October 2008

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 Books | Journals

Books

Actuarial education and profession
Charting the frontier between Actuarial Science and Mathematical Finance. - Jacka, Saul D; Sandoval, Marcos A Perez. 2000. [No: 38664]

Demography
The Grim Reaper's road map: An atlas of mortality in Britain. - Shaw, Mary; Thomas, Bethan; Smith, George Davey; Dorling, Daniel. - Policy Press, 2008. - 272 pages. - ISBN: 9781861348234. [No: 38672]

Scoping mortality research (report of the Mortality research steering group): A discussion paper. - MacDonald, C. 2008. [No: 38636]

Economics and finance
The ascent of money : a financial history of the world. - Ferguson, Niall. - Allen Lane, 2008. - 442 pages. - ISBN: 9781846141065. [No: 38678]

Concentration Risk in Credit Portfolio. - EAA Lecture Notes. - Lütkebohmert, Eva. - Springer, 2008. - 225 pages. - ISBN: 978-3-540-70869-8. [No: 38491]

Financial economics
Charting the frontier between Actuarial Science and Mathematical Finance. - Jacka, Saul D; Sandoval, Marcos A Perez. 2000. [No: 38664]

General insurance
Revised statement of principles on the provision of flood insurance. - Association of British Insurers. [No: 38693]

Insurance
A simple model of insurance market dynamics. - Centre for Actuarial Studies, University of Melbourne, Research Paper no. 167. - Taylor, Greg C. - University of Melbourne, 2008. - 33 pages. [No: 69383]

Mathematics
Charting the frontier between Actuarial Science and Mathematical Finance. - Jacka, Saul D; Sandoval, Marcos A Perez. 2000. [No: 38664]

Concentration Risk in Credit Portfolio. - EAA Lecture Notes. - Lütkebohmert, Eva. - Springer, 2008. - 225 pages. - ISBN: 978-3-540-70869-8. [No: 38491]

Finite time ruin problems for the Erlin(2) risk model. - Centre for Actuarial Studies, University of Melbourne, Research Paper no. 168. - Dickson, David C M; Li, Shuanming. - University of Melbourne, 2008. - 21 pages. - ISBN: 978 0 7340. [No: 69384]

Journals

Financial Analysts Journal, vol. 64, 5 (Sept/Oct) (2008)

• The Accruals Anomaly and Company Size. - Palmon, Dan; Sudit, Ephraim F; Yezegel, Ari. [No: 38704]
• Accruals, Capital Investments, and Stock Returns. - Wei, K C John; Xie, Feixue. [No: 38703]
• Do Professional Currency Managers Beat the Benchmark? - Pojarliev, Momtchil; Levich, Richard M. [No: 38701]
• Do Professional Currency Managers Beat the Benchmark? - Pojarliev, Momtchil; Levich, Richard M. [No: 38702]
• Employee Stock Option Valuation with an Early Exercise Boundary. - Brisley, Neil; Anderson, Chris K. [No: 38707]
• Long-Term Price Effect of S&P 500 Addition and Earnings Quality. - Platikanova, Petya. [No: 38705]
• Pre-Issue Investor Optimism and Post-Issue Underperformance. - Yi, Bingsheng; El-Badawi, Mohamed H; Lin, Barry. [No: 38706]
  

Insurance: Mathematics & Economics, vol. 43 (2) (2008)

• Actuarial comparisons for aggregate claims with randomly right- truncated claims. - Escudero, Laureano F; Ortega, Eva-Maria. [No: 38684]
• Asset proportions in optimal portfolios with dependent default risks. - Chen, Zijin; Hu, Taizhong. [No: 38680]
• Bayesian modelling of financial guarantee insurance. - Puustelli, Anne; Koskinen, Lasse; Luoma, Arto. [No: 38683]
• Edgeworth expansion for an estimator of the adjustment coefficient. - Brito, Margarida; Freitas, Ana Cristina Moreira. [No: 38675]
• Modelling stochastic mortality for dependent lives. - Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena. [No: 38682]
• On the link between credibility and frequency premium. - Bolancé, Catalina; Guillen, Montserrat; Pinquet, Jean. [No: 38676]
• Optimal dividend strategies in a Cramér–Lundberg model with capital injections. - Kulenko, Natalie; Schmidli, Hanspeter. [No: 38686]
• Optimal dividends with incomplete information in the dual model. - Gerber, Hans U; Smith, Nathaniel. [No: 38681]
• Pricing of catastrophe insurance options written on a loss index with reestimation. - Biagini, Francesca; Bregman, Yuliya; Meyer- Brandis, Thilo. [No: 38677]
• Tail bounds for the distribution of the deficit in the renewal risk model. - Psarrakos, Georgios. [No: 38674]
• Weighted risk capital allocations. - Furman, Edward; Zitikis, Ricardas. [No: 38685]
  

