New additions to the Actuarial Profession's Libraries, January 2012

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Books | Journals

Books

Actuarial education and profession

The essence of professionalism: Managing conflicts of interest. - Harvard Business School Working Paper. - Nanda, Ashish. - Harvard Business School, 2003. - 14 pages. [No: 73749] 

The influential actuary: how actuaries and other technically-oriented professionals set themselves apart. - Miller, David C. - Actex Publications, 2010. - vi, 247 pages. - ISBN: 978-1-56698-761-5. [No: 44518]

Who is a professional?. - Harvard Business School Working Paper. - Nanda, Ashish. - Harvard Business School, 2005. - 9 pages. [No: 73750]

Banking ; Economics and finance

Assessing the economy-wide effects of quantitative easing. - Bank of England Working Paper no. 443. - Kapetanios, George; Mumtaz, Haroon; Stevens, Ibrahim; Theodoridis, Konstantinos. - Bank of England, 2012. - 45 pages. - ISBN: 1749-9135. [No: 74913]

Asset purchase policy at the effective lower bound for interest rates. - Bank of England Working Paper no. 444. - Harrison, Richard. - Bank of England, 2012. - 55 pages. - ISBN: 1749-9135. [No: 74914]

Does macropru leak? Evidence from a UK policy experiment. - Bank of England Working Paper no. 445. - Aiyar, Shekhar; Calomiris, Charles W; Wieladek, Tomasz. - Bank of England, 2012. - 45 pages. - ISBN: 1749-9135. [No: 74916]

An estimated DSGE model: Explaining variation in term premia. - Bank of England Working Paper no. 441. - Andreasen, Martin M. - Bank of England, 2011. - 54 pages. - ISBN: 1749-9135. [No: 74911]  

The impact of QE on the UK economy - some supportive monetarist arithmetic. - Bank of England Working Paper no. 442. - Bridges, Jonathan; Thomas, Ryland. - Bank of England, 2012. - 52 pages. - ISBN: 1749-9135. [No: 74912]

Business and Management
Just business: business ethics in action. - Sternberg, Elaine. - 2nd ed. - Oxford University Press, 2000. - 302 pages. - ISBN: 9780198296638. [No: 74792]

Investment

Credit Derivatives & Synthetic Structures: A guide to instruments and applications. - Tavakoli, Janet. - 2nd ed. - Wiley, 2001. - 312 pages. - ISBN: 047141266X. [No: 74791]

Life assurance

Life insurance business in Japan 2010-11. - Life Insurance Association of Japan. - Life Insurance Association of Japan, 2011. - 39 pages. [No: 12557]

Mathematics

Maths 1001. - Elwes, Richard. - Quercus, 2010. - 415 pages. - ISBN: 978-1-84866-063-2. [No: 44530]

Pensions

Meeting defined benefit pension obligations: measurement, risk and flight paths. - Clacher, Iain; Hatchett, Jon; Hurd, Marcus. - Institute and Faculty of Actuaries, 2012. - 45 pages. [No: 44529]

Pensions pocket book 2012. - Hewitt Associates. - Economic and Financial Publishing Ltd. Hewitt Associates. Aon Consulting, 2010. - 288 pages. - ISBN: 978-09567104-1-3. [No: 9731]

Risk management

Risk and precaution. - Randall, Alan. - 1st ed. - Cambridge University Press, 2011. - xvii, 260 p. pages. - ISBN: 9780521759199. [No: 45567]

Statistics and operational research
The future of statistics in our schools and colleges. - Porkess, Roger. - Royal Statistical Society; The Actuarial Profession, 2012. - 75 pages. [No: 45557]

Journals

Annals of Actuarial Science, vol. 6 (1) (2012)

• An analysis of stock market volatility. - Adams, Andrew; Armitage, Seth; Fitzgerald, Adrian. [No: 45565]
• Catastrophes and Insurance Stocks – A Benchmarking Approach for Measuring Efficiency. - West, Jason. [No: 45563]
• Causes of defined benefit pension scheme funding ratio volatility and average contribution rates. - Butt, Adam. [No: 45562]
• A comparison of three different pension savings products with special emphasis on the payout phase. - Jorgensen, Peter Lochte; Linnemann, Per. [No: 45564]
• The construction of the claims reserve distribution by means of a semi-Markov backward simulation model. - Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo. [No: 45560]
• A credibility method for profitable cross-selling of insurance products. - Thuring, Fredrik. [No: 45561]
• The divergent approaches of English and South African courts, when considering actuarial expert testimony in the matter of an award for damages for future loss of earnings after a damage-causing event. - du Plessis, H L M. [No: 45559]
• Guest editorial. Ancient or modern? - Verrall, Richard J. [No: 45558]

