AAS current issue

Annals of Actuarial Science Volume 7 Part 1 (2013) focusing on Enterprise Risk Management (ERM)

Edited by Alexander McNeil, Department of Actuarial Mathematics and Statistics, Heriot-Watt University Edinburgh and Maxwell Institute for Mathematical Science

Contents

Editorial. Enterprise Risk Management. Alexander J. McNeil

Papers

Dependence modelling in multivariate claims run-off triangles. Michael Merz, Mario V. Wüthrich, Enkelejd Hashorva

Diversification in heavy-tailed portfolios: properties and pitfalls. Georg Mainik, Paul Embrechts

Economic capital modelling for the MTPL man-made catastrophe risk. Werner Hürlimann

A scaling model for severity of operational losses using generalized additive models for location scale and shape (GAMLSS). Amandha Ganegoda, John Evans

Other matters

Abstracts of papers from actuarial journals worldwide

Book reviews

9 books are reviewed in this issue on: Financial enterprise risk management; Bank and insurance capital management; Solvency II handbook; Executive's guide to Solvency II; Stress testing for financial institutions; Enterprise risk management; Counterparty credit risk; Managing business risk; Quantitative operation risk models