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Publisher: Cambridge University Press   (Total: 372 journals)

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Showing 1 - 200 of 372 Journals sorted alphabetically
Acta Neuropsychiatrica     Hybrid Journal   (Followers: 4, SJR: 0.733, CiteScore: 2)
Acta Numerica     Hybrid Journal   (Followers: 3, SJR: 6.709, CiteScore: 10)
Advances in Animal Biosciences     Full-text available via subscription   (Followers: 9)
Advances in Applied Mathematics and Mechanics     Full-text available via subscription   (SJR: 0.441, CiteScore: 1)
Aeronautical J., The     Hybrid Journal   (Followers: 3)
Africa     Hybrid Journal   (Followers: 20, SJR: 0.582, CiteScore: 1)
African Studies Review     Full-text available via subscription   (Followers: 18, SJR: 0.437, CiteScore: 1)
Ageing & Society     Hybrid Journal   (Followers: 39, SJR: 0.756, CiteScore: 2)
Agricultural and Resource Economics Review     Open Access   (Followers: 5, SJR: 0.414, CiteScore: 1)
AI EDAM     Hybrid Journal   (Followers: 1, SJR: 0.375, CiteScore: 1)
AJS Review     Full-text available via subscription   (Followers: 2, SJR: 0.128, CiteScore: 0)
American Political Science Review     Hybrid Journal   (Followers: 272, SJR: 5.587, CiteScore: 4)
Anatolian Studies     Full-text available via subscription   (Followers: 4, SJR: 0.528, CiteScore: 1)
Ancient Mesoamerica     Hybrid Journal   (Followers: 10, SJR: 0.478, CiteScore: 1)
Anglo-Saxon England     Hybrid Journal   (Followers: 34, SJR: 0.1, CiteScore: 0)
animal     Hybrid Journal   (Followers: 3, SJR: 0.842, CiteScore: 2)
Animal Health Research Reviews     Hybrid Journal   (Followers: 3, SJR: 0.69, CiteScore: 2)
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: 16, SJR: 0.177, CiteScore: 0)
Annual Review of Applied Linguistics     Hybrid Journal   (Followers: 37, SJR: 3.223, CiteScore: 4)
Antarctic Science     Hybrid Journal   (Followers: 1, SJR: 0.643, CiteScore: 1)
Antichthon     Full-text available via subscription   (Followers: 1, SJR: 0.101, CiteScore: 0)
Antiquaries J., The     Full-text available via subscription   (Followers: 9, SJR: 0.106, CiteScore: 0)
Antiquity     Hybrid Journal   (Followers: 30)
ANZIAM J.     Open Access   (Followers: 1, SJR: 0.216, CiteScore: 0)
Applied Psycholinguistics     Hybrid Journal   (Followers: 22, SJR: 0.945, CiteScore: 2)
APSIPA Transactions on Signal and Information Processing     Open Access   (Followers: 8, SJR: 0.404, CiteScore: 2)
Arabic Sciences and Philosophy     Hybrid Journal   (Followers: 9, SJR: 0.101, CiteScore: 0)
Arbor Clinical Nutrition Updates     Full-text available via subscription   (Followers: 3)
Archaeological Dialogues     Hybrid Journal   (Followers: 38, SJR: 0.898, CiteScore: 1)
Archaeological Reports     Full-text available via subscription   (Followers: 5, SJR: 0.128, CiteScore: 0)
arq: Architectural Research Quarterly     Hybrid Journal   (Followers: 8, SJR: 0.123, CiteScore: 0)
Asian J. of Comparative Law     Hybrid Journal   (Followers: 9, SJR: 0.129, CiteScore: 0)
Asian J. of Intl. Law     Hybrid Journal   (Followers: 14, SJR: 0.135, CiteScore: 0)
Asian J. of Law and Society     Hybrid Journal   (Followers: 7, SJR: 0.195, CiteScore: 0)
Astin Bulletin     Full-text available via subscription   (Followers: 1, SJR: 0.878, CiteScore: 1)
Australasian J. of Organisational Psychology     Hybrid Journal   (Followers: 9, SJR: 0.154, CiteScore: 1)
Australasian J. of Special Education     Full-text available via subscription   (Followers: 8, SJR: 0.187, CiteScore: 0)
Australian J. of Environmental Education     Full-text available via subscription   (Followers: 8, SJR: 0.403, CiteScore: 1)
