Insurance, Mathematics & Economics 2000: Vol 26 Index

11 Pages·2000·2.2 MB·English

Abstracts and Reviews
Subject Index
At each entry, the following information is given: English title, subject and branch codes, serial number.
Insurance Mathematics
M00: GENERAL AND MISCELLANEOUS
The methodology of Actuarial Science 263001
The Actuarial Role in Financial Reporting 263002
To sustain a vital and Vibrant actuarial Profession 263003
Growth of the Public Responsibility of Actuaries in Life insurance:
Interview with Barbara J. Lautzenheiser (B10) 263004
M10: PROBABILITY THEORY AND MATHEMATICALSTATISTICSIN INSURANCE
Non-parametric likelihood enhancements to parametric graduations 263005
Modelling the DEM/USD Exchange Rate as an Ergodic Stationary Continuous Time Process 263006
Instability in Co integration Regressions - Further Discussion with an Application to Money Demand
in Portugal 263007
Characteristic Functions and Their Application to Risk Processes 263008
Analysis of basic Actuarial Theory for Fixed Premium Variable Benefit Life Insurance (B10) 263009
Calculation of a confidence interval for the number of units with a particular attribute
in a finite universe based on a small stratified random sample 263010
The static state of equilibrium of the overall actuarial building savings and loans model 263011
Health Insurance with guaranteed No Claim Bonus (B20) 263012
Gross Premium Calculations and Profit Measurement for Nonparticipating Insurance (M30) 263019
Bonus systems in an open portfolio (M31) 263020
Stochastic Claims Inflation in IBNR (M42) 263022
Stock Return Models for Segregated Fund Guarantees (E50) 263032
M12: MODELLING OF PORTFOLIOS AND COLLECTIVES
A Crisis of Longer Life: Reforming Pension Systems (B10) 263013
The Development of Some Characteristics for Equitable National Retirement Income Schemes (B10) 263014
Cumulative Anti selection Theory 263015
Generation Life Table for Pension Insurance based on a Multiple Decrement Model 263016
An Efficiency Analysis of German Life Insurers - The Best Practice Method 263017
M20: NUMERICALANALYSIS IN INSURANCE
A Proposal for integrating Australia’s Retirement income Policy (B10) 263018
Valuation of the Reset Option in Segregated Fund Contracts using Quasi-Monte Carlo Methods (E50) 263031
M30: PREMIUM
Gross Premium Calculations and Profit Measurement for Nonparticipating Insurance (M10) 263019
M31: EXPERIENCE RATING
Grossing-Up: Chain-Ladder and Marginal Sum estimation. (M42) 263021
Bonus systems in an open portfolio (M10) 263020
M42: LOSS RESERVES (INCL. I.B.N.R.)
Grossing-Up: Chain-Ladder and Marginal Sum estimation. (M31) 263021
Stochastic Claims Inflation in IBNR (M10) 263022
326 Abstracts and Reviews
Insurance Economics
E10: INSURANCE RELATED MATHEMATICALECONOMICS
The Guaranteed Investment Contract (GIC) 263023
E20: MACRO-ECONOMIC INFLUENCES
Regionalisation risk equalisation and competition within the Social Health Insurance System 263026
Investment Returns and inflation Models: Some Australian Evidence 263024
Measures of Actuarial Status for Social Security: A Sequel 263025
E25: SOCIAL SECURITY
Pareto Improvements within Social health Insurance by self selection of its Members 263027
Social security - Where Did It Come From and Where Is It Going (E60) 263042
E40: BUSINESS ECONOMICS
Developments of Theory of Insurance Business Management 263028
E43: RISK MANAGEMENT
Risk and Risk Management as an object of research and a task for Companies 263029
Risk management of Natural Catastrophes - do Mathematical Methods Help? 263030
E50: FINANCE
Valuation of the Reset Option in Segregated Fund Contracts using Quasi-Monte Carlo Methods (M20) 263031
