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BAB - EAJ

The Belgian Actuarial Bulletin (BAB, in short) is an official publication of the Belgian Society of Actuaries (KVBA-ARAB). It provides a medium for the publication of works in the area of actuarial science. The aim of the BAB is to publish articles pertaining to the art and/or sciences involved in contemporary actuarial practice.
Its editorial policy is set and implemented by the editorial board on the advice of an Editorial Advisory Panel, membership of which includes researchers of international standing in actuarial and related fields, as well as members of the Belgian Actuarial Society who have experience in research.

In considering papers for publication, the field of actuarial science has to be interpreted in a broad sense: papers written from any quantitative point of view - whether actuarial, statistical, financial, mathematical - attacking relevant theoretical and applied insurance problems are welcome. Criteria for acceptance include potential interest for the actuarial community, high quality, novelty and clarity of presentation. The BAB welcomes submissions providing new ideas or techniques, articles improving existing ones as well as survey papers of pedagogical nature. Useful introduction or reviews of subjects new to many actuaries, or useful descriptions of present practice or possible future practice are appreciated. Such introductions, reviews or descriptions should be couched in language accessible to actuaries.

Another goal of the BAB is to improve communication between the practicing and academic actuarial communities. The BAB aims to stimulate cooperation between those who carry out research in insurance techniques (whether actuaries or non-actuaries) and practicing actuaries who are interested in the implementation of the results. The BAB also provides a forum for the presentation and discussion of ideas, issues and methods of interest to actuaries. Students in actuarial science are invited to submit interesting results obtained in their master thesis, especially those who won the KVBA-ARAB Annual Prize.

Opinions expressed in the BAB are those of the authors and do not necessarily reflect those of the KVBA-ARAB nor of its Directorial Board. Neither the KVBA-ARAB nor the editors are responsible for the statements made or opinions expressed in the articles, criticisms and discussions published in the BAB.

ISSN 1784-5750 (online), 1784-5742 (printed) 

Link www.belgianactuarialbulletin.be

The European Actuarial Journal (EAJ) is the result of the merge of the Actuarial Bulletin with five other national actuarial journals. Combining the scope and impact of six national actuarial journals the EAJ publishes research articles and survey articles as well as papers engaging the mutual transfer between research and practical applications. Coverage includes such topics in classical actuarial mathematics as life and non-life insurance, pension funds and reinsurance, along with more recent areas of interest such as risk management, asset-and-liability management, solvency, catastrophe modeling, systematic changes in risk parameters, longevity, and more. The successor to six national actuarial journals, EAJ focuses on theory and methods for applications in insurance and finance.

Link to the European Actuarial Journal (EAJ) :  http://www.springer.com/mathematics/quantitative+finance/journal/13385

BAB contents

Volume 9 (2010)

9.1. Capital Allocation for Insurance Companies: Issues and Methods
Jens Perch Nielsen, Rolf Poulsen and Paul Mumford
9.2. Solvency Risk Capital for the Short and Long Term: Probabilistic versus Stability Criterion
Werner Hürlimann
9.3. Buy-and-Hold Strategies and Comonotonic Approximations
Jesús Marín-Solano, Oriol Roch, Jan Dhaene, Carmen Ribas, Manuela Bosch-Príncep and Steven Vanduffel
9.4. How They Can Jump Together: Multivariate Lévy Processes and Option pricing
Griselda Deelstra and Alexandre Petkovic
9.5. Impairment Estimates of Equity Portfolios Represented by Model Points
Christoph Bennemann and Carsten Hennig

Volume 8 (2008)

8.1. On quantitative risk measures of life settlement investments
Shamita Dutta Gupta
8.2. Mortality risk via affine stochastic intensities: calibration and empirical relevance
Elisa Luciano and Elena Vigna
8.3. Cause-deleted life expectancy improvement in the presence of left and right censoring
Peter Adamic
8.4. Construction d'une méthode spécifique d'indexation des contrats privés d'assurance maladie
Pierre Devolder and Benoît-Laurent Yerna
8.5. An overview on solvency supervision, regulations and prediction of insolvency
Georgios Pitselis
8.6. A critical note on MCEV calculations used in the life insurance industry
Fabian Suarez and Steven Vanduffel

Volume 7 (2007)

7.1. Benchmark rates for XL reinsurance revisited: model comparison for the Swiss MTPL market
Werner Hürlimann
7.2. Estimating the cost of variable annuity guaranteed minimum withdrawal benefit
Shamita Dutta Gupta

7.3. Greatest accuracy credibility with dynamic heterogeneity: the Harvey-Fernandes model
Catalina Bolancé, Michel Denuit, Montserrat Guillén and Philippe Lambert

7.4. Greatest accuracy beyond correlations: the use and abuse of copulas in economic capital calculations
Andrew Chernih, Mateusz Maj and Steven Vanduffel
7.5. Modeling equity impairments
Nicholas Batens
7.6. Réforme du régime Belge de pension légale basée sur la longévité
Pierre Devolder and Xavier Maréchal
7.7. Financial pricing and actuarial reserving
Bangwon Ko and Elias S. W. Shiu
7.8. Ruin probability in a threshold insurance risk model
Isaac K. M. Kwan and Hailiang Yang

Volume 6 (2006)

