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Publisher: Cambridge University Press   (Total: 367 journals)

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Showing 1 - 200 of 367 Journals sorted alphabetically
Acta Neuropsychiatrica     Hybrid Journal   (Followers: 4, SJR: 0.421, h-index: 23)
Acta Numerica     Hybrid Journal   (Followers: 3, SJR: 8.044, h-index: 35)
Advances in Animal Biosciences     Full-text available via subscription   (Followers: 8)
Advances in Applied Mathematics and Mechanics     Full-text available via subscription   (SJR: 0.74, h-index: 14)
Africa     Hybrid Journal   (Followers: 19, SJR: 1.02, h-index: 28)
African Studies Review     Full-text available via subscription   (Followers: 18, SJR: 0.532, h-index: 13)
Ageing & Society     Hybrid Journal   (Followers: 38, SJR: 0.87, h-index: 55)
Agricultural and Resource Economics Review     Open Access   (Followers: 5, SJR: 0.326, h-index: 19)
AI EDAM     Hybrid Journal   (SJR: 0.438, h-index: 40)
AJS Review     Full-text available via subscription   (Followers: 2, SJR: 0.203, h-index: 4)
American Political Science Review     Hybrid Journal   (Followers: 250, SJR: 6.112, h-index: 127)
Anatolian Studies     Full-text available via subscription   (Followers: 4, SJR: 0.482, h-index: 10)
Ancient Mesoamerica     Hybrid Journal   (Followers: 10, SJR: 0.507, h-index: 29)
Anglo-Saxon England     Hybrid Journal   (Followers: 34, SJR: 0.144, h-index: 12)
animal     Hybrid Journal   (Followers: 3, SJR: 1.098, h-index: 43)
Animal Health Research Reviews     Hybrid Journal   (Followers: 3, SJR: 0.838, h-index: 41)
Animal Science     Full-text available via subscription   (Followers: 9)
Annals of Actuarial Science     Full-text available via subscription   (Followers: 1)
Annual of the British School at Athens     Full-text available via subscription   (Followers: 15, SJR: 0.101, h-index: 9)
Annual Review of Applied Linguistics     Hybrid Journal   (Followers: 36, SJR: 0.753, h-index: 22)
Antarctic Science     Hybrid Journal   (Followers: 1, SJR: 0.728, h-index: 55)
Antichthon     Full-text available via subscription   (Followers: 1, SJR: 0.126, h-index: 2)
Antiquaries J., The     Full-text available via subscription   (Followers: 8, SJR: 0.156, h-index: 3)
Antiquity     Hybrid Journal   (Followers: 27, SJR: 1.133, h-index: 54)
ANZIAM J.     Open Access   (Followers: 1, SJR: 0.151, h-index: 17)
Applied Psycholinguistics     Hybrid Journal   (Followers: 22, SJR: 1.005, h-index: 59)
APSIPA Transactions on Signal and Information Processing     Open Access   (Followers: 8, SJR: 0.339, h-index: 4)
Arabic Sciences and Philosophy     Hybrid Journal   (Followers: 9, SJR: 0.138, h-index: 13)
Arbor Clinical Nutrition Updates     Full-text available via subscription   (Followers: 3)
Archaeological Dialogues     Hybrid Journal   (Followers: 35, SJR: 0.67, h-index: 17)
Archaeological Reports     Full-text available via subscription   (Followers: 5, SJR: 0.101, h-index: 1)
arq: Architectural Research Quarterly     Hybrid Journal   (Followers: 7, SJR: 0.101, h-index: 3)
Asian J. of Comparative Law     Hybrid Journal   (Followers: 9, SJR: 0.127, h-index: 5)
Asian J. of Intl. Law     Hybrid Journal   (Followers: 12, SJR: 0.218, h-index: 5)
Asian J. of Law and Society     Hybrid Journal   (Followers: 7, SJR: 0.179, h-index: 3)
Astin Bulletin     Full-text available via subscription   (Followers: 1, SJR: 0.979, h-index: 19)
Australasian J. of Organisational Psychology     Hybrid Journal   (Followers: 9)
Australasian J. of Special Education     Full-text available via subscription   (Followers: 7, SJR: 0.199, h-index: 6)
Australian J. of Environmental Education     Full-text available via subscription   (Followers: 7, SJR: 0.299, h-index: 5)
Australian J. of Indigenous Education, The     Full-text available via subscription   (Followers: 10, SJR: 0.293, h-index: 4)
Australian J. of Rehabilitation Counseling     Full-text available via subscription   (Followers: 4, SJR: 0.114, h-index: 1)
Austrian History Yearbook     Full-text available via subscription   (Followers: 8, SJR: 0.127, h-index: 3)
Behavioral and Brain Sciences     Hybrid Journal   (Followers: 33, SJR: 0.826, h-index: 127)
Behaviour Change     Full-text available via subscription   (Followers: 13, SJR: 0.362, h-index: 27)
Behavioural and Cognitive Psychotherapy     Hybrid Journal   (Followers: 138, SJR: 0.831, h-index: 47)
Bilingualism: Language and Cognition     Hybrid Journal   (Followers: 37, SJR: 1.359, h-index: 33)
Biofilms     Full-text available via subscription   (Followers: 1)
Bird Conservation Intl.     Hybrid Journal   (Followers: 23, SJR: 0.831, h-index: 29)
BJPsych Advances     Full-text available via subscription   (Followers: 53)
