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ASTIN Volume 38, No. 1

May 2008
Volume 38, No. 1

The Journal of the ASTIN and AFIR Section of the International Actuarial Association

Contents

These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles.

ARTICLES

Y. Zhang
Allocation of Capital between Assets and Liabilities

Andreas Milidonis and Martin F. Grace
Tax-Deductible Pre-event Catastrophe Loss Reserves: The Case of Florida

Shaunming Li and Yi Lu
The Decompositions of the Discounted Penalty Functions and Dividends-penalty Identity in a Markov-modulated Risk Model

J. Couret, G. Venter
Using Multi-dimensional Credibility to Estimate Class Frequency Vectors in Workers Compensation

T. Mack
The Prediction Error of Bornhuetter/Ferguson

P. Barrieu, G. Scandolo
General Pareto Optimal Allocations and Applications to Multi-period Risks

M. Englund, M. Guillen, J. Gustafsson, L.H. Nielsen, J.P. Nielsen
Multivariate Latent Risk: A Credibility Approach

A.V. Asimit, B.L. Jones
Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

G.I. Falin
On the Optimal Pricing of a Heterogeneous Portfolio

A. Pelsser
On the Applicability of the Wang Transform for Pricing Financial Risks

E. Frostig
On Risk Model with Dividends Payments Perturbed by a Brownian Motion -- An Algorithmic Approach

J.S.K. Chan, S.T.B. Choy, U.E. Makov
Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution

H. Kraft, M. Steffensen
Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach

D.C.M. Dickson
Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin

A. Boratynska
Posterior Regret G-Minimax Estimation of Insurance Premium in Collective Risk Model

S. Yow, M. Sherris
Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions

B.T. Porteous, P. Tapadar
The Impact of Capital Structure on Economic Capital and Risk Adjusted Performance

MISCELLANEOUS

5th Conference in Actuarial Science and Finance on Samos, September 4-7, 2008

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