August 2008

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 Books | Journals

Books

Trade union membership 2007. - Mercer, Sally; Notley, Richard. - Department for Business Enterprise & Regulatory Reform, 2008. - 53 pages. [No: 38569]

Actuarial education and profession
Conflicts and other legal pitfalls for actuaries. - Institute of Actuaries; Faculty of Actuaries. 2007. [No: 38484]

Designated Professional Body (DPB). - Institute of Actuaries; Faculty of Actuaries. 2008. [No: 38490]

Demography
Human longevity, individual life duration and the growth of the oldest old population. - Robine, Jean-Marie; Crimmins, Eileen M; Horuichi, Shiro; Yi, Zeng. - Springer, 2006. - xv, 442 pages. - ISBN: 9781402048463. [No: 38469]

Living in the 21st century: older people in England - The 2006 English longitudinal study of Ageing . - James Banks; Elizabeth Breeze; Carli Lessof; James Nazroo. - Institute for Fiscal Studies, 2008. - ISBN: 978-1-903274-54-5. [No: 38532]

Mortality and longevity 2008: Making financial sense of the highly uncertain. - Institute of Actuaries; Faculty of Actuaries. 2008. [No: 38476]

Economics and finance
Economics. - Lipsey, Richard G; Chrystal, K Alec. - 11th ed. - Oxford University Press, 2007. - ISBN: 9780199286416. [No: 38530]

Financial economics
Containing systematic risk : the road to reform: The report of the CRMPG III. - CRMPG III; Corrigan, E Gerald. 2008. - 138 pages. [No: 38533]

Derivatives seminar 2007. - Institute of Actuaries; Faculty of Actuaries. 2007. [No: 38473]

General insurance
Current issues in General Insurance 2008. - Institute of Actuaries; Faculty of Actuaries. 2008. [No: 38472]

Insurance company performance 2008: A statistical summary of the top 250 UK insurers: Part 2. - University of Nottingham Insurance Centre. - Thesys Information Ltd, 2008. - 221 pages. [No: 38483]

Health and care insurance
Healthcare conference 2008: Dealing our future... a healthy hand!. - Institute of Actuaries; Faculty of Actuaries. 2008. [No: 38474]

Income protection and critical illness reserving survey: Results and discussion of issues arising. - H&C Reserving Working Party. 2008. [No: 38495]

Medical information and insurance: Joint guidelines from the British Medical Association and the Association of British Insurers. - British Medical Association; Association of British Insurers. - British Medical Association. Association of British Insurers, 2008. - 24 pages. [No: 38554]

Insurance
Market-consistent actuarial valuation. - EAA lecture notes. - Wuthrich, Mario V; Buhlmann, Hans; Furrer, Hansjorg. - Springer-Verlag, 2007. - 120 pages. - ISBN: 978-3540736424. [No: 69357]

Investment
Estimating the volatility of property assets. - ESGI64 working group; Brown, Melvin; Dewynne, Jeff; Fischer, Tom; Howison, Sam; Kulesza, Kamil; Lacey, Andrew; Piwarska, Karina; Wilkie, David; Zyskin, Maxim; Macdonald, Angus. - 18 pages. [No: 38571]

Mathematical asset management. - Hoglund, Thomas. - John Wiley & Sons, 2008. - 222 pages. - ISBN: 9780470232873. [No: 38492]

Life assurance
CILA II. - Institute of Actuaries; Faculty of Actuaries. 2007. [No: 38480]

Current issues in Life Assurance (CILA) 2008. - Institute of Actuaries; Faculty of Actuaries. 2008. [No: 38475]

Highlights of the 2007 Life Convention. - Institute of Actuaries; Faculty of Actuaries. 2007. [No: 38477]

Insurance company performance 2008: A statistical summary of the top 250 UK insurers: Part 2. - University of Nottingham Insurance Centre. - Thesys Information Ltd, 2008. - 221 pages. [No: 38483]

