ASTIN Bulletin – The Journal of the International Actuarial Association

Volume 39, No. 2 - November 2009

CONTENTS

Articles

Modelling Adverse Selection in the Presence of a Common Genetic Disorder The Breast Cancer Polygene
MACDONALD, Angus S., MCIVOR, Kenneth R.

Demand Elasticity, Risk Classification and Loss Coverage When Can Community Rating Work?
THOMAS, R. Guy

Quasi-Likelihood Estimation of Benchmark Rates for Excess of Loss Reinsurance Programs
VERLAAK, Robert, HÜRLIMANN, Werner, BEIRLANT, Jan

Taylor Approximations for Model Uncertainty within the Tweedie Exponential Dispersion Family
ALAI, Daniel H., WÜTHRICH, Mario V.

Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation
HAO, Xuemiao, TANG, Qihe

On Parameter Estimation in Hierarchical Credibility
BELHADJ, Hassine, GOULET, Vincent, OUELLET, Tommy

Option Pricing in a Jump-Diffusion Model with Regime-Switching
YUEN, Fei Lung, YANG, Hailiang

Stochastic Mortality The Impact on Target Capital
OLIVIERI, Annamaria, PITACCO, Ermanno

Multi-Level Risk Aggregation
FILIPOVI Ć, Damir

Continuous Monitoring Does Credit Risk Vanish?
LINDSET, Snorre, PERSSON, Svein-Arne

Sharing Risk An Economic Perspective
KULL, Andreas

The Application of Expected-Utility Theory to the Choice of Investment Channels in a Defined-Contribution Retirement Fund
LEVITAN, Shaun, THOMSON, Robert

Scenario Analysis for a Multi-Period Diffusion Model of Risk
MALINOVSKII, Vsevolod K.

A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model
LIU, Huijuan, VERRALL, Richard

New Goodness-of-Fit Tests for Pareto Distributions
RIZZO, Maria L.

A Note on Nonparametric Estimation of the CTE
KO, Bangwon, RUSSO, Ralph P., SHYAMALKUMAR, Nariankadu D.

Asymptotics for Operational Risk Quantified with Expected Shortfall
BIAGINI, Francesca, ULMER, Sascha

Miscellaneous

2010 International Congress of Actuaries in Cape Town