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Publisher: Cambridge University Press   (Total: 365 journals)

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Showing 1 - 200 of 365 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: 37, 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: 249, 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: 33, 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: 26, SJR: 1.133, h-index: 54)
ANZIAM J.     Open Access   (Followers: 1, SJR: 0.151, h-index: 17)
Applied Psycholinguistics     Hybrid Journal   (Followers: 19, 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: 33, 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: 6, 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: 8)
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: 9, 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: 32, SJR: 0.826, h-index: 127)
Behaviour Change     Full-text available via subscription   (Followers: 12, SJR: 0.362, h-index: 27)
Behavioural and Cognitive Psychotherapy     Hybrid Journal   (Followers: 136, 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: 51)
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: 7)
British J. of Music Education     Hybrid Journal   (Followers: 23, SJR: 0.391, h-index: 8)
British J. Of Nutrition     Hybrid Journal   (Followers: 72, SJR: 1.587, h-index: 139)
British J. of Political Science     Hybrid Journal   (Followers: 156, SJR: 2.505, h-index: 63)
British J. of Psychiatry     Hybrid Journal   (Followers: 178, 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: 12, 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: 121, 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: 152, 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: 2)
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: 9)
Canadian J. of Law and Society     Hybrid Journal   (Followers: 19, 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: 1)
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: 49, 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: 12)
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: 45, 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: 8, 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: 16, 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: 9, 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: 11, 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: 11, 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: 28, 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: 6)
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: 63, 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: 162, 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: 7, 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: 86, SJR: 3.67, h-index: 106)
Intl. Psychogeriatrics     Hybrid Journal   (Followers: 13, SJR: 1.068, h-index: 68)
Intl. Review of Social History     Full-text available via subscription   (Followers: 23, 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: 19, 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: 1, SJR: 0.107, h-index: 14)
Israel Law Review     Hybrid Journal   (Followers: 3, 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: 6, 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 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: 33, SJR: 2.998, h-index: 80)
J. of Fluid Mechanics     Hybrid Journal   (Followers: 135, 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)
J. of Germanic Linguistics     Full-text available via subscription   (Followers: 7, SJR: 0.219, h-index: 4)

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Journal Cover Astin Bulletin
  [SJR: 0.979]   [H-I: 19]   [1 followers]  Follow
    
   Full-text available via subscription Subscription journal
   ISSN (Print) 0515-0361 - ISSN (Online) 1783-1350
   Published by Cambridge University Press Homepage  [365 journals]
  • ASB volume 48 issue 1 Cover and Front matter
    • PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.40
      Issue No: Vol. 48, No. 1 (2018)
       
  • ASB volume 48 issue 1 Cover and Back matter
    • PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.41
      Issue No: Vol. 48, No. 1 (2018)
       
  • EDITORIAL
    • Authors: Mario Wüthrich
      Pages: 1 - 2
      Abstract: It is a great honor for me to have been appointed to the new Editor-in-Chief (EiC) of ASTIN Bulletin. I have been serving as Editor for ASTIN Bulletin under the retiring EiC Andrew Cairns since 2011. Andrew Cairns has been EiC of ASTIN Bulletin for 17 years, the first 5 years together with Paul Embrechts, another 2 years jointly with Shaun Wang, and since 2008 he has been solely responsible for ASTIN Bulletin. Andrew Cairns has done an extraordinary job; with his huge commitment and knowledge, he has established ASTIN Bulletin as the leading journal in actuarial science, both in industry and academia. In his time, ASTIN Bulletin has been awarded the Thomson Reuters Impact Factor, it has changed the publisher to Cambridge University Press, and it has integrated all of the scientific sections of the International Actuarial Association IAA. Today, ASTIN Bulletin publishes roughly 30 articles per year (with an average acceptance rate for new submissions of about 30%). Our greatest thanks go to Andrew Cairns for his achievements and this great success of ASTIN Bulletin.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.43
      Issue No: Vol. 48, No. 1 (2018)
       
