89-90 “Asset Allocation with Hedge Funds on the Menu” Phelim Boyle and Sun Siang Liew, October 2007
by Hans Gerber & Elias Shiu - 90-94 “Markov Aging Process and Phase-Type Law of Mortality,” X. Sheldon Lin and Xiaoming Liu, October 2007
by Johnny Li & Andrew Ng - 94-98 “Trajectories of Morbidity, Disability, and Mortality among the U.S. Elderly Population: Evidence from the 1984-1999 NLTCS,” Eric Stallard, July 2007
by Michael Cowell
2007, Volume 11, Issue 4
- 1-21 Asset Allocation with Hedge Funds on the Menu
by Phelim Boyle & Sun Siang Liew - 23-41 Regulatory Competition and Life Insurance Solvency Regulation in the European Union and United States
by Philip Booth & Alan Morrison - 42-60 Estimation of Distress Costs Associated with Downgrades Using Regimeswitching Models
by Andreas Milidonis & Shaun Wang - 61-75 A Long-Term Model of the Dynamics of the S&P500 Implied Volatility Surface
by Martin le Roux - 76-91 An Empirical Examination of Jump Risk in U.S. Equity And Bond Markets
by Lee Dunham & Geoffrey Friesen - 92-109 Markov Aging Process and Phase-Type Law of Mortality
by X. Lin & Xiaoming Liu - 110-131 Risk Classification for Claim Counts
by Jean-Philippe Boucher & Michel Denuit & Montserrat Guillén - 132-135 “Search for Predictors of Exceptional Human Longevity: Using Computerized Genealogies and Internet Resources for Human Longevity Studies,” Natalia S. Gavrilova and Leonid A. Gavrilov, January 2007
by Bert Kestenbaum - 135-138 Authors’ Reply: Search for Predictors of Exceptional Human Longevity: Using Computerized Genealogies and Internet Resources for Human Longevity Studies - Discussion by Bert Kestenbaum
by The Editors - 138-141 “A Risk Model with Multilayer Dividend Strategy,” Hansjörg Albrecher and Jürgen Hartinger, April 2007
by Ramin Okhrati - 141-142 Authors’ Reply: A Risk Model with Multilayer Dividend Strategy - Discussion by Cheung; Ramin Okhrati
by The Editors - 142-144 “On the Class of Erlang Mixtures with Risk Theoretic Applications,” Gordon E. Willmot and Jae-Kyung Woo, April 2007
by Saralees Nadarajah - 144-144 Authors’ Reply: On the Class of Erlang Mixtures with Risk Theoretic Applications - Discussion by Saralees Nadarajah
by The Editors - 145-148 “Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model,” Shaunming Li and Yi Lu, April 2007
by Eric Cheung - 148-150 “Pension Plan Valuation and Mortality Projection: A Case Study with Mortality Data,” Hélène Cossette, Antoine Delwarde, Michel Denuit, Frédérick Guillot, and Étienne Marceau, April 2007
by Steven Haberman & Arthur Renshaw - 150-150 Author Reply: An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets by Zinoviy Landsman and Michael Sherris - Discussion by Edward Furman; Ricardas Zitikis
by The Editors
2007, Volume 11, Issue 3
- 1-15 Natural Hedging of Life and Annuity Mortality Risks
by Samuel Cox & Yijia Lin - 16-53 Trajectories of Morbidity, Disability, and Mortality among the U.S. Elderly Population
by Eric Stallard - 54-69 Predictive Modeling with Longitudinal Data
by Marjorie Rosenberg & Edward Frees & Jiafeng Sun & Paul Johnson & Jim Robinson - 70-88 A Synchronous Bootstrap to Account for Dependencies Between Lines of Business in the Estimation of Loss Reserve Prediction Error
by Greg Taylor & Gráinne McGuire - 89-99 Normalized Exponential Tilting
by Shaun Wang