ASTIN Bulletin – The Journal of the International Actuarial Association

Volume 38, No. 1 - May 2008

CONTENTS

Articles

Allocation of Capital between Assets and Liabilities
ZHANG, Yingjie

Tax-deductible Pre-event Catastrophe Loss Reserves - The Case of Florida
MILIDONIS, Andreas, GRACE, Martin F.

The Decompositions of the Discounted Penalty Functions and Dividends-penalty Identity in a Markov-modulated Risk Model
LI, Shuanming, LU, Yi

Using Multi-dimensional Credibility to Estimate Class Frequency Vectors in Workers Compensation
COURET, Jose, VENTER, Gary

The Prediction Error of Bornhuetter/Ferguson
MACK, Thomas

General Pareto Optimal Allocations and Applications to Multi-period Risks
BARRIEU, Pauline, SCANDOLO, Giacomo

Multivariate Latent Risk - A Credibility Approach
ENGLUND, Martin, GUILLÉN, Montserrat, GUSTAFSSON, Jim, NIELSEN, Lars Hougaard, NIELSEN, Jens Perch

Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
ASIMIT, Alexandru V., JONES, Bruce L.

On the Optimal Pricing of a Heterogeneous Portfolio
FALIN, Gennady I.

On the Applicability of the Wang Transform for Pricing Financial Risks
PELSSER, Antoon

On Risk Model with Dividends Payments Perturbed by a Brownian Motion - An Algorithmic Approach
FROSTIG, Esther

Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
CHAN, Jennifer S.K., CHOY, S.T. Boris, MAKOV, Udi E.

Optimal Consumption and Insurance - A Continuous-time Markov Chain Approach
KRAFT, Holger, STEFFENSEN, Mogens

Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
DICKSON, David C.M.

Posterior Regret Γ-Minimax Estimation of Insurance Premium in Collective Risk Model
BORATYŃSKA, Agata

Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions
YOW, Shuan, SHERRIS, Michael

The Impact of Capital Structure on Economic Capital and Risk Adjusted Performance
PORTEOUS, Bruce T., TAPADAR, Pradip

Miscellaneous

5th Conference in Actuarial Science and Finance on Samos, September 4-7, 2008