Australian J. of Indigenous Education, The     Full-text available via subscription   (Followers: 10, SJR: 0.26, CiteScore: 1)
Australian J. of Rehabilitation Counseling     Full-text available via subscription   (Followers: 4, SJR: 0.144, CiteScore: 0)
Austrian History Yearbook     Full-text available via subscription   (Followers: 9, SJR: 0.161, CiteScore: 0)
Behavioral and Brain Sciences     Hybrid Journal   (Followers: 35, SJR: 0.595, CiteScore: 1)
Behaviour Change     Full-text available via subscription   (Followers: 13, SJR: 0.508, CiteScore: 1)
Behavioural and Cognitive Psychotherapy     Hybrid Journal   (Followers: 143, SJR: 0.976, CiteScore: 2)
Bilingualism: Language and Cognition     Hybrid Journal   (Followers: 38, SJR: 1.446, CiteScore: 2)
Biofilms     Full-text available via subscription   (Followers: 1)
Bird Conservation Intl.     Hybrid Journal   (Followers: 24, SJR: 0.581, CiteScore: 1)
BJPsych Advances     Full-text available via subscription   (Followers: 54, SJR: 0.275, CiteScore: 0)
BJPsych Intl.     Open Access   (Followers: 2)
BJPsych Open     Open Access  
Brain Impairment     Full-text available via subscription   (Followers: 2, SJR: 0.321, CiteScore: 1)
Breast Cancer Online     Full-text available via subscription   (Followers: 5)
Britannia     Full-text available via subscription   (Followers: 7, SJR: 0.111, CiteScore: 0)
British Actuarial J.     Full-text available via subscription  
British Catholic History     Hybrid Journal   (Followers: 1, SJR: 0.133, CiteScore: 1)
British J. for the History of Science     Hybrid Journal   (Followers: 24, SJR: 0.235, CiteScore: 0)
British J. of Anaesthetic and Recovery Nursing     Full-text available via subscription   (Followers: 8)
British J. of Music Education     Hybrid Journal   (Followers: 24, SJR: 0.564, CiteScore: 1)
British J. Of Nutrition     Hybrid Journal   (Followers: 78, SJR: 1.612, CiteScore: 4)
British J. of Political Science     Hybrid Journal   (Followers: 172, SJR: 4.661, CiteScore: 4)
British J. of Psychiatry     Hybrid Journal   (Followers: 191, SJR: 2.844, CiteScore: 3)
Bulletin of Entomological Research     Hybrid Journal   (Followers: 11, SJR: 0.805, CiteScore: 2)
Bulletin of Symbolic Logic     Full-text available via subscription   (Followers: 2, SJR: 0.555, CiteScore: 1)
Bulletin of the Australian Mathematical Society     Full-text available via subscription   (Followers: 1, SJR: 0.44, CiteScore: 0)
Bulletin of the School of Oriental and African Studies     Hybrid Journal   (Followers: 20, SJR: 0.146, CiteScore: 0)
Business and Human Rights J.     Full-text available via subscription   (Followers: 3, SJR: 0.536, CiteScore: 1)
Business Ethics Quarterly     Full-text available via subscription   (Followers: 14, SJR: 1.098, CiteScore: 2)
Business History Review     Full-text available via subscription   (Followers: 15, SJR: 0.347, CiteScore: 1)
Cambridge Archaeological J.     Hybrid Journal   (Followers: 132, SJR: 1.121, CiteScore: 1)
Cambridge Classical J.     Full-text available via subscription   (Followers: 19, SJR: 0.101, CiteScore: 0)
Cambridge J. of Postcolonial Literary Inquiry     Hybrid Journal   (Followers: 7)
Cambridge Law J.     Hybrid Journal   (Followers: 170, SJR: 0.213, CiteScore: 0)
Cambridge Opera J.     Hybrid Journal   (Followers: 5, SJR: 0.14, CiteScore: 0)
Cambridge Quarterly of Healthcare Ethics     Hybrid Journal   (Followers: 11, SJR: 0.299, CiteScore: 1)
Camden Fifth Series     Full-text available via subscription   (Followers: 3)
Canadian Entomologist     Hybrid Journal   (Followers: 5, SJR: 0.482, CiteScore: 1)
Canadian J. of Emergency Medicine     Hybrid Journal   (Followers: 13, SJR: 0.624, CiteScore: 1)