Brain Impairment     Full-text available via subscription   (Followers: 2, SJR: 0.31, h-index: 13)
Breast Cancer Online     Full-text available via subscription   (Followers: 4)
Britannia     Full-text available via subscription   (Followers: 7, SJR: 0.112, h-index: 0)
British Actuarial J.     Full-text available via subscription  
British Catholic History     Hybrid Journal   (Followers: 1)
British J. for the History of Science     Hybrid Journal   (Followers: 20, SJR: 0.804, h-index: 21)
British J. of Anaesthetic and Recovery Nursing     Full-text available via subscription   (Followers: 8)
British J. of Music Education     Hybrid Journal   (Followers: 23, SJR: 0.391, h-index: 8)
British J. Of Nutrition     Hybrid Journal   (Followers: 73, SJR: 1.587, h-index: 139)
British J. of Political Science     Hybrid Journal   (Followers: 164, SJR: 2.505, h-index: 63)
British J. of Psychiatry     Hybrid Journal   (Followers: 179, SJR: 2.674, h-index: 178)
Bulletin of Entomological Research     Hybrid Journal   (Followers: 10, SJR: 0.918, h-index: 54)
Bulletin of Symbolic Logic     Full-text available via subscription   (Followers: 2, SJR: 1.405, h-index: 26)
Bulletin of the Australian Mathematical Society     Full-text available via subscription   (Followers: 1, SJR: 0.488, h-index: 30)
Bulletin of the School of Oriental and African Studies     Hybrid Journal   (Followers: 18, SJR: 0.122, h-index: 11)
Business and Human Rights J.     Full-text available via subscription   (Followers: 3)
Business Ethics Quarterly     Full-text available via subscription   (Followers: 13, SJR: 1.534, h-index: 46)
Business History Review     Full-text available via subscription   (Followers: 14, SJR: 0.291, h-index: 20)
Cambridge Archaeological J.     Hybrid Journal   (Followers: 125, SJR: 0.743, h-index: 32)
Cambridge Classical J.     Full-text available via subscription   (Followers: 18, SJR: 0.101, h-index: 6)
Cambridge J. of Postcolonial Literary Inquiry     Hybrid Journal   (Followers: 6)
Cambridge Law J.     Hybrid Journal   (Followers: 161, SJR: 0.173, h-index: 3)
Cambridge Opera J.     Hybrid Journal   (Followers: 5, SJR: 0.227, h-index: 9)
Cambridge Quarterly of Healthcare Ethics     Hybrid Journal   (Followers: 11, SJR: 0.295, h-index: 25)
Camden Fifth Series     Full-text available via subscription   (Followers: 3)
Canadian Entomologist     Hybrid Journal   (Followers: 5, SJR: 0.388, h-index: 34)
Canadian J. of Emergency Medicine     Hybrid Journal   (Followers: 11, SJR: 0.532, h-index: 32)
Canadian J. of Law & Jurisprudence     Full-text available via subscription   (Followers: 10)
Canadian J. of Law and Society     Hybrid Journal   (Followers: 20, SJR: 0.247, h-index: 6)
Canadian J. of Neurological Sciences     Full-text available via subscription   (SJR: 0.477, h-index: 53)
Canadian J. of Political Science/Revue canadienne de science politique     Full-text available via subscription   (Followers: 23, SJR: 1.161, h-index: 23)
Canadian J. on Aging     Hybrid Journal   (Followers: 10, SJR: 0.292, h-index: 29)
Canadian Yearbook of Intl. Law / Annuaire canadien de droit international     Full-text available via subscription   (Followers: 2)
Cardiology in the Young     Hybrid Journal   (Followers: 32, SJR: 0.312, h-index: 40)
Central European History     Full-text available via subscription   (Followers: 30, SJR: 0.201, h-index: 14)
Children Australia     Partially Free   (Followers: 2, SJR: 0.191, h-index: 2)
China Quarterly     Hybrid Journal   (Followers: 50, SJR: 1.058, h-index: 54)
Chinese J. of Agricultural Biotechnology     Full-text available via subscription   (Followers: 4)
Church History: Studies in Christianity and Culture     Full-text available via subscription   (Followers: 72, SJR: 0.113, h-index: 16)
Classical Quarterly     Full-text available via subscription   (Followers: 28, SJR: 0.151, h-index: 24)
Classical Review     Full-text available via subscription   (Followers: 24)
CNS Spectrums     Hybrid Journal   (Followers: 3, SJR: 0.885, h-index: 60)
Cognitive Behaviour Therapist     Hybrid Journal   (Followers: 13)
Combinatorics, Probability and Computing     Hybrid Journal   (Followers: 4, SJR: 1.013, h-index: 35)
Communications in Computational Physics     Full-text available via subscription   (Followers: 2, SJR: 1.198, h-index: 34)
Comparative Studies in Society and History     Full-text available via subscription   (Followers: 46, SJR: 0.725, h-index: 36)
Compositio Mathematica     Full-text available via subscription   (Followers: 1, SJR: 2.965, h-index: 37)
Contemporary European History     Hybrid Journal   (Followers: 25, SJR: 0.369, h-index: 16)
Continuity and Change     Hybrid Journal   (Followers: 12, SJR: 0.266, h-index: 19)
