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ASTIN Bulletin

ASTIN Volume 33, No. 2

November 2003
Volume 33, No. 2

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

Contents

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EDITORIAL

DISCUSSION ARTICLES

K.K. Aase,   S.-A. Persson
New Econ for Life Actuaries

H. Bühlmann
Comment on the Discussion Article by Aase and Persson

Articles

P. Boyle,  M. Hardy
Guaranteed Annuity Options

H. Bühlmann,  E. Platen
A Discrete Time Benchmark Approach for Insurance and Finance

M.J. Goovaerts,  R. Kaas,  J. Dhaene,  Q. Tang
A Unified Approach to Generate Risk Measures

C. Hipp,  M. Vogt
Optimal Dynamic XL Reinsurance

F. Lindskog,  A.J. McNeil
Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling

A.J. Mata
Asymptotic Dependence of Reinsurance Aggregate Claim Amounts

R. Norberg
The Markov Chain Market

M.I. Owadally
Pension Funding and the Actuarial Assumption Concerning Investment Returns

G. Taylor
Chain Ladder Bias

M.V. Wüthrich
Claims Reserving Using Tweedie's Compound Poisson Model

Workshop

T. Albrecht
Interest-rate Changes and the Value of a Non-life Insurance Company

V. Brazauskas, R. Serfling
Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data

F. DeJong, J. Wielhouwer
The Valuation and Hedging of Variable Rate Saving Accounts

J.P. Nielsen, S. Sperlich
Predition of Stock Returns: A New Way to Look at It

S. Pitrebois, M. Denuit, J.F. Walhin
Setting a Bonus-Malus Scale in the Presence of Other Rating Factors: Taylor's Work Revisited

BOOK REVIEWS

H. Waters
Rob Kaas et al., 'Modern Actuarial Risk Theory'

D. Wilkie
Mary Hardy, 'Investment Guarantees: Modelling and Risk Management for Equity-linked Life Insurance'

MISCELLANEOUS

Report on the XXXIV International ASTIN Colloquium
Report on the International AFIR Colloquium 2003
International Conference on "Dependence Modelling: Statistical Theory and Applications to Finance and Insurance", Quebec City, 2004
XXXIV International ASTIN Colloquium, Bergen, 2004
3rd Conference in Actuarial Science and Finance, Samos, 2004
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