Canadian J. of Law & Jurisprudence     Full-text available via subscription   (Followers: 10, SJR: 0.237, CiteScore: 0)
Canadian J. of Law and Society     Hybrid Journal   (Followers: 20, SJR: 0.259, CiteScore: 1)
Canadian J. of Neurological Sciences     Full-text available via subscription   (SJR: 0.549, CiteScore: 1)
Canadian J. of Political Science/Revue canadienne de science politique     Full-text available via subscription   (Followers: 23, SJR: 0.385, CiteScore: 1)
Canadian J. on Aging     Hybrid Journal   (Followers: 11, SJR: 0.426, CiteScore: 1)
Canadian Yearbook of Intl. Law / Annuaire canadien de droit international     Full-text available via subscription   (Followers: 2)
Cardiology in the Young     Hybrid Journal   (Followers: 33, SJR: 0.372, CiteScore: 1)
Central European History     Full-text available via subscription   (Followers: 30, SJR: 0.159, CiteScore: 0)
Children Australia     Partially Free   (Followers: 2, SJR: 0.255, CiteScore: 0)
China Quarterly     Hybrid Journal   (Followers: 51, SJR: 2.289, CiteScore: 3)
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: 71, SJR: 0.106, CiteScore: 0)
Classical Quarterly     Full-text available via subscription   (Followers: 32, SJR: 0.204, CiteScore: 0)
Classical Review     Full-text available via subscription   (Followers: 27)
CNS Spectrums     Hybrid Journal   (Followers: 3, SJR: 1.391, CiteScore: 3)
Cognitive Behaviour Therapist     Hybrid Journal   (Followers: 13)
Combinatorics, Probability and Computing     Hybrid Journal   (Followers: 4, SJR: 0.839, CiteScore: 1)
Communications in Computational Physics     Full-text available via subscription   (Followers: 2, SJR: 1.048, CiteScore: 2)
Comparative Studies in Society and History     Full-text available via subscription   (Followers: 47, SJR: 0.585, CiteScore: 1)
Compositio Mathematica     Full-text available via subscription   (Followers: 1, SJR: 3.139, CiteScore: 1)
Contemporary European History     Hybrid Journal   (Followers: 26, SJR: 0.263, CiteScore: 1)
Continuity and Change     Hybrid Journal   (Followers: 12, SJR: 0.107, CiteScore: 0)
Dance Research J.     Full-text available via subscription   (Followers: 10, SJR: 0.211, CiteScore: 0)
Development and Psychopathology     Hybrid Journal   (Followers: 9, SJR: 2.068, CiteScore: 4)
Dialogue Canadian Philosophical Review/Revue canadienne de philosophie     Full-text available via subscription   (Followers: 3, SJR: 0.156, CiteScore: 0)
Diamond Light Source Proceedings     Full-text available via subscription  
Disaster Medicine and Public Health Preparedness     Hybrid Journal   (Followers: 13, SJR: 0.471, CiteScore: 1)
Du Bois Review: Social Science Research on Race     Full-text available via subscription   (Followers: 9, SJR: 0.561, CiteScore: 1)
Early China     Hybrid Journal   (Followers: 3)
Early Music History     Hybrid Journal   (Followers: 8, SJR: 0.101, CiteScore: 0)
Earth and Environmental Science Transactions of the Royal Society of Edinburgh     Hybrid Journal   (Followers: 5)
East Asian J. on Applied Mathematics     Full-text available via subscription   (SJR: 0.418, CiteScore: 1)
Ecclesiastical Law J.     Full-text available via subscription   (Followers: 6, SJR: 0.114, CiteScore: 0)
Econometric Theory     Hybrid Journal   (Followers: 16, SJR: 2.915, CiteScore: 1)
Economics and Philosophy     Hybrid Journal   (Followers: 14, SJR: 0.622, CiteScore: 1)
Edinburgh J. of Botany     Hybrid Journal   (SJR: 0.283, CiteScore: 1)
Eighteenth-Century Music     Hybrid Journal   (Followers: 11, SJR: 0.113, CiteScore: 0)
English Language and Linguistics     Hybrid Journal   (Followers: 24, SJR: 0.52, CiteScore: 1)
English Profile J.     Hybrid Journal   (Followers: 2)
