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ASTIN Bulletin

ASTIN Volume 35, No. 1

May 2005
Volume 35, No. 1

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

Contents

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EDITORIAL

J. Lemaire
ASTIN-Today and Tomorrow

ARTICLES

D. Karlis
EM Algorithum for Mixed Poisson and other Discrete Distributions

S. Alink, M. Lowe, M. Wathrich
Analysis of the Expected Shortfall of Aggregate Dependent Risks

D. Dickson, G. Willmot
The Density of the Time to Ruin in the Classical Poisson Risk Model

S. Li, J. Garrido
Run Probability for Two Classes of Risk Processes

M. Felice, F. Moriconi
Market Based Tools for Managing the Life Insurance Company

J. Garcia
Explicit Solutions for Survival Probabilities in the Classic Risk Model

D. Stanford, F. Avram, A. Badesca, L Breuer, A. Da Silva Soares and G. Latouche
Phase-Type Approximations to Finite-Time Ruin Possibilities in the Sparre-Anderson and Stationary Renewal Risk Models

M. Bladt
A review on Phase-Type Distributions and their use in Risk Theory

R. Gay
Premium Calculations for Fat-Tailed Risk

Z. Landsman, E. Valdez
Trail Conditional Expectations for Expotential Dispersion Models

W. Hurlimann
Excess of Loss Reinsurance with Reinstatement Revisited

J.P. Nielsen & B.L. Sandqvist
Proportional Hazard Estimation Adjusted by Continuous Credibility

S. Pitrebois, J. Walkin, M. Denuit
Bonus Malus Systems with Varying Deductibles

P. Devolder, I Dominguez-Fabin
Fair Valuation of Various Participation Schemes in Life Insurance

K. Viswanthan, J. Lemaire
Bonus-Malus Systesm in a Deregulated Environment: Forecasting Market Shares using Diffusion Models

MISCELLANEOUS

Report on the 14th International Afir Colloquium, Boston

Invitation and Second Call for Papers 36th ASTIN / 15th AFIR Colloquium at the ETH Zurich, Switzerland

Obituary


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