Dance Research J.     Full-text available via subscription   (Followers: 8, SJR: 0.144, h-index: 5)
Development and Psychopathology     Hybrid Journal   (Followers: 9, SJR: 2.342, h-index: 131)
Dialogue Canadian Philosophical Review/Revue canadienne de philosophie     Full-text available via subscription   (Followers: 3, SJR: 0.126, h-index: 7)
Diamond Light Source Proceedings     Full-text available via subscription  
Disaster Medicine and Public Health Preparedness     Hybrid Journal   (Followers: 11, SJR: 0.274, h-index: 24)
Du Bois Review: Social Science Research on Race     Full-text available via subscription   (Followers: 8, SJR: 0.307, h-index: 5)
Early China     Hybrid Journal   (Followers: 3)
Early Music History     Hybrid Journal   (Followers: 8, SJR: 0.164, h-index: 8)
Earth and Environmental Science Transactions of the Royal Society of Edinburgh     Hybrid Journal   (Followers: 5, SJR: 0.325, h-index: 41)
East Asian J. on Applied Mathematics     Full-text available via subscription   (SJR: 0.424, h-index: 6)
Ecclesiastical Law J.     Full-text available via subscription   (Followers: 6, SJR: 0.1, h-index: 2)
Econometric Theory     Hybrid Journal   (Followers: 16, SJR: 2.219, h-index: 52)
Economics and Philosophy     Hybrid Journal   (Followers: 15, SJR: 0.624, h-index: 19)
Edinburgh J. of Botany     Hybrid Journal   (SJR: 0.324, h-index: 20)
Eighteenth-Century Music     Hybrid Journal   (Followers: 11, SJR: 0.1, h-index: 4)
English Language and Linguistics     Hybrid Journal   (Followers: 24, SJR: 0.387, h-index: 18)
English Profile J.     Hybrid Journal   (Followers: 2)
English Today     Hybrid Journal   (Followers: 8, SJR: 0.302, h-index: 4)
Enterprise & Society : The Intl. J. of Business History     Hybrid Journal   (Followers: 16, SJR: 0.452, h-index: 17)
Environment and Development Economics     Hybrid Journal   (Followers: 32, SJR: 0.617, h-index: 43)
Environmental Conservation     Hybrid Journal   (Followers: 58, SJR: 1.09, h-index: 66)
Environmental Practice     Full-text available via subscription   (Followers: 3, SJR: 0.304, h-index: 15)
Epidemiology & Infection     Hybrid Journal   (Followers: 15, SJR: 1.32, h-index: 85)
Epidemiology and Psychiatric Sciences     Hybrid Journal   (Followers: 3, SJR: 0.699, h-index: 28)
Episteme     Hybrid Journal   (Followers: 12, SJR: 0.678, h-index: 2)
Equine and Comparative Exercise Physiology     Full-text available via subscription   (Followers: 6)
Ergodic Theory and Dynamical Systems     Hybrid Journal   (Followers: 2, SJR: 1.456, h-index: 43)
Ethics & Intl. Affairs     Full-text available via subscription   (Followers: 13, SJR: 0.464, h-index: 6)
European Constitutional Law Review (EuConst)     Full-text available via subscription   (Followers: 31, SJR: 1.269, h-index: 15)
European J. of Applied Mathematics     Hybrid Journal   (SJR: 0.939, h-index: 34)
European J. of Sociology     Hybrid Journal   (Followers: 29, SJR: 0.241, h-index: 26)
European Political Science Review     Hybrid Journal   (Followers: 20, SJR: 0.524, h-index: 5)
European Review     Hybrid Journal   (Followers: 17, SJR: 0.119, h-index: 17)
Experimental Agriculture     Hybrid Journal   (Followers: 12, SJR: 0.486, h-index: 31)
Expert Reviews in Molecular Medicine     Hybrid Journal   (Followers: 1, SJR: 1.776, h-index: 60)
Fetal and Maternal Medicine Review     Hybrid Journal   (Followers: 4, SJR: 0.178, h-index: 14)
Financial History Review     Full-text available via subscription   (Followers: 14, SJR: 0.342, h-index: 11)
Foreign Policy Bulletin     Hybrid Journal   (Followers: 6)
Forum of Mathematics, Pi     Open Access   (Followers: 1)
Forum of Mathematics, Sigma     Open Access   (Followers: 1)
Genetics Research     Hybrid Journal   (Followers: 4, SJR: 0.52, h-index: 59)
Geological Magazine     Hybrid Journal   (Followers: 16, SJR: 1.119, h-index: 64)
Glasgow Mathematical J.     Full-text available via subscription   (Followers: 1, SJR: 0.748, h-index: 25)
Global Constitutionalism     Hybrid Journal   (Followers: 16)
Global Mental Health     Open Access   (Followers: 7)
Government and Opposition     Full-text available via subscription   (Followers: 20, SJR: 0.611, h-index: 32)
Greece & Rome     Partially Free   (Followers: 21, SJR: 0.136, h-index: 15)
Hague J. on the Rule of Law     Full-text available via subscription   (Followers: 12, SJR: 0.12, h-index: 11)
Harvard Theological Review     Full-text available via subscription   (Followers: 65, SJR: 0.237, h-index: 17)
Health Economics, Policy and Law     Hybrid Journal   (Followers: 25, SJR: 0.441, h-index: 21)
Hegel Bulletin     Full-text available via subscription   (Followers: 1)