English Today     Hybrid Journal   (Followers: 10, SJR: 0.279, CiteScore: 0)
Enterprise & Society : The Intl. J. of Business History     Hybrid Journal   (Followers: 17, SJR: 0.245, CiteScore: 1)
Environment and Development Economics     Hybrid Journal   (Followers: 34, SJR: 0.617, CiteScore: 1)
Environmental Conservation     Hybrid Journal   (Followers: 60, SJR: 1.028, CiteScore: 2)
Environmental Practice     Full-text available via subscription   (Followers: 3, SJR: 0.145, CiteScore: 0)
Epidemiology & Infection     Hybrid Journal   (Followers: 16, SJR: 1.128, CiteScore: 2)
Epidemiology and Psychiatric Sciences     Hybrid Journal   (Followers: 3, SJR: 1.494, CiteScore: 2)
Episteme     Hybrid Journal   (Followers: 12, SJR: 0.756, CiteScore: 1)
Equine and Comparative Exercise Physiology     Full-text available via subscription   (Followers: 7)
Ergodic Theory and Dynamical Systems     Hybrid Journal   (Followers: 2, SJR: 1.193, CiteScore: 1)
Ethics & Intl. Affairs     Full-text available via subscription   (Followers: 13, SJR: 0.557, CiteScore: 1)
European Constitutional Law Review (EuConst)     Full-text available via subscription   (Followers: 34, SJR: 1.009, CiteScore: 1)
European J. of Applied Mathematics     Hybrid Journal   (SJR: 0.52, CiteScore: 1)
European J. of Sociology     Hybrid Journal   (Followers: 32, SJR: 0.643, CiteScore: 1)
European Political Science Review     Hybrid Journal   (Followers: 22, SJR: 1.816, CiteScore: 2)
European Review     Hybrid Journal   (Followers: 17, SJR: 0.131, CiteScore: 0)
Experimental Agriculture     Hybrid Journal   (Followers: 13, SJR: 0.542, CiteScore: 1)
Expert Reviews in Molecular Medicine     Hybrid Journal   (Followers: 1, SJR: 1.647, CiteScore: 4)
Fetal and Maternal Medicine Review     Hybrid Journal   (Followers: 4)
Financial History Review     Full-text available via subscription   (Followers: 14, SJR: 0.238, CiteScore: 1)
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: 0.483, CiteScore: 1)
Geological Magazine     Hybrid Journal   (Followers: 16, SJR: 0.966, CiteScore: 2)
Glasgow Mathematical J.     Full-text available via subscription   (Followers: 1, SJR: 0.604, CiteScore: 0)
Global Constitutionalism     Hybrid Journal   (Followers: 17)
Global Mental Health     Open Access   (Followers: 7)
Government and Opposition     Full-text available via subscription   (Followers: 20, SJR: 0.965, CiteScore: 2)
Greece & Rome     Partially Free   (Followers: 24, SJR: 0.113, CiteScore: 0)
Hague J. on the Rule of Law     Full-text available via subscription   (Followers: 13, SJR: 0.271, CiteScore: 1)
Harvard Theological Review     Full-text available via subscription   (Followers: 68, SJR: 0.165, CiteScore: 0)
Health Economics, Policy and Law     Hybrid Journal   (Followers: 25, SJR: 0.745, CiteScore: 1)
Hegel Bulletin     Full-text available via subscription   (Followers: 1)
High Power Laser Science and Engineering     Open Access   (Followers: 3, SJR: 0.901, CiteScore: 3)
Historical J.     Hybrid Journal   (Followers: 34, SJR: 0.247, CiteScore: 1)
History in Africa     Full-text available via subscription   (Followers: 9)
Horizons     Partially Free   (Followers: 1, SJR: 0.129, CiteScore: 0)
Industrial and Organizational Psychology     Hybrid Journal   (Followers: 20, SJR: 0.916, CiteScore: 1)
Infection Control and Hospital Epidemiology     Full-text available via subscription   (Followers: 36, SJR: 1.97, CiteScore: 3)
Intl. & Comparative Law Quarterly     Full-text available via subscription   (Followers: 209, SJR: 0.369, CiteScore: 1)
Intl. J. of Asian Studies     Hybrid Journal   (Followers: 12, SJR: 0.143, CiteScore: 0)
Intl. J. of Astrobiology     Hybrid Journal   (Followers: 2, SJR: 0.548, CiteScore: 1)