  • CHAIN-LADDER METHOD AND MIDYEAR LOSS RESERVING
    • Authors: René Dahms
      Pages: 3 - 24
      Abstract: Although loss reserving has been deeply studied in the literature, there are still practical issues that have not been addressed a lot. One of them is the estimation of reserves during the year, which is necessary for forecasts or closings during the year. We will study the following question: What can be done for forecasts and closings during the year that goes along with the reserving at year end' In order to make it not too complicated, we will focus on the Chain-Ladder method introduced by Mack (1993). We will describe several methods that are used in practice. We will discuss advantages and disadvantages of these methods based on a simple deterministic example. Roughly spoken, we will see that you may shift development or accident periods, or may split development periods, but should not split accident periods.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.1
      Issue No: Vol. 48, No. 1 (2018)
       
  • A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
    • Authors: Patrizia Gigante; Liviana Picech, Luciano Sigalotti
      Pages: 25 - 53
      Abstract: We consider a Tweedie's compound Poisson regression model with fixed and random effects, to describe the payment numbers and the incremental payments, jointly, in claims reserving. The parameter estimates are obtained within the framework of hierarchical generalized linear models, by applying the h-likelihood approach. Regression structures are allowed for the means and also for the dispersions. Predictions and prediction errors of the claims reserves are evaluated. Through the parameters of the distributions of the random effects, some external information (e.g. a development pattern of industry wide-data) can be incorporated into the model. A numerical example shows the impact of external data on the reserve and prediction error evaluations.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2016.30
      Issue No: Vol. 48, No. 1 (2018)
       
  • STOCHASTIC CLAIMS RESERVING VIA A BAYESIAN SPLINE MODEL WITH RANDOM LOSS
           RATIO EFFECTS
    • Authors: Guangyuan Gao; Shengwang Meng
      Pages: 55 - 88
      Abstract: We propose a Bayesian spline model which uses a natural cubic B-spline basis with knots placed at every development period to estimate the unpaid claims. Analogous to the smoothing parameter in a smoothing spline, shrinkage priors are assumed for the coefficients of basis functions. The accident period effect is modeled as a random effect, which facilitate the prediction in a new accident period. For model inference, we use Stan to implement the no-U-turn sampler, an automatically tuned Hamiltonian Monte Carlo. The proposed model is applied to the workers' compensation insurance data in the United States. The lower triangle data is used to validate the model.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.19
      Issue No: Vol. 48, No. 1 (2018)
       
  • PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN
           SHRINKAGE
    • Authors: Gary Venter; Şule Şahın
      Pages: 89 - 110
      Abstract: Age-period-cohort models used in life and general insurance can be over-parameterized, and actuaries have used several methods to avoid this, such as cubic splines. Regularization is a statistical approach for avoiding over-parameterization, and it can reduce estimation and predictive variances compared to MLE. In Markov Chain Monte Carlo (MCMC) estimation, regularization is accomplished by the use of mean-zero priors, and the degree of parsimony can be optimized by numerically efficient out-of-sample cross-validation. This provides a consistent framework for comparing a variety of regularized MCMC models, such as those built with cubic splines, linear splines (as ours is), and the limiting case of non-regularized estimation. We apply this to the multiple-trend model of Hunt and Blake (2014).
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.21
      Issue No: Vol. 48, No. 1 (2018)
       
  • IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON
           WEALTH
    • Authors: Catherine Donnelly; Montserrat Guillen, Jens Perch Nielsen, Ana Maria Pérez-Marín
      Pages: 111 - 137
      Abstract: We present a savings plan for retirement that removes risk by fixing a constraint on a life-long pension so that it has an upper and a lower bound. This corresponds to the ideas of Nobel laureate R.C. Merton whose implementation has never been published. We show with an illustration that our proposed practical algorithm reproduces the theoretical results after a savings period of around 30 years by using daily, monthly, weekly or yearly updates of the investment positions. We calculate the percentiles of the final accumulated wealth distribution for the adjusted implementation. In the simulated illustration, we observe that the adjusted values converge to the theoretical values of the percentiles when the frequency of update increases. We conclude that monthly adjustments result in a practical way to implement theoretical results that were obtained under the hypothesis of a continuous process by Donnelly et al. (2015). This method is easy to use in practice by pension savers and fund managers.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.34
      Issue No: Vol. 48, No. 1 (2018)
       
  • FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM
           WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND
           STOCHASTIC MORTALITY
    • Authors: Katja Ignatieva; Andrew Song, Jonathan Ziveyi
      Pages: 139 - 169
      Abstract: This paper introduces the Fourier Space Time-Stepping algorithm to the valuation of variable annuity (VA) contracts embedded with guaranteed minimum withdrawal benefit (GMWB) riders when the underlying fund dynamics evolve under the influence of a regime-switching model. Mortality risk is introduced to the valuation framework by incorporating a two-factor affine stochastic mortality model proposed in Blackburn and Sherris (2013). The paper considers both, static and dynamic policyholder withdrawal behaviour associated with GMWB riders and assesses how model parameters influence the fees levied on providing such guarantees. Our numerical experiments reveal that the GMWB fees are very sensitive to regime-switching parameters; a percentage increase in the force of interest results in significant decrease in guarantee fees. The guarantee fees increase substantially with increasing volatility levels. Numerical experiments also highlight an increasing importance of mortality as maturity of the VA contract increases. Mortality has less impact on shorter maturity contracts regardless of the policyholder's withdrawal behaviour. As much as mortality influences pricing results for long maturities, the associated guarantee fees are decreasing functions of maturities for the VA contracts. Robustness checks of the Fourier Space Time-Stepping algorithm are performed by making numerical comparisons with several existing valuation approaches.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.23
      Issue No: Vol. 48, No. 1 (2018)
       
  • FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL
           EARNINGS BY CONDITIONAL MOMENT MATCHING
    • Authors: Nicolas Privault; Xiao Wei
      Pages: 171 - 196
      Abstract: We propose an approximation scheme for the computation of the risk measures of guaranteed minimum maturity benefits (GMMBs) and guaranteed minimum death benefits (GMDBs), based on the evaluation of single integrals under conditional moment matching. This procedure is computationally efficient in comparison with standard analytical methods while retaining a high degree of accuracy, and it allows one to deal with the case of additional earnings and the computation of related sensitivities.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.33
      Issue No: Vol. 48, No. 1 (2018)
       
  • DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY
    • Authors: Hong Li
      Pages: 197 - 232
      Abstract: This paper investigates dynamic hedging strategies for pension and annuity liabilities that are exposed to longevity risk. In particular, we consider a hedger who wishes to minimize the variance of her hedging error using index-based longevity-linked derivatives. To cope with the fact that liquidity of longevity-linked derivatives is still limited, we consider a liquidity constrained case where the hedger can only trade longevity-linked derivatives at a frequency lower than other assets. Time-consistent, closed-form solutions of optimal hedging strategies are obtained under a forward mortality framework. In the numerical illustration, we show that lowering the trading of the longevity-linked derivatives to a 2-year frequency only leads to a slight loss of the hedging performance. Moreover, even when the longevity-linked derivatives are traded at a very low (5-year) frequency, dynamic hedging strategies still significantly outperform the static one.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.26
      Issue No: Vol. 48, No. 1 (2018)
       
  • NATURAL HEDGING IN LONG-TERM CARE INSURANCE
    • Authors: Susanna Levantesi; Massimiliano Menzietti
      Pages: 233 - 274
      Abstract: We investigate the application of natural hedging strategies for long-term care (LTC) insurers by diversifying both longevity and disability risks affecting LTC annuities. We propose two approaches to natural hedging: one built on a multivariate duration, the other on the Conditional Value-at-Risk minimization of the unexpected loss. Both the approaches are extended to the LTC insurance using a multiple state framework. In order to represent the future evolution of mortality and disability transition probabilities, we use the stochastic model of Cairns et al. (2009) with cohort effect under parameter uncertainty through a semi-parametric bootstrap procedure. We calculate the optimal level of a product mix and measure the effectiveness provided by the interaction of LTC stand alone, deferred annuity and whole-life insurance. We compare the results obtained by the two approaches and find that a natural hedging strategy for LTC insurers is attainable with a product mix of LTC and annuities, but including low proportion of LTC.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.29
      Issue No: Vol. 48, No. 1 (2018)
       