Life convention 2007. - Institute of Actuaries; Faculty of Actuaries. 2007. [No: 38478]

The next big thing: variable annuities and guaranteed minimum benefit options?. - Institute of Actuaries; Faculty of Actuaries. 2007. [No: 38479]

Mathematics
The drunkard's walk: how randomness rules our lives. - Mlodinow, Leonard. - Allen Lane. Penguin books, 2008. - 252 pages. - ISBN: 9780713999228. [No: 38553]

Mathematical asset management. - Hoglund, Thomas. - John Wiley & Sons, 2008. - 222 pages. - ISBN: 9780470232873. [No: 38492]

The tiger that isn't - seeing through a world of numbers. - Blastland, Michael; Dilnot, Andrew. - Profile Books, 2008. - 226 pages. - ISBN: 9781846681110. [No: 38531]

Pensions
Current issues in funding. - Institute of Actuaries; Faculty of Actuaries. 2007. [No: 38489]

Current issues in Pensions (Spring 2008). - Institute of Actuaries; Faculty of Actuaries. 2008. [No: 38485]

Investment strategy for Pensions actuaries. - Institute of Actuaries; Faculty of Actuaries. [No: 38482]

Pension scheme termination - PPF and wind-up. - Institute of Actuaries; Faculty of Actuaries. 2007. [No: 38487]

Pensions convention 2008. - Institute of Actuaries; Faculty of Actuaries. 2008. [No: 38481]

Pensions M&A - views from the inside. - Institute of Actuaries; Faculty of Actuaries. 2007. [No: 38488]

Share options 2007. - Institute of Actuaries; Faculty of Actuaries. 2007. [No: 38486]

Risk management
Concentration Risk in Credit Portfolio. - Lütkebohmert, Eva. - Springer, 2008. - 240 pages. - ISBN: 978-3-540-70869-8. [No: 38491]

Containing systematic risk : the road to reform: The report of the CRMPG III. - CRMPG III; Corrigan, E Gerald. 2008. - 138 pages. [No: 38533]

Encyclopaedia of Quantitative Risk Analysis and Assessment. - Melnick, Edward; Everitt, Brian. - John Wiley & Sons, 2008. - 1954 pages. - ISBN: 9780470035498. - 4 vols. [No: 38534]

Journals

Actuarial Research Clearing House (ARCH), vol. 1 (2008)