Intl. J. of Cultural Property     Full-text available via subscription   (Followers: 13, SJR: 0.253, CiteScore: 1)
Intl. J. of Disability Management Research     Full-text available via subscription   (Followers: 8, SJR: 0.105, CiteScore: 0)
Intl. J. of Law in Context     Hybrid Journal   (Followers: 16, SJR: 0.275, CiteScore: 1)
Intl. J. of Legal Information     Open Access   (Followers: 276)
Intl. J. of Microwave and Wireless Technologies     Hybrid Journal   (Followers: 8, SJR: 0.184, CiteScore: 1)
Intl. J. of Middle East Studies     Hybrid Journal   (Followers: 67, SJR: 0.434, CiteScore: 0)
Intl. J. of Technology Assessment in Health Care     Hybrid Journal   (Followers: 13, SJR: 0.714, CiteScore: 1)
Intl. J. of Tropical Insect Science     Hybrid Journal   (Followers: 1, SJR: 0.334, CiteScore: 1)
Intl. Labor and Working-Class History     Full-text available via subscription   (Followers: 12, SJR: 0.182, CiteScore: 0)
Intl. Organization     Full-text available via subscription   (Followers: 96, SJR: 8.527, CiteScore: 5)
Intl. Psychogeriatrics     Hybrid Journal   (Followers: 12, SJR: 1.048, CiteScore: 2)
Intl. Review of Social History     Full-text available via subscription   (Followers: 26, SJR: 0.315, CiteScore: 1)
Intl. Review of the Red Cross     Full-text available via subscription   (Followers: 10, SJR: 0.214, CiteScore: 0)
Intl. Theory: A J. of Intl. Politics, Law and Philosophy     Hybrid Journal   (Followers: 18, SJR: 2.293, CiteScore: 2)
Iraq     Full-text available via subscription   (Followers: 2)
Irish Historical Studies     Hybrid Journal   (Followers: 5, SJR: 0.103, CiteScore: 0)
Irish J. of Psychological Medicine     Hybrid Journal   (Followers: 2, SJR: 0.221, CiteScore: 0)
Israel Law Review     Hybrid Journal   (Followers: 2, SJR: 0.165, CiteScore: 0)
Itinerario     Full-text available via subscription   (Followers: 9, SJR: 0.158, CiteScore: 0)
J. of African History     Hybrid Journal   (Followers: 21, SJR: 0.348, CiteScore: 1)
J. of African Law     Full-text available via subscription   (Followers: 3, SJR: 0.113, CiteScore: 0)
J. of Agricultural and Applied Economics     Open Access   (Followers: 1, SJR: 0.263, CiteScore: 1)
J. of Agricultural Science     Full-text available via subscription   (Followers: 8, SJR: 0.563, CiteScore: 1)
J. of American Studies     Hybrid Journal   (Followers: 20, SJR: 0.164, CiteScore: 0)
J. of Anglican Studies     Hybrid Journal   (Followers: 6, SJR: 0.101, CiteScore: 0)
J. of Applied Animal Nutrition     Hybrid Journal   (Followers: 3)
J. of Asian Studies     Full-text available via subscription   (Followers: 37, SJR: 0.591, CiteScore: 1)
J. of Benefit-Cost Analysis     Hybrid Journal   (Followers: 2)
J. of Biosocial Science     Hybrid Journal   (Followers: 3, SJR: 0.48, CiteScore: 1)
J. of British Studies     Full-text available via subscription   (Followers: 32, SJR: 0.246, CiteScore: 0)
J. of Child Language     Hybrid Journal   (Followers: 20, SJR: 1.035, CiteScore: 2)
J. of Classics Teaching     Open Access  
J. of Dairy Research     Full-text available via subscription   (Followers: 8, SJR: 0.573, CiteScore: 1)
J. of Demographic Economics     Hybrid Journal   (Followers: 3, SJR: 1.227, CiteScore: 1)
J. of Developmental Origins of Health and Disease     Hybrid Journal   (Followers: 2, SJR: 0.843, CiteScore: 2)
J. of Diagnostic Radiography and Imaging     Hybrid Journal   (Followers: 4)
J. of East Asian Studies     Full-text available via subscription   (Followers: 13, SJR: 0.59, CiteScore: 1)
J. of Ecclesiastical History     Hybrid Journal   (Followers: 19, SJR: 0.138, CiteScore: 0)
J. of Economic History     Full-text available via subscription   (Followers: 45, SJR: 1.82, CiteScore: 2)

