ASTIN Bulletin – The Journal of the International Actuarial Association

Volume 40, No. 2- 2010

CONTENTS

Articles

Cost-of-Capital Margin for a General Insurance Liability Runoff
SALZMANN, Robert, WÜTRICH, Mario V.

Robust Estimation of Reserve Risk
BUSSE, Marc, MÜLLER, Ulrich, DACOROGNA, Michel

Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate
AASE, Knut K.

Pricing Unemployment Insurance
An Unemployment-Duration-Adjusted Approach
CHUANG, Hwei-Lin, YU, Min-Teh

Measurement and Transfer of Catastrophic Risks
A Simulation Analysis
DE ALBA, Enrique, ZÚÑIGA, Jesús, RAMÍREZ CORZO, Marco

Supervisory Insurance Accounting
Mathematics for Provision - and Solvency Capital - Requirement
ARTZNER, Philippe, EISELE, Karl-Theodor

First-Order Mortality Rates and Safe-Side Actuarial Calculations in Life Insurance
CHRISTIANSEN, Marcus C., DENUIT, Michel M.

Recursive Formulas for Compound Phase Distributions
Univariate and Bivariate Cases
REN, Jiandong

Analytical Pricing of the Unit-Linked Endowment with Guarantees and Periodic Premiums
HÜRLIMANN, Werner

Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds
JOSHI, Mark, PITT, David

Evaluating Quantile Reserve for Equity-Linked Insurance in a Stochastic Volatility Model
Long vs. Short Memory
HO, Hwai-Chung, YANG, Sharon S., LIU, Fang-I

Dependent Multi-Peril Ratemaking Models
FREES, Edward J., MEYERS, Glenn, CUMMINGS, A. David

On Fire Exposure Rating and the Impact of the Risk Profile Type
RIEGEL, Ulrich

Model Selection and Claim Frequency for Workers' Compensation Insurance
CUI, Jisheng, PITT, David, QIAN, Guoqi

Competition-Originated Cycles and Insurance Strategies
MALINOVSKII, Vsevolod

Bootstrapping the Separation Method in Claims Reserving
BJÖRKWALL, Susanna, HÖSSJER, Ola, OHLSSON, Esbjörn

Prediction of RBNS and IBNR Claims Using Claim Amounts and Claim Counts
VERRALL, Richard, NIELSEN, Jens Perch, JESSEN, Anders Hedegaard

Economic Factors and Solvency
NYRHINEN, Harri

A Row-Wise Stacking of the Runoff Triangle
State Space Alternatives for IBNR Reserve Prediction
ATHERINO, Rodrigo, PIZZINGA, Adrian, FERNANDES, Cristiano