• Analysis of a Threshold Strategy in the Discrete–time Sparre Andersen Model. - Mera, A. [No: 38561]
• An Approach to Valuing Guaranteed Minimum Income Benefit Riders [abstract only] - Marshall, C; Saunders, D. [No: 38522]
• A Bayesian Two–Part Predictive Model for Health Care Costs Using Individual–level Data [abstract only] - Rosenberg, M. [No: 38540]
• Bounds for Ruin Probabilities and Value at Risk. - Cox, S; Lin, Y; Tian, R; Zuluaga, L. [No: 38562]
• Claims Prediction Model and the Simulation of Health Savings Account (HSA) Performance. - Kane, V. [No: 38542]
• Comparison of a Simple Bayesian Reserving Model with Traditional Methods [abstract only] - Perez–Camarillo, Yessica. [No: 38563]
• Competing Risks Model for Corporate Exit Analysis: Discrete Hazard Model and Extension with Stochastic Frailties [abstract only] - Bae, T; Kulperger, R J. [No: 38523]
• The Cost Control on a DB Underpin Hybrid Pension Plan [abstract only] - Chen, K; Hardy, M. [No: 38558]
• Death of an Annuity Market Foretold [abstract only] - Perez Villasana, A; Sinha, T. [No: 38549]
• Disability Causes and Their Effect in the Mortality of Disables Annuitants in Mexico [abstract only] - Sinha, T; Yanez, A. [No: 38550]
• Economic Capital and Regulation of Banks and Insurers [abstract only] - Yang, M. [No: 38524]
• Enhancing Insurer Value Using Reinsurance and Value–at–Risk Criterion [abstract only] - Tan, K S; Weng, C. [No: 38564]
• Fixing Social Security and Medical Care [abstract only] - Lang, A. [No: 38551]
• Fourier Inversion Formulas in Option Pricing and Insurance [abstract only] - Dufresne, D; Garrido, J; Morales, M. [No: 38525]
• Fuzzy Clustering Study on the Structure of Insurance Policies [abstract only] - Kou, Y. [No: 38537]
• Fuzzy Random Variables. - Shapiro, A. [No: 38538]
• Generalized Gerber–Shiu Function in Piecewise–deterministic Markov Processes [abstract only] - Feng, R. [No: 38565]
• Implementation of Markov Approach to Joint Life Mortality [abstract only] - Ji, M. [No: 38546]
• Knowledge or skills.. or both? (abstract only) - Shepherd, J. [No: 38494]
• Metrics for Matches, Mismatches and Non–Matches [abstract only] - Herzog, T. [No: 38566]
• Mitigating the Impact of Endogeneity in Healthcare Data via Multilevel Models [abstract only] - Johnson, P. [No: 38543]
• Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization. - Chen, H; Cox, S. [No: 38547]
• Modeling the Cumulative Cases from SARS. - Chen, R; Wang, P. [No: 38544]
• Modeling Treatment Costs Associated with a Multi–stage Pandemic. - Ekhaus, M. [No: 38545]
• Moments of a Regime–Switching Stochastic Interest Rate Model with Randomized Regimes. - Bridgeman, J. [No: 38526]
• Mortality Modelling Using Projection Pursuit Regression [abstract only] - Craighead, S; Edwalds, T. [No: 38548]
• Negative Effects of the GIS Clawback and Possible Solutions. - Chisholm, D. [No: 38552]
• New Iterative Calculation of American–style Derivatives–A Lower Approximation of the Snell Envelope [abstract only] - Zhu, D. [No: 38527]
• A Nonpararmetric Test for Comparing the Riskiness of Portfolios [abstract only] - Brazauskas, V. [No: 38559]
• On Pricing and Hedging the No–Negative–Equity–Guarantee in Equity Release Mechanisms [abstract only] - Hardy, M; Li, S H; Tan, K S. [No: 38555]
• On the Application of Wilkie's Models to TSX Price Index. - Qiu, C. [No: 38528]
• On the Regulator–Insurer Interaction in a Structural Model. - Bernard, C; Chen, A. [No: 38567]
• An Option–based Operational Risk Management on Pandemics. - Chen, H; Cox, S. [No: 38541]
• Portfolio Risk Management with CVaR–like Constraints. - Cox, S; Lin, Y; Tian, R; Zuluaga, L. [No: 38529]
• Possibilistic Modeling for Loss Distribution and Premium Calculation. - Guo, L; Huang, Z. [No: 38539]
• Quantitative Risk Measures of Individual Life Settlement Purchases [abstract only] - Gupta, S. [No: 38535]
• A Risk Model When Premium Rate Depends on Claim Size [abstract only] - Cai, J; Zhou, M. [No: 38560]
• Salary Profiles of Affiliates of Pension Funds [abstract only] - Sinha, T. [No: 38556]
• Stochastic Life Annuities [abstract only] - Dufresne, D. [No: 38557]
• Stochastic Modeling - A Research Experience for Undergraduates. - Gorvett, R. [No: 38520]
• Subexponential Tail of Discounted Aggregate Claims. - Hao, X; Tang, Q. [No: 38568]
• Underwriting Cycle and Ruin Probability. - Jones, Bruce; Ren, Jiandong. [No: 38493]
• Using Actuar in Teaching: Case Studies [abstract only] - Goulet, V. [No: 38521]
• Valuation of Equity–Linked Insurance Using Risk Measures [abstract only] - Gaillardetz, P. [No: 38536]

