ASTIN Bulletin – The Journal of the International Actuarial Association

Volume 37, No. 1 – May 2007

CONTENTS

Articles

P. Emms
Dynamic Pricing of General Insurance in a Competitive Market

M. Johnston
Extension of the Capital Asset Prciing Model to Non-normal Dependence Structures

M. Niemiec
Bonus-Malus Systems as Markov Set-chains

M. Riesner
Locally Risk-minimizing Hedging of Insurance Payment Streams

J. Cai, K.S. Tan
Optimal Retention for a Stop-loss Reinsurance under the VaR and CTE Risk Measures

C.R. Larsen
An Individual Claims Reserving Model

I.M.F. Cordeiro
Some Notes on the Average Duration of an Income Protection Claim

P. De Jong, C. Marshall
Mortality Projection Based on the Wang Transform

A.A. Zimbidis, N.E. Frangos, A.A. Pantelous
Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds


Miscellaneous

Register for the 2007 ASTIN Colloquium

38th International ASTIN Colloquium

Obituary of Erkki Pesonen