Stock Return Models for Segregated Fund Guarantees (M10) 263032
Valuation of Embedded Options in German Life Assurance Contracts 263033
A pricing Model for PCS-Catastrophe-Options 263034
Present Values of Dynamic pension Annuities (B10) 263035
Asset Liability Management of Insurance Companies and Shareholder Value 263036
Early Exercise Options for Guaranteed Equity-Linked Life Insurance Policies 263037
E51: RATES OF INTEREST
An actuarial Layman’s Guide to Building Stochastic Interest Rate Generators 263038
E60: SURVEYS
The use of the Internet as a Means of information-
Communication and Marketing in the Insurance Industry 263048
The Society of Actuaries Education and Examination System: 1949-1999 263041
The public Role of Actuaries in Private Pensions in Canada (B10) 263039
The Public Responsibility of Actuaries in American Pensions (B10) 263040
Social security - Where Did It Come From and Where Is It Going (E25) 263042
Supplementary remarks on the formulas of Richttafeln 1998 (B10) 263043
Critical remarks about the Richttafeln 1998 (B10) 263044
Legal Expenses Insurance and the Cost of Litigation 263045
Determinants of the European legal Expenses Insurance Market 263046
Measurement of Service Quality for Insurance Companies 263047
The Interference-provisions of the Insurance Supervisory Authority According to the
Austrian Insurance Supervisory Law (VAG) 263049
Abstracts and Reviews
Insurance Branch Index
B10: LIFE
Growth of the Public Responsibility of Actuaries in Life insurance:
Interview with Barbara J. Lautzenheiser (M00) 263004
Analysis of basic Actuarial Theory for Fixed Premium Variable Benefit Life Insurance (M10) 263009
A Crisis of Longer Life: Reforming Pension Systems (M12) 263013
The Development of Some Characteristics for Equitable National Retirement Income Schemes (M12) 263014
A Proposal for integrating Australia’s Retirement income Policy (M20) 263018
Present Values of Dynamic pension Annuities (E50) 263035
263039
The public Role of Actuaries in Private Pensions in Canada (E60)
The Public Responsibility of Actuaries in American Pensions (E60) 263040
263043
Supplementary remarks on the formulas of Richttafeln 1998 (E60)
Critical remarks about the Richttafeln 1998 (E60) 263044
B20: HEALTH
Health Insurance with guaranteed No Claim Bonus (M10) 263012
328 Abstracts and Reviews
Author Index
Lutz H. 263010
Michaels B. 263029
Anderson J.C.H. 263019 Miller W.N. 263009
Andrade e silva J.M. 263020 Myers R.J. 263042
Aschenbrenner S. 263048 Nicolau J. 263006
Bartlett D.K. 263025 Pemberton J.M. 263001
Bluhm W.F. 263015 Polborn M. 263017
Bolnick H.J. 263003 Russ J. 263037
Bolscher J. 263048 Schittenhelm F.A. 263037
Boyle P.P. 263031 Schmeiser H. 263036
Breuer M. 263027 Schmidt K.D. 263021
Brown M.D.R. 263039 Sherris M. 263024
Bruhn M. 263047 Siegel G. 263012
Centeno M. de Lourdes 263020 Sternhell C.M. 263009
Cornish R. 263014 Stiefel J.D. 263023
Daykin C.D. 263013 Tan K.S. 263031
Farny D. 263028 Tedesco L. 263024
Felder S. 263026 Thomson R.J. 263005
Flasse O. 263034 Tilley J.A. 263038
Fraser J.C. 263009 V.d. Schulenburg M. 263048
Gabriel V.J.C.R. 263007 Zehnwirth B. 263024
Garcia J.M.A. 263008
Goldmann W. 263012
Grubbs D.S. 263040
Griindl H. 263036
Hardy M.R. 263032
Hartung T. 263034
Heacox L 263004
Heacox L. 263002
Henssler M. 263045
Herr H.O. 263033
Hickman J.C. 263002 263004
Hipp C. 263030
Ingraham H.G. 263041
Jaeger H. 263044
Jensen G. 263035
Kessner K. 263017
Kilian M. 263046
Knox D. 263014 263018
Kolkiewicz A.W. 263031
Konradt E. 263012
Korinek S. 263049
Kreer M. 263033
Kremer E. 263022
Laux H. 263011
Lewis D. 263013
Liebmann F.G. 263016