Applied Mathematical Finance, vol. 15 (3) (2008)

• Empirical Evaluation of Hybrid Defaultable Bond Pricing Models. - Antes, S; Ilg, M; Schmid, B; Zagst, R. [No: 38581]
• Finite-dimensional Realizations of Regime-switching HJM Models. - Elhouar, Mikael. [No: 38585]
• General Lower Bounds for Arithmetic Asian Option Prices. - Albrecher, H; Mayer, P A; Schoutens, W. [No: 38577]
• Hedging Large Portfolios of Options in Discrete Time. - Peeters, B; Dert, C L; Lucas, A. [No: 38582]
• Market Influence of Portfolio Optimizers. - Nayak, Suhas; Papanicolaou, George. [No: 38573]
• Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing. - Zapranis, A; Alexandridis, A. [No: 38586]
• Multiscale Intensity Models for Single Name Credit Derivatives. - Papageorgiou, E; Sircar, R. [No: 38575]
• Pricing Options on Defaultable Stocks. - Bayraktar, E. [No: 38583]
• Return and Value at Risk using the Dirichlet Process. - Zarepour, Mahmoud; Bedard, Theirry; Dabrowski, Andre R. [No: 38580]
• Risk-based Decisions on the Asset Structure of a Bank under Partial Economic Information. - Halaj, Grzegorz. [No: 38584]
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree. - Florescu, Ionut; Viens, Frederi G. [No: 38578]
• A Structural Model with Unobserved Default Boundary. - Schmidt, Thorsten; Novikov, Alexander. [No: 38579]
• Two Exotic Lookback Options. - Bermin, Hans-Peter; Buchen, Peter; Konstandatos, Otto. [No: 38587]
• Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives. - Nomikos, NK; Soldatos, O. [No: 38574]
• Valuation of Performance-Dependent Options. - Gerstner, Thomas; Holtz, Markus. [No: 38572]
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. - Ninomiya, Syoiti; Victoir, Nicolas. [No: 38576]

Economic Affairs, vol. 28 (1) (2008)

• Economic Affairs. New perspectives on the economics and politics of ageing. [No: 38570]

Financial Analysts Journal, vol. 64, 4 (July/Aug) (2008)

• Buy-Side vs. Sell-Side Analysts’ Earnings Forecasts. - Groysberg, Boris; Healy, Paul; Chapman, Craig. [No: 38497]
• How Variation in Signal Quality Affects Performance. - Ye, Jia. [No: 38499]
• Long-Term Impact of Russell 2000 Index Rebalancing. - Cai, Jie; Houge, Todd. [No: 384501]
• Stock Repurchases and the EPS Enhancement Fallacy. - Oded, Jacob; Michel, Allen. [No: 38500]
• Systemic Credit Risk: What Is the Market Telling Us? - Bhansali, Vineer; Gingrich, Robert; Longstaff, Francis A. [No: 38496]
• Valuing Illiquid Common Stock. - Dyl, Edward A; Jiang, George J. [No: 38498]

Insurance: Mathematics & Economics, vol. 43 (1) (2008)