ASTIN Bulletin, vol. 41 (2) (2011)

• Dependent loss reserving using copulas. - Shi, Peng; Frees, Edward W. [No: 74743]
• Development pattern and prediction error for the stochastic Bornhuetter-Ferguson claims reserving method. - Saluz, Annina; Gisler, Alois; Wüthrich, Mario V. [No: 74737]
• Fair valuation of life insurance contracts under a correlated jump diffusion model. - Dong, Yinghui. [No: 74742]
• The impact of genetic information on the insurance industry. Conclusions from the 'bottom-up' modelling programme. - Macdonald, Angus; Yu, Fei. [No: 74739]
• The impact of stochastic volatility on pricing, hedging, and hedge efficiency of withdrawal benefit guarantees in variable annuities. - Kling, Alexander; Ruez, Frederik; Russ, Jochen. [No: 74745]
• Market-consistent valuation of insurance liabilities by cost of capital. - Mohr, Christoph. [No: 74738]
• Modelling adult mortality in small populations: The SAINT Model. - Jarner, Soeren Fiig; Kryger, Esben Masotti. [No: 74740]
• Modelling and forecasting the mortality of the very old. - Currie, Iain D. [No: 74741]
• Modelling dependence in insurance claims process with Lévy copulas. - Avanzi, Benjamin; Cassar, Luke C; Wong, Bernard. [No: 74747]
• Optimal dividends and capital injections in the dual model with diffusion. - Avanzi, Benjamin; Shen, Jonathan; Wong, Bernard. [No: 74748]
• Optimal reinsurance revisited point of view of cedent and reinsurer. - Hürlimann, Werner. [No: 74746]
• Optimal reinsurance under VaR and CVaR risk measures. - Chi, Yichun; Tan, Ken Seng. [No: 74744]
• Randomized observation periods for the compound poisson risk model: dividends. - Albrecher, Hansjörg; Cheung, Eric C K; Thonhauser, Stefan. [No: 74900]
• Using the censored gamma distribution for modelling fractional response variables with an application to loss given default. - Sigrist, Fabio; Stahel, Werner A. [No: 74901]

Australian Actuarial Journal, vol. 17(1) (2011)

• Estimating Value-at-Risk for portfolios: skewed-EWMA forecasting via copula. - Lu, Zudi; Li, Shi. [No: 43243]
• Fresh insights - Australian/NZ home lending default risk. - Gorst, Tim. [No: 43241]
• Management of closed defined benefit superannuation schemes - an investigation using simulations. - Butt, Adam. [No: 43242]
• Salary linked home finance: reducing interest rate, inflation and idiosyncratic salary risks. - Asher, Anthony. [No: 43244]

BAJ, vol. 16 (2) (2011)

• Asset liability management for individual households. - Dempster, M A H; Medova, E A. [No: 74961]
• Asset liability management for individual households. Abstract of the London discussion on the preceding. - Dempster, M A H. [No: 74962]
• ERM for insurance companies – adding the investor's point of view. - Hitchcox, A N; Klumpes, P J M; McGaughey, K W; Smith, A D; Taverner, N H. [No: 74798]
• ERM for insurance companies – adding the investor's point of view. Abstract of the London discussion on the preceding. - Hitchcox, A N. [No: 74960]
• Systemic risk in financial services. - Besar, D; Booth, P; Chan, K K; Milne, A K L; Pickles, J. [No: 74795]
• Systemic risk in financial services. Abstract of the London discussion on the preceding. - Milne, A K L. [No: 74796]
• Systemic risk in financial services. Abstract of the Edinburgh discussion on the preceding. - Milne, A K L. [No: 74797]

European Actuarial Journal, vol. 1(2) November (2011)

• Analysis of Finnish and Swedish mortality data with stochastic mortality models. - Lovász, Enrico. [No: 44836]
• Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns. - Hürlimann, Werner. [No: 44834]
• Interest rate risk: dimension reduction in the Swiss Solvency Test. - Ambrus, Marcel; Crugnola-Humbert, Jérôme; Schmid, Martin. [No: 44831]
• Revised version of: Solvency requirement for a long-term guarantee: risk measures versus probability of ruin. - Devolder, Pierre. [No: 44833]
• Solvency capital requirement for hybrid products. - Kochanski, Michael; Karnaski, Bertel. [No: 44832]
• Statistical methods to compare mortality for a group with non- divergent populations: an application to Spanish regions. - Debón, Ana; Montes, Francisco; Martínez-Ruiz, Francisco. [No: 44837]
• Threshold dividend strategies for a Markov-additive risk model. - Breuer, Lothar. [No: 44835]