Liebwein P. 263034
Lohf W. 263043
Lorenz H. 263021
Abstracts and Reviews
Keyword Index
Cointegration
263007 Structural change; Tests (M10)
At each entry, the following information is given: serial Cointegration; State Space Models
number, other keywords, subject and branch codes. 263024 Stochastic Models; Unit Roots; Inflation;
Interest Rates; Share Market (E20)
Actuarial Education Confidence interval
263041 (E60) 263010 Random sample (M10)
Actuarial profession Demography
263003 Insurance market (M00) 263013 Pensions; Social Security; Funding; Savings
Actuarial Science (M12; B10)
263001 Methodology; Philosophy; Method; Science; Disability probabilities
Economics (M00) 263044 Mortality tables (E60; B10)
Actuarial standards Early exercise options
263004 Life insurance (M00; B10) 263037 Equity Linked Insurance Policies (E50)
Annuities Economics
263035 Markov model; Present value (E50; B10) 263001 Actuarial Science; Methodology; Philosophy;
263043 Mortality tables (E60; B10) Method; Science (M00)
Anti selection theory Efficiency Analysis
263015 Health insurance (M12) 263017 Life insurance market (M12)
Arbitrage free Equilibrium model
263038 Stochastic Interest rate (E51) 263011 Loan models (M10)
Asset liability management Equity Linked Insurance Policies
263023 Guaranteed investment contract (E10) 263037 Early exercise options (E50)
Asset Liability Management Evaluation
263036 Capital Asset Pricing Model (E50) 263025 Social Security (E20)
Assumptions Exchange rate modelling
263019 Ratemaking; Premium calculation (M30; 263006 Time processes (M10)
M10) Financial Reporting
Bonus systems 263002 Life insurance; Long term benefits (M00)
263020 Markov chains; stationary distribution; open Funding
model; closed model (M31; M10) 263013 Pensions; Social Security; Demography;
Business management Savings (M12; B10)
263028 Insurance Companies (E40) Generalised Pareto
Canada 263030 Catastrope Insurance (E43)
263039 Private Pension system; Survey (E60; B10) Generation life table
Capital Asset Pricing Model 263016 Multiple decrement models (M12)
263036 Asset Liability Management (E50) German case study
Catastrophe Insurance 263045 Legal expenses insurance (E60)
263030 Generalised Pareto (E43) Guaranteed investment contract
Chain ladder method 263023 Asset liability management (E10)
263021 Loss reserving methods (M42; M31) Health insurance
Characteristic Function 263012 No claim bonus (M10; B20)
263008 Distribution Function, Stochastic Process 263015 Anti selection theory (M12)
(M10) Inflation
Characteristics 263024 Stochastic Models; Unit Roots;
263014 Retirement systems (M12; B10) Cointegration; State Space Models; Interest Rates;
Claim inflation Share Market (E20)
263022 Loss reserving (M42; M10) Insurance Companies
Closed model 263028 Business management (E40)
263020 Bonus systems; Markov chains; stationary 263029 Risk Management (E43)
distribution; open model (M31; M10) 263047 Service Quality (E60)
330 Abstracts and Reviews
263048 Internet (E60) Non-parametric Graduation
Insurance market 263005 Parametric Graduation; Whittaker-Henderson
263003 Actuarial profession (M00) Graduation (M10)
Interest Rates Open model
263024 Stochastic Models; Unit Roots; 263020 Bonus systems; Markov chains; stationary
Cointegration; State Space Models; Inflation; distribution; closed model (M31; M10)
Share Market (E20) Option pricing model
Internet 263034 Risk transfer instruments (E50)
263048 Insurance Companies (E60) Option pricing
Legal expenses insurance 263032 Regime Switching; Markov chain Monte
263045 German case study (E60) Carlo; Segregated Funds (E50; M10)
263046 (E60) Parametric Graduation
