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ASTIN Bulletin

ASTIN Volume 34, No. 1

May 2004
Volume 34, No. 1

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

Contents

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EDITORIAL

DISCUSSION ARTICLES

M. Steffensen
On Merton's Problem for Life Insurers

M. Kaluszka
An Extension of the Gerber-Bühlmann-Jewell Conditions for Optimal Risk Sharing

Articles

D. C. M. Dickson,  H. Waters
Some Optimal Dividends Problems

M. Hald,  H. Schmidli
On the Maximisation of the Adjustment Coefficient under Porportional Reinsurance

J.M. Sarabia,  E. Gómez-Déniz,  F.J. Vázquez-Polo
On the use of Conditional Specification Models in Claim Count Distributions: an Application to Bonus-Malus System

K.C. Cheung,  H. Yang
Assest Allocation with Regime-switching Discrete-Time Case

R. Gatto
An Accurate Asymptotic Approxmiation for Experience Rated Premiums

R. Schnieper
Robust Bayeisan Experience Rating

A. Cebrián,  M. Denuit,  O. Scaillet
Testing for Concordance Ordering

Z. Butt,  S. Haberman
Application of Frailty-Based Morality Models Using Generalized Linear Models

S. Haberman,  Z. Butt,  B. Rickayzen
Measuring Process Risk in Income Protection Insurance

G. Venter
Testing Distributions of Stochastically Generated Yield Curves

Workshop

H. Schmitter
The Sample Size Needed for the Calculation of a GLM Tariff

BOOK REVIEWS

L. Jaeger
Prentice Hall, 'Managing Risk in Alternative Investment Strategies'

S. Philbrick
D. Duffie,  K. Singleton, 'Credit Risk, Pricing, Measurement, and Management'

MISCELLANEOUS

Switzerland to organize the 2005 ASTIN and AFIR Colloquiums
Obituary: First Woman Actuary - Catherine Mary Prime

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