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Journal Cover
Annals of Actuarial Science
Number of Followers: 1  
 
  Full-text available via subscription Subscription journal
ISSN (Print) 1748-4995 - ISSN (Online) 1748-5002
Published by Cambridge University Press Homepage  [372 journals]
  • Foreword to the RARE Programme
    • Authors: Paul Embrechts
      Pages: 207 - 208
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499518000234
      Issue No: Vol. 12, No. 2 (2018)
       
  • Foreword by the Guest Editors of the RARE special issue
    • Authors: Corina Constantinescu; Enkelejd Hashorva, Marie Kratz
      Pages: 209 - 210
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499518000246
      Issue No: Vol. 12, No. 2 (2018)
       
  • A change of paradigm for the insurance industry
    • Authors: Michel Dacorogna
      Pages: 211 - 232
      Abstract: In this paper, we review changes in the insurance industry due to new risk-based regulations such as Solvency 2 and Swiss Solvency Test. The move from corporate management based on cash-flow to risk-based management is described and discussed through its consequences on capital management, economic valuation and the internal model. We discuss the limits and difficulties of enterprise risk management and its effect on the organisation of companies and the role of actuaries in insurance. The risk/return relation is becoming a central element of the company’s management slowly supplanting the traditional accounting view.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499518000040
      Issue No: Vol. 12, No. 2 (2018)
       
  • A simple isochore model evidencing regulation risk
    • Authors: J. Lévy Véhel
      Pages: 233 - 248
      Abstract: In this note, we provide a simple example of regulation risk. The idea is that, in certain situations, the very prudential rules (or, rather, some of them) imposed by the regulator in the framework of the Basel II/III Accords or Solvency II directive are themselves the source of a systemic risk. The instance of regulation risk that we bring to light in this work can be summarised as follows: wrongly assuming that prices evolve in a continuous fashion when they may in fact display large negative jumps, and trying to minimise Value at Risk (VaR) under a constraint of minimal volume of activity leads in effect to behaviours that will maximise VaR. Although much stylised, our analysis highlights some pitfalls of model-based regulation.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S174849951800009X
      Issue No: Vol. 12, No. 2 (2018)
       
  • Dynamic risk measures for stochastic asset processes from ruin theory
    • Authors: Yasutaka Shimizu; Shuji Tanaka
      Pages: 249 - 268
      Abstract: This article considers a dynamic version of risk measures for stochastic asset processes and gives a mathematical benchmark for required capital in a solvency regulation framework. Some dynamic risk measures, based on the expected discounted penalty function launched by Gerber and Shiu, are proposed to measure solvency risk from the company’s going-concern point of view. This study proposes a novel mathematical justification of a risk measure for stochastic processes as a map on a functional path space of future loss processes.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499518000064
      Issue No: Vol. 12, No. 2 (2018)
       