Life insurance contracts 263005 Whittaker-Henderson Graduation;
263033 Valuation (E50) Non-parametric Graduation (M10)
Life insurance market Pension systems
263017 Efficiency Analysis (M12) 263040 Survey (E60; B10)
Life insurance Pensions
263002 Financial Reporting; Long term benefits 263013 Social Security; Demography; Funding;
(M00) Savings (M12; B10)
263004 Actuarial standards (M00; B10) Philosophy
263009 Premiums (M10; B10) 263001 Actuarial Science; Methodology; Method;
Loan models Science; Economics (M00)
263011 Equilibrium model (M10) Premium calculation
Long term benefits 263019 Ratemaking; Assumptions (M30; M10)
263002 Financial Reporting; Life insurance (M00) Premiums
Loss reserving methods 263009 Life insurance (M10; B10)
263021 Chain ladder method (M42; M31) Present value
Loss reserving 263035 Annuities; Markov model (E50; B10)
263022 claim inflation (M42; M10) Private Pension system
Markov chain Monte Carlo 263039 Canada; Survey (E60; B10)
263032 Regime Switching; Option _ pricing; Random sample
Segregated Funds (E50; M10) 263010 Confidence interval (M10)
Markov chains Ratemaking
263020 Bonus systems; stationary distribution; open 263019 Premium calculation; Assumptions (M30;
model; closed model (M31; M10) M10)
Markov model Regime Switching
263035 Annuities; Present value (E50; B10) 263032 Markov chain Monte Carlo; Option pricing;
Method Segregated Funds (E50; M10)
263001 Actuarial Science; Methodology; Philosophy; Regionalisation
Science; Economics (M00) 263026 Social Health insurance (E20)
Methodology Reset Option
263001 Actuarial Science; Philosophy; Method; 263031 Valuation (E50; M20)
Science; Economics (M00) Retirement systems
Mortality tables 263014 Characteristics (M12; B10)
263043 Annuities (E60; B10) 263018 Survey (M20; B10)
263044 disability probabilities (E60; B10) Risk Management
Multiple decrement models 263029 Insurance Companies (E43)
263016 Generation life table (M12) Risk transfer instruments
No claim bonus 263034 Option pricing model (E50)
263012 Health insurance (M10; B20) Savings
263013 Pensions; Social Security; Demography;
Funding (M12; B10)
Abstracts and Reviews
Science Stochastic Process
263001 Actuarial Science; Methodology; Philosophy; 263008 Characteristic Function, Distribution Function
Method; Economics (M00) (M10)
Segregated Funds Structural change
263032 Regime Switching; Markov chain Monte 263007 Cointegration; Tests (M10)
Carlo; Option pricing (E50; M10) Survey
Service Quality 263018 Retirement systems (M20; B10)
263047 Insurance Companies (E60) 263039 Private Pension system; Canada (E60; B10)
Share Market 263040 Pension systems (E60; B10)
263024 Stochastic Models; Unit Roots; 263042 Social Security (E60; E25)
Cointegration; State Space Models; Inflation; Tests
Interest Rates (E20) 263007 Structural change; Cointegration (M10)
Social Health insurance Time processes
263026 Regionalisation (E20) 263006 Exchange rate modelling (M10)
Social health insurance Unit Roots
263027 (E25) 263024 Stochastic Models; Cointegration; State
Social Security Space Models; Inflation; Interest Rates; Share
263013 Pensions; Demography; Funding; Savings Market (E20)
(M12; B10) Valuation
263025 Evaluation (E20) 263031 Reset Option (E50; M20)
263042 Survey (E60; E25) 263033 Life insurance contracts (E50)
Stationary distribution Whittaker-Henderson Graduation
263020 Bonus systems; Markov chains; open model; 263005 Parametric Graduation; Non-parametric
closed model (M31; M10) Graduation (M10)
Stochastic Interest rate
263038 Arbitrage free (E51)
Stochastic Models
263024 Unit Roots; Cointegration; State Space
Models; Inflation; Interest Rates; Share Market
(E20)