High Power Laser Science and Engineering     Open Access   (Followers: 3)
Historical J.     Hybrid Journal   (Followers: 32, SJR: 0.337, h-index: 23)
History in Africa     Full-text available via subscription   (Followers: 8)
Horizons     Partially Free   (Followers: 1, SJR: 0.112, h-index: 3)
Industrial and Organizational Psychology     Hybrid Journal   (Followers: 20, SJR: 0.47, h-index: 18)
Infection Control and Hospital Epidemiology     Full-text available via subscription   (Followers: 34, SJR: 1.985, h-index: 108)
Intl. & Comparative Law Quarterly     Full-text available via subscription   (Followers: 196, SJR: 0.324, h-index: 25)
Intl. J. of Asian Studies     Hybrid Journal   (Followers: 12, SJR: 0.107, h-index: 1)
Intl. J. of Astrobiology     Hybrid Journal   (Followers: 2, SJR: 0.384, h-index: 18)
Intl. J. of Cultural Property     Full-text available via subscription   (Followers: 13, SJR: 0.154, h-index: 1)
Intl. J. of Disability Management Research     Full-text available via subscription   (Followers: 8, SJR: 0.179, h-index: 2)
Intl. J. of Law in Context     Hybrid Journal   (Followers: 16, SJR: 0.236, h-index: 5)
Intl. J. of Microwave and Wireless Technologies     Hybrid Journal   (Followers: 8, SJR: 0.232, h-index: 11)
Intl. J. of Middle East Studies     Hybrid Journal   (Followers: 64, SJR: 0.501, h-index: 28)
Intl. J. of Technology Assessment in Health Care     Hybrid Journal   (Followers: 12, SJR: 0.854, h-index: 54)
Intl. J. of Tropical Insect Science     Hybrid Journal   (Followers: 1, SJR: 0.299, h-index: 20)
Intl. Labor and Working-Class History     Full-text available via subscription   (Followers: 11, SJR: 0.262, h-index: 14)
Intl. Organization     Full-text available via subscription   (Followers: 88, SJR: 3.67, h-index: 106)
Intl. Psychogeriatrics     Hybrid Journal   (Followers: 11, SJR: 1.068, h-index: 68)
Intl. Review of Social History     Full-text available via subscription   (Followers: 24, SJR: 0.185, h-index: 16)
Intl. Review of the Red Cross     Full-text available via subscription   (Followers: 10, SJR: 0.275, h-index: 10)
Intl. Theory: A J. of Intl. Politics, Law and Philosophy     Hybrid Journal   (Followers: 18, SJR: 0.774, h-index: 4)
Iraq     Full-text available via subscription   (Followers: 2)
Irish Historical Studies     Hybrid Journal   (Followers: 5, SJR: 0.101, h-index: 8)
Irish J. of Psychological Medicine     Hybrid Journal   (Followers: 2, SJR: 0.107, h-index: 14)
Israel Law Review     Hybrid Journal   (Followers: 2, SJR: 0.12, h-index: 2)
Itinerario     Full-text available via subscription   (Followers: 8, SJR: 0.195, h-index: 4)
J. of African History     Hybrid Journal   (Followers: 21, SJR: 0.381, h-index: 25)
J. of African Law     Full-text available via subscription   (Followers: 3, SJR: 0.125, h-index: 6)
J. of Agricultural and Applied Economics     Open Access   (Followers: 1)
J. of Agricultural Science     Full-text available via subscription   (Followers: 7, SJR: 0.56, h-index: 51)
J. of American Studies     Hybrid Journal   (Followers: 20, SJR: 0.133, h-index: 9)
J. of Anglican Studies     Hybrid Journal   (Followers: 6, SJR: 0.101, h-index: 1)
J. of Applied Animal Nutrition     Hybrid Journal   (Followers: 3)
J. of Asian Studies     Full-text available via subscription   (Followers: 36, SJR: 0.331, h-index: 31)
J. of Benefit-Cost Analysis     Hybrid Journal   (Followers: 2)
J. of Biosocial Science     Hybrid Journal   (Followers: 3, SJR: 0.561, h-index: 41)
J. of British Studies     Full-text available via subscription   (Followers: 30, SJR: 0.306, h-index: 23)
J. of Child Language     Hybrid Journal   (Followers: 20, SJR: 0.787, h-index: 55)
J. of Classics Teaching     Open Access  
J. of Dairy Research     Full-text available via subscription   (Followers: 7, SJR: 0.682, h-index: 60)
J. of Demographic Economics     Hybrid Journal   (Followers: 3)
J. of Developmental Origins of Health and Disease     Hybrid Journal   (Followers: 2, SJR: 0.74, h-index: 11)
J. of Diagnostic Radiography and Imaging     Hybrid Journal   (Followers: 4)
J. of Ecclesiastical History     Hybrid Journal   (Followers: 19, SJR: 0.123, h-index: 14)
J. of Economic History     Full-text available via subscription   (Followers: 45, SJR: 1.224, h-index: 44)
J. of Experimental Political Science     Full-text available via subscription   (Followers: 5)
J. of Financial and Quantitative Analysis     Full-text available via subscription   (Followers: 35, SJR: 2.998, h-index: 80)
J. of Fluid Mechanics     Hybrid Journal   (Followers: 137, SJR: 1.45, h-index: 155)
J. of French Language Studies     Hybrid Journal   (Followers: 5, SJR: 0.158, h-index: 8)
J. of Functional Programming     Hybrid Journal   (Followers: 1, SJR: 0.917, h-index: 39)