  • Ruin probabilities in a Sparre Andersen model with dependency structure
           based on a threshold window
    • Authors: Eric C. K. Cheung; Suhang Dai, Weihong Ni
      Pages: 269 - 295
      Abstract: We analyse ruin probabilities for an insurance risk process with a more generalised dependence structure compared to the one introduced in Constantinescu et al. (2016). In this paper, we assume that a random threshold window is generated every time after a claim occurs. By comparing the previous inter-claim time with the threshold window, the distributions of the current threshold window and the inter-arrival time are determined. Furthermore, the statuses for the previous and current inter-arrival times give rise to the current claim size distribution as well. Like Constantinescu et al. (2016), we first identify the embedded Markov additive process where all the randomness takes a general form. Inspired by the Erlangisation technique, the key message of this paper is to analyse such risk process using a Markov fluid flow model where the underlying random variables follow phase-type distributions. This would further allow us to approximate the fixed observation windows by Erlang random variables. Then ruin probabilities under the process with Erlang(n) observation windows are proved to be Erlangian approximations for those related to the process with fixed threshold windows at the limit. An exact form of the limit can be obtained whose application will be illustrated further by a numerical example.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499517000215
      Issue No: Vol. 12, No. 2 (2018)
       
  • A plan of capital injections based on the claims frequency
    • Authors: Ran Xu; Jae-Kyung Woo, Xixuan Han, Hailiang Yang
      Pages: 296 - 325
      Abstract: In this work, we propose a capital injection strategy which is periodically implemented based on the number of claims in the classical Poisson risk model. Especially, capital injection decisions are made at a predetermined accumulated number of claim instants, if the surplus is lower than a minimum required level. There appears to be a similar problem found in reliability theory such that preventive maintenance policies are performed at certain shock numbers. Assuming a combination of exponentials for the claim severities, we first derive an explicit expression for the discounted density of the surplus level after a certain number of claims if ruin has not yet occurred. Utilising this result, we study the expected total discounted capital injection until the first ruin time. To solve the differential equation associated with this quantity, we analyse an extended Lundberg’s fundamental equation. Similarly, an expression for the Laplace transform of the time to ruin is also explicitly found. Finally, we illustrate the applicability of the present capital injection strategy and methodologies through various numerical examples. In particular, for exponential claim severities, some optimal capital injection strategy which minimises the expected capital spending per unit time is numerically studied.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499518000180
      Issue No: Vol. 12, No. 2 (2018)
       
  • Optimal barrier strategy for spectrally negative Lévy process discounted
           by a class of exponential Lévy processes
    • Authors: Huanqun Jiang
      Pages: 326 - 337
      Abstract: In this paper, we extend the optimality of the barrier strategy for the dividend payment problem to the setting that the underlying surplus process is a spectrally negative Lévy process and the discounting factor is an exponential Lévy process. The proof of the main result uses the fluctuation identities of spectrally negative Lévy processes. This extends recent results of Eisenberg for the case where the accumulated interest rate and surplus process are independent Brownian motions with drift.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499518000052
      Issue No: Vol. 12, No. 2 (2018)
       
  • Non-parametric estimation for a pure-jump Lévy process
    • Authors: Chunhao Cai; Junyi Guo, Honglong You
      Pages: 338 - 349
      Abstract: In this paper, we propose an estimator of the survival probability for a Lévy risk model observed at low frequency. The estimator is constructed via a regularised version of the inverse of the Laplace transform. The convergence rate of the estimator in a sense of the integrated squared error is studied for large sample size. Simulation studies are also given to show the finite sample performance of our estimator.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499517000100
      Issue No: Vol. 12, No. 2 (2018)
       
  • On age difference in joint lifetime modelling with life insurance annuity
           applications
    • Authors: François Dufresne; Enkelejd Hashorva, Gildas Ratovomirija, Youssouf Toukourou
      Pages: 350 - 371
      Abstract: Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a group of people are independent. However, extensive research over the past decades suggests otherwise. In this paper, a copula approach is used to model the dependence between lifetimes within a married couple using data from a large Canadian insurance company. As a novelty, the age difference and the gender of the elder partner are introduced as an argument of the dependence parameter. Maximum likelihood techniques are thus implemented for the parameter estimation. Not only do the results make clear that the correlation decreases with age difference, but also the dependence between the lifetimes is higher when husband is older than wife. A goodness-of-fit procedure is applied in order to assess the validity of the model. Finally, considering several annuity products available on the life insurance market, the paper concludes with practical illustrations.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499518000076
      Issue No: Vol. 12, No. 2 (2018)
       