  • ROBUST AND EFFICIENT FITTING OF SEVERITY MODELS AND THE METHOD OF
           WINSORIZED MOMENTS
    • Authors: Qian Zhao; Vytaras Brazauskas, Jugal Ghorai
      Pages: 275 - 309
      Abstract: Continuous parametric distributions are useful tools for modeling and pricing insurance risks, measuring income inequality in economics, investigating reliability of engineering systems, and in many other areas of application. In this paper, we propose and develop a new method for estimation of their parameters—the method of Winsorized moments (MWM)—which is conceptually similar to the method of trimmed moments (MTM) and thus is robust and computationally efficient. Both approaches yield explicit formulas of parameter estimators for log-location-scale families and their variants, which are commonly used to model claim severity. Large-sample properties of the new estimators are provided and corroborated through simulations. Their performance is also compared to that of MTM and the maximum likelihood estimators (MLE). In addition, the effect of model choice and parameter estimation method on risk pricing is illustrated using actual data that represent hurricane damages in the United States from 1925 to 1995. In particular, the estimated pure premiums for an insurance layer are computed when the lognormal and log-logistic models are fitted to the data using the MWM, MTM and MLE methods.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.30
      Issue No: Vol. 48, No. 1 (2018)
       
  • ON THE AGGREGATION OF EXPERTS' INFORMATION IN BONUS–MALUS SYSTEMS
    • Authors: Víctor Blanco; José M. Pérez-Sánchez
      Pages: 311 - 337
      Abstract: In this paper, we propose a new family of premium calculation principles based on the use of prior information from different sources. Under this framework and based on the use of Ordered Weighted Averaging operators, we provide alternative collective and Bayes premiums and describe some approaches to efficiently compute them. Several examples are detailed to illustrate the performance of the new methods.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.25
      Issue No: Vol. 48, No. 1 (2018)
       
  • EVOLUTIONARY HIERARCHICAL CREDIBILITY
    • Authors: Greg Taylor
      Pages: 339 - 374
      Abstract: The hierarchical credibility model was introduced, and extended, in the 70s and early 80s. It deals with the estimation of parameters that characterize the nodes of a tree structure. That model is limited, however, by the fact that its parameters are assumed fixed over time. This causes the model's parameter estimates to track the parameters poorly when the latter are subject to variation over time. This paper seeks to remove this limitation by assuming the parameters in question to follow a process akin to a random walk over time, producing an evolutionary hierarchical model. The specific form of the model is compatible with the use of the Kalman filter for parameter estimation and forecasting. The application of the Kalman filter is conceptually straightforward, but the tree structure of the model parameters can be extensive, and some effort is required to retain organization of the updating algorithm. This is achieved by suitable manipulation of the graph associated with the tree. The graph matrix then appears in the matrix calculations inherent in the Kalman filter. A numerical example is included to illustrate the application of the filter to the model.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.31
      Issue No: Vol. 48, No. 1 (2018)
       
  • ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM
           PRINCIPLE AND EXTREME VALUE MODELING
    • Authors: Gilles Stupfler; Fan Yang
      Pages: 375 - 411
      Abstract: CAT bonds play an important role in transferring insurance risks to the capital market. It has been observed that typical CAT bond premiums have changed since the recent financial crisis, which has been attributed to market participants being increasingly risk averse. In this work, we first propose a new premium principle, the financial loss premium principle, which includes a term measuring losses in the financial market that we represent here by the Conditional Tail Expectation (CTE) of the negative daily log-return of the S&P 500 index. Our analysis of empirical evidence suggests indeed that in the post-crisis market, instead of simply increasing the fixed level of risk load universally, the increased risk aversion should be modeled jointly by a fixed level of risk load and a financial loss factor to reflect trends in the financial market. This new premium principle is shown to be flexible with respect to the confidence/exceedance level of CTE. In the second part, we focus on the particular example of extreme wildfire risk. The distribution of the amount of precipitation in Fort McMurray, Canada, which is a very important factor in the occurrence of wildfires, is analyzed using extreme value modeling techniques. A wildfire bond with parametric trigger of precipitation is then designed to mitigate extreme wildfire risk, and its premium is predicted using an extreme value analysis of its expected loss. With an application to the 2016 Fort McMurray wildfire, we demonstrate that the extreme value model is sensible, and we further analyze how our results and construction can be used to provide a design framework for CAT bonds which may appeal to (re)insurers and investors alike.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.32
      Issue No: Vol. 48, No. 1 (2018)
       
  • STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED
           MEAN-VARIANCE PREMIUM PRINCIPLE
    • Authors: Shumin Chen; Hailiang Yang, Yan Zeng
      Pages: 413 - 434
      Abstract: We study a stochastic differential game problem between two insurers, who invest in a financial market and adopt reinsurance to manage their claim risks. Supposing that their reinsurance premium rates are calculated according to the generalized mean-variance principle, we consider the competition between the two insurers as a non-zero sum stochastic differential game. Using dynamic programming technique, we derive a system of coupled Hamilton–Jacobi–Bellman equations and show the existence of equilibrium strategies. For an exponential utility maximizing game and a probability maximizing game, we obtain semi-explicit solutions for the equilibrium strategies and the equilibrium value functions, respectively. Finally, we provide some detailed comparative-static analyses on the equilibrium strategies and illustrate some economic insights.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.35
      Issue No: Vol. 48, No. 1 (2018)
       
  • ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS
    • Authors: Zhimin Zhang; Eric C.K. Cheung, Hailiang Yang
      Pages: 435 - 477
      Abstract: The analysis of capital injection strategy in the literature of insurance risk models (e.g. Pafumi, 1998; Dickson and Waters, 2004) typically assumes that whenever the surplus becomes negative, the amount of shortfall is injected so that the company can continue its business forever. Recently, Nie et al. (2011) has proposed an alternative model in which capital is immediately injected to restore the surplus level to a positive level b when the surplus falls between zero and b, and the insurer is still subject to a positive ruin probability. Inspired by the idea of randomized observations in Albrecher et al. (2011b), in this paper, we further generalize Nie et al. (2011)'s model by assuming that capital injections are only allowed at a sequence of time points with inter-capital-injection times being Erlang distributed (so that deterministic time intervals can be approximated using the Erlangization technique in Asmussen et al. (2002)). When the claim amount is distributed as a combination of exponentials, explicit formulas for the Gerber–Shiu expected discounted penalty function (Gerber and Shiu, 1998) and the expected total discounted cost of capital injections before ruin are obtained. The derivations rely on a resolvent density associated with an Erlang random variable, which is shown to admit an explicit expression that is of independent interest as well. We shall provide numerical examples, including an application in pricing a perpetual reinsurance contract that makes the capital injections and demonstration of how to minimize the ruin probability via reinsurance. Minimization of the expected discounted capital injections plus a penalty applied at ruin with respect to the frequency of injections and the critical level b will also be illustrated numerically.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.22
      Issue No: Vol. 48, No. 1 (2018)
       
  • PARSIMONIOUS PARAMETERIZATION OF AGE-PERIOD-COHORT MODELS BY BAYESIAN
           SHRINKAGE - ERRATUM
    • Authors: Gary Venter; Şule Şahın
      Pages: 479 - 479
      Abstract: In Venter and Şahin (2017), the author's name appeared incorrectly as “ŞULE ŞAHÎN”. The author's name should appear as “ŞULE ŞAHİN”. The original article has been corrected to rectify this error.
      PubDate: 2018-01-01T00:00:00.000Z
      DOI: 10.1017/asb.2017.39
      Issue No: Vol. 48, No. 1 (2018)
       
 
 
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