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Journal Cover Astin Bulletin
  Journal Prestige (SJR): 0.979
  Citation Impact (citeScore): 19
  Number of Followers: 1  
    
   Full-text available via subscription Subscription journal
   ISSN (Print) 0515-0361 - ISSN (Online) 1783-1350
   Published by Cambridge University Press Homepage  [367 journals]
  • ASB volume 48 issue 2 Cover and Front matter
    • PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.47
      Issue No: Vol. 48, No. 2 (2018)
       
  • ASB volume 48 issue 2 Cover and Back matter
    • PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.48
      Issue No: Vol. 48, No. 2 (2018)
       
  • A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST
    • Authors: Donatien Hainaut
      Pages: 481 - 508
      Abstract: This article proposes a neural-network approach to predict and simulate human mortality rates. This semi-parametric model is capable to detect and duplicate non-linearities observed in the evolution of log-forces of mortality. The method proceeds in two steps. During the first stage, a neural-network-based generalization of the principal component analysis summarizes the information carried by the surface of log-mortality rates in a small number of latent factors. In the second step, these latent factors are forecast with an econometric model. The term structure of log-forces of mortality is next reconstructed by an inverse transformation. The neural analyzer is adjusted to French, UK and US mortality rates, over the period 1946–2000 and validated with data from 2001 to 2014. Numerical experiments reveal that the neural approach has an excellent predictive power, compared to the Lee–Carter model with and without cohort effects.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.45
      Issue No: Vol. 48, No. 2 (2018)
       
