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ASTIN Bulletin

ASTIN Volume 24, No. 1

May 1994
Volume 24, No. 1

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

Contents

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EDITORIAL AND ANNOUNCEMENTS


Guest Editorial

Articles

H. H. M√úLLER, E. CHEVALLIER
Risk Allocation in Capital Markets: Portfolio Insurance, Tactical Asset Allocation and G.R.O.I.

O. HESSELAGER
A Recursive Procedure for Calculation of some Compound Distributions

D.C.M. DICKSON
Some Comments on the Compound Binomial Model

G. PARKER
Limiting Distribution of the Present Value of a Portfolio

Workshop

J. HOLTAN
Bonus Made Easy

J. LEMAIRE, HONGMIN ZI
High Deductibles instead of Bonus-Malus: Can it Work?

K. H. WALDMANN
On the Exact Calculation of the Aggregate Claims Distribution in the Individual Life Model

G. C. TAYLOR
Modelling Mortgage Insurance Claims Experience: A Case Study

M. MOSKOV, R. J. VERRALL
Premium Rating by Geographic Area Using Spatial Models

SHORT CONTRIBUTIONS

H. U. GERBER
Martingales and Tail Probabilities

Actuarial Vacancy


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