6.1. Shifts in interest rate and common shock model for coupled lives
Michel Denuit, Esther Frostig and Benny Levikson
6.2. Two binomial methods for evaluating the aggregate claims distribution in De Pril's individual risk model
Bjorn Sundt and Raluca Vernic
6.3. Economic value added optimization for insurers using a multivariate student-t model
K. D'haeseleer, S. Desmedt and J.F. Walhin
6.4. Heterogeneity in survival models. Applications to pensions and life annuities
Annamaria Olivieri
6.5. The annuity puzzle revisited: A deterministic version with Lagrangian methods
Pierre Devolder and Donatien Hainaut
6.6. On the Schuette-Nesbitt paradox
Nariankadu D. Shyamalkumar
6.7. Application of the Poisson log-bilinear projection model to the G5 mortality experience
Antoine Delwarde, Michel Denuit, Montserrat Guillén and Antoni Vidiella-i-Anguera

Volume 5 (2005)

5.1. Call for papers
Editorial board
5.2. Third Brazilian conference on statistical modelling in insurance and finance - Call for papers
Nikolai Kolev
5.3. Simulation de trajectoires de processus continus
F. Planchet and P.-E. Thérond
5.4. Aggregating economic capital
J. Dhaene, M. Goovaerts, M. Lundin and S. Vanduffel
5.5. Tail conditional variance for elliptically contoured distributions
E. A. Valdez
5.6. Basel II: Capital requirements for equity investment portfolios
F. Suarez, J. Dhaene, L. Henrard and S. Vanduffel
5.7. Approximate bounds for the IBNR claims reserves based on the bivariate chain-ladder model
W. Hürlimann
5.8. Discussion section
Editorial board
5.9. A liability driven approach to asset allocation
Xinliang Chen, Jan Dhaene, Marc Goovaerts and Steven Vanduffel
5.10. Is het discrimineren van verzekerden discriminatie?
J. Dhaene and S. Vanduffel
5.11. Is one euro of actuaries worth the same as one euro of financial economists?
J. Dhaene, Luc Henrard and S. Vanduffel

Volume 4 (2004)

4.1. Some useful counterexamples regarding comonotonicity
Rob Kaas, Marc Goovaerts and Qihe Tang
4.2. The bequest motive and single people's demand for life annuities
Carlos Vidal-Meliá and Ana Lejárraga-García
4.3. A note on testing parameters of Frank's copula models
Renato Assunção
4.4. Une proposition de tables prospectives pour le marché belge des rentes
Corinne Magis, Michel Denuit and Jean-François Walhin
4.5. De Vylder's robust nonlinear regression credibility
Georgios Pitselis
4.6. Sarmanov distribution class for dependent risks and its applications
Fatih Tank and Omer L. Gebizlioglu
4.7. Capital requirements, risk measures and comonotonicity
Jan Dhaene, Steven Vanduffel, Qihe Tang, Marc Goovaerts, Rob Kaas and David Vyncke
4.8. Linear credibility models based on time series for claim counts
Oana Purcaru, Montserrat Guillén and Michel Denuit

Volume 3 (2003)

3.1.Importance de la période d'observation et des âges considérés dans la projection de la mortalité selon la méthode de Lee-Carter
A. Delwarde and M. Denuit
3.2. Simple characterizations of comonotonicity and countermonotonicity by extremal correlations
Michel Denuit and Jan Dhaene
3.3. Modèle discret d'options sur risques catastrophique
Antonio Alegre Escolano, Pierre Devolder and Maria José Pérez Fructuoso
3.4. Analysis of bivariate tail dependence using extreme value copulas: An application to the SOA medical large claims database
Ana C. Cebrián, Michel Denuit and Philippe Lambert
3.5. The European single insurance market: Overview and impact of the liberalization and deregulation processes
Maciej Sterzynski, LL.M.
3.6. On the computation of the capital multiplier in the Fortis Credit Economic Capital model
Jan Dhaene, Steven Vanduffel, Marc Goovaerts, Ruben Olieslagers and Robert Koch
3.7. Fitting the Belgian bonus-malus system
S. Pitrebois, M. Denuit and J.F. Walhin

Volume 2 (2002)

2.1. A general family of overdispersed probability laws
J.F. Walhin and J. Paris
2.2. Une amélioration de l'algorithme des échéances moyennes de C. Jaumain à partir du théorème d'immunisation de Fisher-Weil
Pierre Ars and José Paris
2.3. Premium systems for post-retirement sickness covers
Annamaria Olivieri and Ermanno Pitacco
2.4. Risque de longévité et rentes viagères: I. Evolution de la mortalité en Belgique de 1880 à nos jours
Natacha Brouhns and Michel Denuit
2.5. Risque de longévité et rentes viagères: II. Tables de mortalité prospectives pour la population belge
Natacha Brouhns and Michel Denuit
2.6. Risque de longévité et rentes viagères: III. Elaboration de tables de mortalité prospectives pour la population assurée belge, et évaluation du coût de l'antisélection
Natacha Brouhns and Michel Denuit
2.7. On the dependence induced by frequency credibility models
Oana Purcaru and Michel Denuit
2.8. Risk analysis in asset-liability management for pension fund
Manuela Bosch-Príncep, Pierre Devolder and Inmaculada Domínguez-Fabián
2.9. On the optimality of multiline excess of loss covers
J.F. Walhin

Volume 1 (2001)

1.1. Presidential address
Jean-Michel Kupper
1.2. Why do females live longer than males?
Jean Lemaire
1.3. Les univers virtuels de la finance
Pierre Devolder
1.4. Measuring the impact of a dependence among insured lifelengths
Michel Denuit, Jan Dhaene, Céline Le Bailly de Tilleghem and Stéphanie Teghem
1.5. The practical pricing of excess of loss treaties: actuarial, financial, economic and commercial aspects
J.-F. Walhin, L. Herfurth and P. De Longueville

1.6. Some remarks on IBNR evaluation techniques
M.J. Goovaerts, J. Dhaene, E. Vanden Borre and H. Redant

 

 

 
 
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