• The effect of modelling parameters on the value of GMWB guarantees. - Chen, Z; Vetzal, K; Forsyth, P A. [No: 38517]
• Enhanced annuities and the impact of individual underwriting on an insurer’s profit situation. - Hoermann, Gudrun; Russ, Jochen. [No: 38515]
• Fitting mixed-effects models when data are left truncated. - Paulsen, Jostein; Lunde, Astrid; Skaug, Hans Julius. [No: 38513]
• GARCH option pricing: A semiparametric approach. - Badescu, Alexandry M; Kulperger, Reg J. [No: 38507]
• Heath–Jarrow–Morton modelling of longevity bonds and the risk minimization of life insurance portfolios. - Barbarin, Jérôme. [No: 38505]
• The impact of illiquidity on the asset management of insurance companies. - Berry-Stölzle, Thomas R. [No: 38502]
• On option pricing under a completely random measure via a generalized Esscher transform. - Lau, John W; Siu, Tak Kuen. [No: 38510]
• Optimal consumption and portfolio choice for pooled annuity funds. - Stamos, Michael Z. [No: 38506]
• Optimal dividend strategies for a risk process under force of interest. - Albrecher, Hansjörg; Thonhauser, Stefan. [No: 38514]
• Optimal investment and life insurance strategies under minimum and maximum constraints. - Nielsen, Peter Holm; Steffensen, Mogens. [No: 38503]
• Optimal reinsurance under VaR and CTE risk measures. - Cai, Jun; Tan, Ken Seng; Weng, Chengguo; Zhang, Yi. [No: 38519]
• Quadratic stochastic intensity and prospective mortality tables. - Gourieroux, C; Monfort, A. [No: 38518]
• Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment. - Zaglauer, Katharina; Bauer, Daniel. [No: 38504]
• Tail asymptotic results for elliptical distributions. - Hashorva, Enkelejd. [No: 38516]
• Tails of random sums of a heavy-tailed number of light-tailed terms. - Robert, Christian Y; Segers, Johan. [No: 38508]
• Threshold control of mutual insurance with limited commitment. - Yan, Jia; Liu, John J; Li, Kevin X. [No: 38511]
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails. - Hao, Xuemiao; Tang, Qihe. [No: 38512]
• Worst allocations of policy limits and deductibles. - Hua, Lei; Cheung, Ka Chun. [No: 385059]

Journal of Risk and Insurance, vol. 75 (3) (2008)

• Age and Gender Effects on Auto Liability Insurance Payouts. - Doerpinghaus, Helen I; Schmit, Joan T; Jia-Hsing Ye, Jason. [No: 38588]
• APRA's Expert Judgment Ratings and Solvency Cover of Australian General Insurers. - Sharpe, Ian G; Stadnik, Andrei. [No: 38591]
• Assessing the Risk Potential of Premium Payment Options in Participating Life Insurance Contracts. - Gatzert, Nadine; Schmeiser, Hato. [No: 38595]
• An Empirical Analysis of the Effects of Increasing Deductibles on Moral Hazard. - Wang, Jennifer L; Chung, Chin-Fan; Tzeng, Larry Y. [No: 38589]
• Empirical Risk Analysis of Pension Insurance: The Case of Germany. - Gerke, Wolfgang; Mager, Ferdinand; Reinschmidt, Timo; Schmieder, Christian. [No: 38598]
• Income Drawdown Schemes for a Defined-Contribution Pension Plan. - Emms, Paul; Haberman, Steven. [No: 38597]
• Integrating Neural Networks for Risk-Adjustment Models. - Hsu, Shuofen; Lin, Chaohsin; Yang, Yaling. [No: 38592]
• An Investigation Into the Diversification–Performance Relationship in the U.S. Property–Liability Insurance Industry. - Elango, B; Ma, Yu-Luen; Pope, Nat. [No: 38590]
• Issues in Claims Reserving and Credibility: A Semiparametric Approach With Mixed Models. - Antonio, Katrien; Beirlant, Jan. [No: 38593]
• Managerial Career Concerns and Risk Management. - Nam, Jouahn; Wang, Jun; Zhang, Ge. [No: 38599]
• Racial Differences in the Demand for Life Insurance. - Gutter, Michael S; Hatcher, Charles B. [No: 38594]
• Survival Analysis of a Household Portfolio of Insurance Policies: How Much Time Do You Have to Stop Total Customer Defection? - Brockett, Patric L; Golden, Linda L; Guillen, Montserrat; NIELSEN, Jens Perch; Parner, Jan; Perez-Martin, Ana Maria. [No: 38596]