International Social Security Review, vol. 61 (4) (2008)

• (A-)typical and (in-)secure? Social protection and "non-standard" forms of employment in Europe. - Buschoff, Karin Schulze; Protsch, Paula. [No: 38689]
• Between labour market and retirement pension — flexible transition as a new paradigm for ageing societies? - Bredt, Stephan. [No: 38691]
• Disability benefits and workers with HIV/AIDS: Coverage issues and challenges in the United Republic of Tanzania. - Ackson, Tulia. [No: 38690]
• Notional defined contribution pensions with public reserve funds in ageing economies: An application to Japan. - Lu, Bei; Mitchell, Olivia S; Piggott, John. [No: 38687]
• Participation of seniors in the Argentinian labour market: An option value model. - Alos, Marcelo; Apella, Ignacio; Grushka, Carlos; Muinos, Marcelo. [No: 38688]
  

Journal of Asset Management, vol. 9 (4) (2008)

• Abnormal returns with momentum/contrarian strategies using exchange- traded funds. - Jong, Kack J de (Jr); Rhee, S Ghon. [No: 38699]
• A cross-sectional analysis of Malaysian unit trust fund expense ratios. - Low, Soo-Wah. [No: 38697]
• Do the common risk factors always capture strong variation in stock returns? - Simlai, Pradosh. [No: 38695]
• Fundamental indexation: An active value strategy in disguise. - Blitz, David; Swinkels, Laurens. [No: 38696]
• How many independent bets are there? - Polakow, Daniel; Gebbie, Tim. [No: 38698]
• Who profits from trading around earnings announcements? Evidence from TORQ data. - Dey, Malay K; Radhakrishna, B. [No: 38700]
  

Journal of Financial Regulation and Compliance, vol. 16 (1) (2008)

• The sub-prime crisis, the credit squeeze and Northern Rock: the lessons to be learned. - Hall, Maximilian JB. [No: 38708]
  

Journal of Pension Economics & Finance, vol. 7 (3) (2008)

• Footnotes aren't enough: the impact of pension accounting on stock values. - Coronado, Julia; Mitchell, Olivia S; Sharpe, Steven A; Nesbitt, S Blake. [No: 38709]
• Managing public investment funds: best practices and new questions. - Mitchell, Olivia S; Piggott, John; Kumru, Cagri. [No: 38712]
• Saving incentives, old-age provision and displacement effects: evidence from the recent German pension reform. - BÖRSCH-SUPAN, Axel; Reil-Held, Anette; Schunk, Daniel. [No: 38711]
• Valuation of pension liabilities in incomplete markets. - De Jong, Frank. [No: 38710]
  

Pensions: An International Journal, vol. 13 (3) (2008)

• Book review: Dutch pension funds: fiduciary duties and investing. - Ellison, Robin. [No: 69392]
• Book review: Pension fund governance: a global perspective on financial regulation. - Ellison, Robin. [No: 69393]
• By how much can a diversified approach to investing improve the prospects of reducing a DB pension deficit? - Brigden, Andrew; Clare, Andrew; Dhar, Shamik. [No: 69387]
• Calculating the costs of a pension plan. - Kune, Jan B. [No: 69388]
• The effects of age and income on retirement decisions: a comparative analysis between Italy and the UK. - Gough, Orla; Adami, Roberta; Waters, James. [No: 69390]
• Job matching, unexpected obligations and retirement decisions. - Centeno, Maria de Lourdes; Correa, Marcio V. [No: 69389]
• Making ends meet: target date investment funds and retirement wealth creation. - Lewis, Nigel D. [No: 69386]
• Modelling individual benefit in a contributory pension system in a developing economy: analysis of Nigeria's experience. - Ibiwoye, Ade. [No: 69391]
• Time to revisit caveat emptor? What has regulation ever done for us? - Ellison, Robin. [No: 69385]
  

Scandinavian Actuarial Journal, vol. 2-3 (2008)

• The evolution of death rates and life expectancy in Denmark. - Jarner, Soeren Fiig; Kryger, Esben Masotti; Dengsoe, Chresten. [No: 38715]
• Modelling and management of mortality risk : a review. - Cairns, Andrew J G; Blake, David; Dowd, Kevin. [No: 38713]
• Mortality among Swedish insured. - Samuelsson, Ellinor. [No: 38717]
• On systematic mortality risk and risk-minimization with survivor swaps. - Dahl, Mikkel; Melchior, Martin; Moeller, Thomas. [No: 38714]
• Reference mortality K2004 of personal life insurance policies in Finland. - Makinen, Mika. [No: 38716]