INOURANGE
MATHEMATICS & ECONOMICS
Insurance: Mathematics and Economics 26 (2000) 333-334
www.elsevier.nl/locate/econbase
Author Index Volume 26
(The issue number is given in front of the page numbers)
Carriere, J.F., Non-parametric confidence Jorgensen, P.L., see Grosen, A. (1) 37-57
intervals of instantaneous forward rates (2-3) 193-202
Cheng, S., H.U. Gerber and E.S.W. Shiu, Lee, K., see Stanford, D.A. (2-3) 251-267
Discounted probabilites and ruin theory
in the compound binomial model (2-3) 239-250 Mack, T. and G. Venter, A comparison of
Cossette, H. and E. Marceau, The stochastic models that reproduce chain
discrete-time risk model with corre- ladder reserve estimates (1) 101-107
lated classes of business (2-3) 133-149 Marceau, E., see Cossette, H. (2-3) 133-149,
Cossette, H., M. Denuit and E. Marceau, (2-3) 213-222
Impact of dependence among multiple Milbrodt, H., Hattendorff’s theorem for
claims in a single loss (2-3) 213-222
non-smooth continuous-time Markov
models. II: Application (1) 1-14
De Vylder, F. and M. Goovaerts, Ho-
mogeneous risk models with equalized Perry, D. and W. Stadje, Risk analysis for
claim amounts (2-3) 223-238 a stochastic cash management model
Denuit, M., see Cossette, H. (2-3) 213-222 with two types of customers (1) 25-36
Denuit, M., Time stochastic s-convexity
of claim processes (2-3) 203-211 Shapiro, A.F. and R.P. Gorman, Imple-
Dhaene, J., see Simon, S. (2-3) 175-183 menting adaptive nonlinear models (2-3) 289-307
Shapiro, A.F., A Hitchhiker’s guide to
England, P.D., see Verrall, R.J. (1) 109-111 the techniques of adaptive nonlinear
models (2-3) 119-132
Gerber, H.U., see Cheng, S. (2-3) 239-250 Shiu, E.S.W., see Cheng, S. (2—3) 239-250
Goovaerts, M.J., see Simon, S. (2-3) 175-183 Siegl, T. and R.F. Tichy, Ruin theory with
Goovaerts, M., see De Vylder, F. (2-3) 223-238 risk proportional to the free reserve and
Gorman, R.P., see Shapiro, A.F. (2-3) 289-307 securitization (1) 59-73
Grandell, J., Simple approximations of Silvestrov, D.S., see Gyllenberg, M. (-} 75-90
ruin probabilities (2-3) 157-173 Simon, S., M.J. Goovaerts and J. Dhaene,
Grosen, A. and P.L. J@rgensen, Fair val- An easy computable upper bound for
uation of life insurance liabilities: The the price of an arithmetic Asian option (2-3) 175-183
impact of interest rate guarantees, sur- Stadje, W., see Perry, D. (1) 25-36
render options, and bonus policies (1) 37-57 Stanford, D.A., K.J. Stroinski and K.
Gyllenberg, M. and D.S. Silvestrov, Lee, Ruin probabilities based at claim
Cramér—Lundberg approximation for instants for some non-Poisson claim
nonlinearly perturbed risk processes (1) 75-90 processes (2-3) 251-267
Stroinski. K.J., see Stanford, D.A. (2-3) 251-267
Hipp, C. and M. Taksar, Stochastic con-
trol for optimal new business (2-3) 185-192 Taksar, M., see Hipp, C. (2-3) 185-192
Elsevier Science B.V.
334 Author Index/Insurance: Mathematics and Economics 26 (2000) 333-334
Tichy, R.F., see Sieg], T. (1) 59-73 Vazquez-Abad, F.J., RPA pathwise deri-
vative estimation of ruin probabilities (2-3) 269-288
Venter, G., see Mack, T. (1) 101-107
Verrall, R.J. and P.D. England, Com- Wang, G. and R. Wu, Some distributions
ments on: “A comparison of stochastic for classical risk process that is Per-
models that reproduce chain ladder re- turbed by diffusion (1) 15-24
serve estimates”, by Mack and Venter Wu, R., see Wang, G., (1) 15-24
(Discussion) (1) 109-111
Verrall, R.J., An _ investigation into Young, V.R., Credibility using semipara-
stochastic claims reserving models and metric models and a loss function with
the chain-ladder technique (1) 91-99 a constancy penalty (2-3) 151-156