Geneva Papers on Risk and Insurance, vol. 37 (1) (2012)

• Editorial. Moving insurance. - Liedtke, Patrick M. [No: 45538]
• Globalisation and convergence of international life insurance markets. - Lee, Chien-Chiang; Chang, Chi-Hung. [No: 45544]
• Governance and shareholder response to chief risk officer appointments. - Gupta, Manu; Prakash, Puneet; Rangan, Nanda. [No: 45543]
• Insurability in microinsurance markets. an analysis of problems and potential solutions. - Biener, Christian; Eling, Martin. [No: 45542]
• Non-risk price discrimination in insurance. market outcomes and public policy. - Thomas, R Guy. [No: 45540]
• Principles for insurance regulation. An evaluation of current practices and potential reforms. - Klein, Robert. [No: 45546]
• Regulation and reform of rating agencies in the European Union. an insurance industry perspective. - Theis, Anja; Wolgast, Michael. [No: 45541]
• Structure, principles and effectiveness of insurance regulation in the 21st century. Insights from Canada. - Kelly, Mary; Kleffner, Anne; Leadbetter, Darrell. [No: 45545]
• Who responds to tax reforms?. evidence from the life insurance market. - Hecht, Carolin; Hanewald, Katja. [No: 45539]

Insurance: Mathematics & Economics, vol. 50 (1) (2012)

• Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective. - Bohnert, Alexander; Gatzert, Nadine. [No: 44991]
• Arbitrage in skew Brownian motion models. - Rossello, Damiano. [No: 44989]
• A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates. - Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T; Fabozzi, Frank J. [No: 44993]
• Competitive insurance market in the presence of ambiguity. - Anwar, Sajid; Zheng, Mingli. [No: 44992]
• Copula models for insurance claim numbers with excess zeros and time-dependence. - Zhao, XiaoBing; Zhou, Xian. [No: 45535]
• Discrete-time local risk minimization of payment processes and applications to equity- linked life-insurance contracts. - Pansera, Jérôme. [No: 44985]
• Excess based allocation of risk capital. - van Gulick, Gerwald; de Waegenaere, Anja; Norde, Henk. [No: 44987]
• Explaining young mortality. - O'Hare, Colin; Li, Youwei. [No: 44986]
• Extreme value behavior of aggregate dependent risks. - Chen, Die; Mao, Tiantian; Pan, Xiaoming; Hu, Taizhong. [No: 44995]
• On the absolute ruin problem in a Sparre Andersen risk model with constant interest. - Mitric, Ilie-Radu; Badescu, Andrei L; Stanford, David A. [No: 45533]
• On the Haezendonck–Goovaerts risk measure for extreme risks. - Tang, Qihe; Yang, Fan. [No: 45537]
• On the invariant properties of notions of positive dependence and copulas under increasing transformations. - Cai, Jun; Wei, Wei. [No: 44988]
• Optimal commutable annuities to minimize the probability of lifetime ruin. - Wang, Ting; Young, Virginia R. [No: 45536]
• Optimal loss- carry-forward taxation for the Lévy risk model. - Wang, Wen-Yuan; Hu, Yijun. [No: 44997]
• Optimal reinsurance with positively dependent risks. - Cai, Jun; Wei, Wei. [No: 44990]
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model. - Zhao, Hui; Rong, Ximin. [No: 45534]
• Pricing insurance contracts under Cumulative Prospect Theory. - Kaluszka, Marek; Krzeszowiec, Michal. [No: 45532]
• Recursive methods for a multi-dimensional risk process with common shocks. - Gong, Lan; Badescu, Andrei L; Cheung, Eric C K. [No: 44996]
• Risk concentration of aggregated dependent risks: The second-order properties. - Tong, Bin; Wu, Chongfeng; Xu, Weidong. [No: 44999]
• Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives. - Ahcan, Ales. [No: 44998]
• Translation- invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component. - Landsman, Zinoviy; Makov, Udi E. [No: 44994]

International Social Security Review, vol. 65 (1) (2012)

• The effectiveness of Luxembourg's minimum guaranteed income. - Ametepe, Fofo. [No: 45556]
• Health insurance system financing reforms in the Netherlands, Germany and France: Repercussions for coverage and redistribution? - Turquet, Pascale. [No: 45553]
• The performance of social security contributory and tax-financed pensions in Central America, and the effects of the global crisis. - Mesa-Lago, Carmelo. [No: 45552]
• Semi-conditional cash transfers in the form of family allowances for children and adolescents in the informal economy in Argentina. - Bertanou, Fabio; Maurizio, Roxana. [No: 45554]
• Testing old theories in new surroundings: The timing of first social security laws in Africa. - Kangas, Olli. [No: 45555]