  • The efficacy of life insurance company general account equity asset
           allocations: a safety-first perspective using vine copulas
    • Authors: Ryan Timmer; John Paul Broussard, G. Geoffrey Booth
      Pages: 372 - 390
      Abstract: We study the asset allocation decision of a life insurance company’s general account with respect to the possibility of large negative economic shocks and examine how this account is affected by policyholder investment decisions in the company’s separate account. This is accomplished using a performance metric that incorporates downside risk measured using univariate and multivariate extreme value distributions. Because of its well-known price volatility, diversification attributes, and significant weight in the combined general and separate accounts, our primary focus is the company’s equity investments. Although industry asset allocations have varied over the past two decades, we find that the actual allocations to equity in the general account are close to the allocation percentages suggested by our extreme value metrics and both are far below the maximum values indicated by the relevant regulatory bodies.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499517000264
      Issue No: Vol. 12, No. 2 (2018)
       
  • Mixture copulas and insurance applications
    • Authors: Maissa Tamraz
      Pages: 391 - 411
      Abstract: In the classical collective model over a fixed time period of two insurance portfolios, we are interested, in this contribution, in the models that relate to the joint distribution F of the largest claim amounts observed in both insurance portfolios. Specifically, we consider the tractable model where the claim counting random variable N follows a discrete-stable distribution with parameters (α,λ). We investigate the dependence property of F with respect to both parameters α and λ. Furthermore, we present several applications of the new model to concrete insurance data sets and assess the fit of our new model with respect to other models already considered in some recent contributions. We can see that our model performs well with respect to most data sets.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S174849951800012X
      Issue No: Vol. 12, No. 2 (2018)
       
  • Asymptotic tail behaviour of phase-type scale mixture distributions
    • Authors: Leonardo Rojas-Nandayapa; Wangyue Xie
      Pages: 412 - 432
      Abstract: We consider phase-type scale mixture distributions which correspond to distributions of a product of two independent random variables: a phase-type random variable Y and a non-negative but otherwise arbitrary random variable S called the scaling random variable. We investigate conditions for such a class of distributions to be either light- or heavy-tailed, we explore subexponentiality and determine their maximum domains of attraction. Particular focus is given to phase-type scale mixture distributions where the scaling random variable S has discrete support – such a class of distributions has been recently used in risk applications to approximate heavy-tailed distributions. Our results are complemented with several examples.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499517000136
      Issue No: Vol. 12, No. 2 (2018)
       
  • Validation of aggregated risks models
    • Authors: Michel Dacorogna; Laila Elbahtouri, Marie Kratz
      Pages: 433 - 454
      Abstract: Validation of risk models is required by regulators and demanded by management and shareholders. Those models rely in practice heavily on Monte Carlo (MC) simulations. Given their complexity, the convergence of the MC algorithm is difficult to prove mathematically. To circumvent this problem and nevertheless explore the conditions of convergence, we suggest an analytical approach. Considering standard models, we compute, via mixing techniques, closed form formulas for risk measures as Value-at-Risk (VaR) VaR or Tail Value-at-Risk (TVaR) TVaR on a portfolio of risks, and consequently for the associated diversification benefit. The numerical convergence of MC simulations of those various quantities is then tested against their analytical evaluations. The speed of convergence appears to depend on the fatness of the tail of the marginal distributions; the higher the tail index, the faster the convergence. We also explore the behaviour of the diversification benefit with various dependence structures and marginals (heavy and light tails). As expected, it varies heavily with the type of dependence between aggregated risks. The diversification benefit is also studied as a function of the risk measure, VaR or TVaR.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499517000227
      Issue No: Vol. 12, No. 2 (2018)
       
  • Conditional Monte Carlo for sums, with applications to insurance and
           finance
    • Authors: Søren Asmussen
      Pages: 455 - 478
      Abstract: Conditional Monte Carlo replaces a naive estimate Z of a number z by its conditional expectation given a suitable piece of information. It always reduces variance and its traditional applications are in that vein. We survey here other potential uses such as density estimation and calculations for Value-at-Risk and/or expected shortfall, going in part into the implementation in various copula structures. Also the interplay between these different aspects comes into play.
      PubDate: 2018-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499517000252
      Issue No: Vol. 12, No. 2 (2018)
       
 
 
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