  • SMOOTHING POISSON COMMON FACTOR MODEL FOR PROJECTING MORTALITY JOINTLY FOR
           BOTH SEXES
    • Authors: David Pitt; Jackie Li, Tian Kang Lim
      Pages: 509 - 541
      Abstract: We consider a modification to the Poisson common factor model and utilise a generalised linear model (GLM) framework that incorporates a smoothing process and a set of linear constraints. We extend the standard GLM model structure to adopt Lagrange methods and P-splines such that smoothing and constraints are applied simultaneously as the parameters are estimated. Our results on Australian, Canadian and Norwegian data show that this modification results in an improvement in mortality projection in terms of producing more accurate forecasts in the out-of-sample testing. At the same time, projected male-to-female ratio of death rates at each age converges to a constant and the residuals of the models are sufficiently random, indicating that the use of smoothing does not adversely affect the fit of the model. Further, the irregular patterns in the estimates of the age-specific parameters are moderated as a result of smoothing and this model can be used to produce more regular projected life tables for pricing purposes.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.44
      Issue No: Vol. 48, No. 2 (2018)
       
  • AGE-SPECIFIC ADJUSTMENT OF GRADUATED MORTALITY
    • Authors: Yahia Salhi; Pierre-E. Thérond
      Pages: 543 - 569
      Abstract: Recently, there has been an increasing interest from life insurers to assess their portfolios' mortality risks. The new European prudential regulation, namely Solvency II, emphasized the need to use mortality and life tables that best capture and reflect the experienced mortality, and thus policyholders' actual risk profiles, in order to adequately quantify the underlying risk. Therefore, building a mortality table based on the experience of the portfolio is highly recommended and, for this purpose, various approaches have been introduced into actuarial literature. Although such approaches succeed in capturing the main features, it remains difficult to assess the mortality when the underlying portfolio lacks sufficient exposure. In this paper, we propose graduating the mortality curve using an adaptive procedure based on the local likelihood. The latter has the ability to model the mortality patterns even in presence of complex structures and avoids relying on expert opinions. However, such a technique fails to offer a consistent yet regular structure for portfolios with limited deaths. Although the technique borrows the information from the adjacent ages, it is sometimes not sufficient to produce a robust life table. In the presence of such a bias, we propose adjusting the corresponding curve, at the age level, based on a credibility approach. This consists in reviewing the assumption of the mortality curve as new observations arrive. We derive the updating procedure and investigate its benefits of using the latter instead of a sole graduation based on real datasets. Moreover, we look at the divergences in the mortality forecasts generated by the classic credibility approaches including Hardy–Panjer, the Poisson–Gamma model and the Makeham framework on portfolios originating from various French insurance companies.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2018.4
      Issue No: Vol. 48, No. 2 (2018)
       
  • ON INTEGRATED CHANCE CONSTRAINTS IN ALM FOR PENSION FUNDS
    • Authors: Youssouf A. F. Toukourou; François Dufresne
      Pages: 571 - 609
      Abstract: We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: the one period integrated chance constraint (OICC) and the multiperiod integrated chance constraint (MICC). As their names suggest, the OICC covers only one period, whereas several periods are taken into account with the MICC. A multistage stochastic linear programming model is therefore developed for this purpose and a special mention is paid to the modeling of the MICC. Based on a numerical example, we first analyze the effects of the OICC and the MICC on the optimal decisions (asset allocation and contribution rate) of a pension fund. By definition, the MICC is more restrictive and safer compared to the OICC. Second, we quantify this MICC safety increase. The results show that although the optimal decisions from the OICC and the MICC differ, the total costs are very close, showing that the MICC is definitely a better approach since it is more prudent.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.49
      Issue No: Vol. 48, No. 2 (2018)
       
  • LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
    • Authors: Denis-Alexandre Trottier; Frédéric Godin, Emmanuel Hamel
      Pages: 611 - 646
      Abstract: A method to hedge variable annuities in the presence of basis risk is developed. A regime-switching model is considered for the dynamics of market assets. The approach is based on a local optimization of risk and is therefore very tractable and flexible. The local optimization criterion is itself optimized to minimize capital requirements associated with the variable annuity policy, the latter being quantified by the Conditional Value-at-Risk (CVaR) risk metric. In comparison to benchmarks, our method is successful in simultaneously reducing capital requirements and increasing profitability. Indeed the proposed local hedging scheme benefits from a higher exposure to equity risk and from time diversification of risk to earn excess return and facilitate the accumulation of capital. A robust version of the hedging strategies addressing model risk and parameter uncertainty is also provided.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2018.7
      Issue No: Vol. 48, No. 2 (2018)
       
  • ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES
           IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS
    • Authors: Benjamin Avanzi; Lars Frederik Brandt Henriksen, Bernard Wong
      Pages: 647 - 672
      Abstract: We consider a profitable, risky setting with two separate, correlated asset and liability processes (first introduced by Gerber and Shiu, 2003). The company that is considered is allowed to distribute excess profits (traditionally referred to as dividends in the literature), but is regulated and is subject to particular regulatory (solvency) constraints. Because of the bivariate nature of the surplus formulation, such distributions of excess profits can take two alternative forms. These can originate from a reduction of assets (and hence a payment to owners), but also from an increase of liabilities (when these represent the wealth of owners, such as in pension funds). The latter is particularly relevant if distributions of assets do not make sense because of the context, such as in regulated pension funds where assets are locked until retirement. In this paper, we extend the model of Gerber and Shiu (2003) and consider recovery requirements for the distribution of excess funds. Such recovery requirements are an extension of the plain vanilla solvency constraints considered in Paulsen (2003), and require funds to reach a higher level of funding than the solvency level (if and after it is triggered) before excess funds can be distributed again. We obtain closed-form expressions for the expected present value of distributions (asset decrements or liability increments) when a distribution barrier is used.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.42
      Issue No: Vol. 48, No. 2 (2018)
       
  • SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION
    • Authors: Alexandru V. Asimit; Jinzhu Li
      Pages: 673 - 698
      Abstract: Systemic risk (SR) has been shown to play an important role in explaining the financial turmoils in the last several decades and understanding this source of risk has been a particular interest amongst academics, practitioners and regulators. The precise mathematical formulation of SR is still scrutinised, but the main purpose is to evaluate the financial distress of a system as a result of the failure of one component of the financial system in question. Many of the mathematical definitions of SR are based on evaluating expectations in extreme regions and therefore, Extreme Value Theory (EVT) represents the key ingredient in producing valuable estimates of SR and even its decomposition per individual components of the entire system. Without doubt, the prescribed dependence model amongst the system components has a major impact over our asymptotic approximations. Thus, this paper considers various well-known dependence models in the EVT literature that allow us to generate SR estimates. Our findings reveal that SR has a significant impact under asymptotic dependence, while weak tail dependence, known as asymptotic independence, produces an insignificant loss over the regulatory capital.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.38
      Issue No: Vol. 48, No. 2 (2018)
       
  • A GENERALIZED LOSS RATIO METHOD DEALING WITH UNCERTAIN VOLUME MEASURES
    • Authors: Ulrich Riegel
      Pages: 699 - 747
      Abstract: Unlike chain ladder, the loss ratio method requires volume measures. Typically, these volumes are assumed to be known. In practice, however, accurate volume measures are rarely available. We interpret the available volumes as estimators for the true volume measures and analyze the consequences for the loss ratio method. In particular, we calculate the mean squared error of prediction, including uncertainty of volume measures, and derive approximately optimal weights for the observed incremental loss ratios. We then introduce a generalization of the loss ratio method that is tailored to the situation of uncertain volume measures and calculate the prediction uncertainty of this generalized loss ratio method.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2018.5
      Issue No: Vol. 48, No. 2 (2018)
       
  • COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING
    • Authors: Gilles Dupin; Emmanuel Koenig, Pierre Le Moine, Alain Monfort, Eric Ratiarison
      Pages: 749 - 777
      Abstract: In this paper, we first propose a statistical model, called the Coherent Incurred Paid model, to predict future claims, using simultaneously the information contained in incurred and paid claims. This model does not assume log-normality of the levels (or normality of the growth rates) and is semi-parametric since it only specifies the first and the second moments; however, in order to evaluate the impact of the normality assumption, we also propose a benchmark Gaussian version of our model. Correlations between growth rates of incurred and paid claims are allowed and the tail development period is estimated. We also provide methods for computing the Claim Development Results and their Values at Risk in the semi-parametric framework. Moreover, we show how to take into account the updating of the estimation in the computation of the Claim Development Results. An application highlights the practical importance of relaxing the normality assumption and of updating the estimation of the parameters.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.36
      Issue No: Vol. 48, No. 2 (2018)
       
  • SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY
           SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH
    • Authors: Wenjun Zhu; Ken Seng Tan, Lysa Porth, Chou-Wen Wang
      Pages: 779 - 815
      Abstract: Adverse weather-related risk is a main source of crop production loss and a big concern for agricultural insurers and reinsurers. In response, weather risk hedging may be valuable, however, due to basis risk it has been largely unsuccessful to date. This research proposes the Lévy subordinated hierarchical Archimedean copula model in modelling the spatial dependence of weather risk to reduce basis risk. The analysis shows that the Lévy subordinated hierarchical Archimedean copula model can improve the hedging performance through more accurate modelling of the dependence structure of weather risks and is more efficient in hedging extreme downside weather risk, compared to the benchmark copula models. Further, the results reveal that more effective hedging may be achieved as the spatial aggregation level increases. This research demonstrates that hedging weather risk is an important risk management method, and the approach outlined in this paper may be useful to insurers and reinsurers in the case of agriculture, as well as for other related risks in the property and casualty sector.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2018.6
      Issue No: Vol. 48, No. 2 (2018)
       
  • ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM
           OCCURRENCES AND SEVERITIES
    • Authors: Yiying Zhang; Xiaohu Li, Ka Chun Cheung
      Pages: 817 - 839
      Abstract: It is a common belief for actuaries that the heterogeneity of claim severities in a given insurance portfolio tends to increase its dangerousness, which results in requiring more capital for covering claims. This paper aims to investigate the effects of orderings and heterogeneity among scale parameters on the aggregate claim amount when both claim occurrence probabilities and claim severities are dependent. Under the assumption that the claim occurrence probabilities are left tail weakly stochastic arrangement increasing, the actuaries' belief is examined from two directions, i.e., claim severities are comonotonic or right tail weakly stochastic arrangement increasing. Numerical examples are provided to validate these theoretical findings. An application in assets allocation is addressed as well.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2018.1
      Issue No: Vol. 48, No. 2 (2018)
       
  • ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS
           SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION
    • Authors: Maissa Tamraz; Raluca Vernic
      Pages: 841 - 870
      Abstract: In this paper, we present closed-type formulas for some multivariate compound distributions with multivariate Sarmanov counting distribution and independent Erlang distributed claim sizes. Further on, we also consider a type-II Pareto dependency between the claim sizes of a certain type. The resulting densities rely on the special hypergeometric function, which has the advantage of being implemented in the usual software. We numerically illustrate the applicability and efficiency of such formulas by evaluating a bivariate cumulative distribution function, which is also compared with the similar function obtained by the classical recursion-discretization approach.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.46
      Issue No: Vol. 48, No. 2 (2018)
       
  • MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II
           DISTRIBUTION
    • Authors: J.S.K. Chan; S.T.B. Choy, U.E. Makov, Z. Landsman
      Pages: 871 - 904
      Abstract: The four-parameter distribution family, the generalised beta type-II (GB2), also known as the transformed beta distribution, has been proposed for modelling insurance losses. As special cases, this family nests many distributions with light and heavy tails, including the lognormal, gamma, Weibull, Burr and generalised gamma distributions. This paper extends the GB2 family to the contaminated GB2 family, which offers many flexible features, including bimodality and a wide range of skewness and kurtosis. Properties of the contaminated distribution are derived and evaluated in a simulation study and the suitability of the contaminated GB2 distribution for actuarial purposes is demonstrated through two real loss data sets. Analysis of tail quantiles for the data suggests large differences in extreme quantile estimates for different loss distribution assumptions, showing that the selection of appropriate distributions has a significant impact for insurance companies.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.37
      Issue No: Vol. 48, No. 2 (2018)
       
  • ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG
           DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
    • Authors: Lv Chen; Yang Shen
      Pages: 905 - 960
      Abstract: This paper proposes a new continuous-time framework to analyze optimal reinsurance, in which an insurer and a reinsurer are two players of a stochastic Stackelberg differential game, i.e., a stochastic leader-follower differential game. This allows us to determine optimal reinsurance from joint interests of the insurer and the reinsurer, which is rarely considered in the continuous-time setting. In the Stackelberg game, the reinsurer moves first and the insurer does subsequently to achieve a Stackelberg equilibrium toward optimal reinsurance arrangement. Speaking more precisely, the reinsurer is the leader of the game and decides on an optimal reinsurance premium to charge, while the insurer is the follower of the game and chooses an optimal proportional reinsurance to purchase. Under utility maximization criteria, we study the game problem starting from the general setting with generic utilities and random coefficients to the special case with exponential utilities and constant coefficients. In the special case, we find that the reinsurer applies the variance premium principle to calculate the optimal reinsurance premium and the insurer's optimal ceding/retained proportion of insurance risk depends not only on the risk aversion of itself but also on that of the reinsurer.
      PubDate: 2018-05-01T00:00:00.000Z
      DOI: 10.1017/asb.2018.3
      Issue No: Vol. 48, No. 2 (2018)
       
 
 
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