Journal of Pension Economics & Finance, vol. 11 (1) (2012)

• A dynamic analysis of the effects on pensioners’ welfare of social security reforms. - Peinado, Patricia; Serrano, Felipe. [No: 45550]
• Optimal onset and exhaustion of retirement savings in a life-cycle model. - Lachance, Marie-Eve. [No: 45548]
• Pension costs and liabilities for UK-regulated utilities. - Hughes, Gordon. [No: 45551]
• Social security, income inequality and growth. - Le Garrec, Gilles. [No: 45549]
• Trust, plan knowledge and 401(k) savings behavior. - Agnew, Julie R; Szykman, Lisa R; Utkus, Stephen P; Young, Jean A. [No: 45547]

Journal of Social Policy, vol. 41 (1) (2012)

• Combating in- work poverty in continental Europe: an investigation using the Belgian case. - Marx, Ive; Vanhille, Josefine; Verbist, Gerlinde. [No: 43472]
• Economic system and welfare regime dynamics in Japan since the early 2000s - the case of occupational pensions. - Conrad, Harald. [No: 43473]
• Financial inclusion: lessons from rural south India. - Cnaan, Ram A; Moodithaya, M S; Handy, Femida. [No: 43474]
• The low road to basic income? Tax-benefit integration in the UK. - Jordan, Bill. [No: 43471]

Journal of the Royal Statistical Society, Series A, vol. 175(1) (2012)

• Institutions, foreign direct investment and growth: a hierarchical Bayesian approach. - Macleod, Nadine; Kumbhakar, Subal C. [No: 43393]
• Spatial variability in relative survival from female breast cancer. - Saez, Marc; Barceló, Maria Antònia; Martos, Carmen; Saurina, Carme; Marcos-Gragera, Rafael; Renart, Gemma; Ocaña-Riola, Ricardo; Feja, Cristina; Alcalá, Tomás. [No: 43394]
• Statistical methods for the prospective detection of infectious disease outbreaks: a review. - Unkel, Steffen; Farrington, Paddy; Garthwaite, Paul H; Robertson, Chris; Andrews, Nick. [No: 43392]

North American Actuarial Journal, vol. 15 (4) (2011)

• Capital allocation using the bootstrap. - Kim, Joseph H T. [No: 74919]
• Discussion of: "Human survival at older ages and the implications for longevity bond pricing" - Cowell, Michael J. [No: 74922]
• Effects of risk management on cost efficiency and cost function of the U.S. Property and liability insurers. - Lin, Hong- Jen; Wen, Min-Ming; Yang, Charles C. [No: 74918]
• Fair valuation of equity-linked policies under insurer default risk. - Costabile, Massimo; Massabo, Ivar; Russo, Emilio. [No: 74920]
• Jackknife empirical likelihood intervals for Spearman’s rho. - Wang, Ruodu; Peng, Liang. [No: 74917]
• A statistical basis for claims experience monitoring. - Taylor, Greg. [No: 74921]

Pensions: An International Journal, vol. 16 (4) (2011)

• Chasing contractual cash flows. - Nicholl, William. [No: 74907]
• Choosers, users, winners and losers: Observations on defined contribution. - Aston, Nigel. [No: 74903]
• Does freedom of testation supersede the powers of the board of trustees to allocate a death benefit in terms of section 37C of the South African Pension Funds Act, 24 of 1956? - Nevondwe, Lufuno; Malatji, Tebogo; Rapatsa, Mashele. [No: 74909]
• Have pension plans changed after the introduction of IFRS? - Swinkels, Laurens. [No: 74904]
• A legal analysis of the distribution and payment of special pensions under the South African Special Pensions Act. - Nevondwe, Lufuno; Tshoose, Itumeleng Clarence. [No: 74902]
• Outsourcing investment policy. - Shackleton, Karen. [No: 74906]
• Regulatory tone. - Ellison, Robin. [No: 74910]
• Retirement savings guidelines for residents of emerging market countries. - Meng, Channarith; Pfau, Wade Donald. [No: 74905]
• What are the implications of the UK Government's policy to remove the effective requirement to annuitise private pension funds by the age of 75? - Silcock, Daniela. [No: 74908]

Population (English edition), vol. 66(2) (2011)

• Occupational mobility and mortality in France: links confirmed for men, emergent for women. - Cambois, Emmanuelle; Laborde, Caroline. [No: 43382]

Sigma, vol. 4 & 5 (2011)

• Insurance in emerging markets: growth drivers and profitability. - Swiss Reinsurance Company. [No: 74794]
• Product innovation in non-life insurance. - Swiss Reinsurance Company. [No: 74793]