New Additions to the Institute and Faculty of Actuaries Libraries, June 2013

June 2013

Borrow items from this list via the Online library catalogue or email the libraries to request an item (please quote the reference number)

• How to borrow from the libraries
• Contact the libraries: libraries@actuaries.org.uk

 Books | Journals

Books

Demography
Statistical methods with applications to demography and life insurance. - Khmaladze, Estáte V. - CRC Press. Taylor & Francis, 2013. - xiii, 228 p. pages. - ISBN: 978-1466505735 (hardback). [No: 43884]

General insurance
Product specifics on the markets of insurance and reinsurance. - Kocovic, Jelena (ed); Gavrilovic, Biljana Jovanovic (ed); Markovic, Mirjana Radovic (ed). - University of Belgrade Faculty of Economics Publishing Centre, 2013. - iii, 459 pages. - ISBN: 978-86-403-1309-4. [No: 43886]

Mathematics
The BUGS book: A practical introduction to Bayesian analysis. - Lunn, David; Jackson, Christopher; Best, Nicky; Thomas, Andrew; Spiegelhalter, David. - CRC Press, 2013. - 381 pages. - ISBN: 978158488499. [No: 76668]

Actuarial mathematics for life contingent risks. - International Series on Actuarial Science. - Dickson, David C M; Hardy, Mary R; Waters, Howard R. - 2nd ed. - Cambridge University Press, 2013. - 630 pages. - ISBN: 9781107044074. [No: 46062]

Introduction to mathematical portfolio theory. - International Series on Actuarial Science. - Joshi, Mark S; Paterson, Jane M. - Cambridge University Press, 2013. - 328 pages. - ISBN: 9781107042315. [No: 46063]
An introduction to the mathematics of finance: a deterministic approach. - Garrett, S J. - 2nd ed. - Butterworth-Heinemann, 2013. - xii, 450 pages. - ISBN: 978-0080982403. [No: 43887]

Journals

Actuarios, vol. 32 primavera (2013)

• Reinsurance as a capital management tool under Solvency II. - Mayo, Oscar; Heinen, Benedikt. [No: 43708]

Financial Analysts Journal, vol. 69(3) (2013)

• Factor-based asset allocation vs. asset-class-based asset allocation. - Idzorek, Thomas M; Kowara, Maciej. [No: 46074]
• Fixing the “loser’s game”. what It will take. - Ambachtsheer, Keith. [No: 46072]
• Liquidity as an investment style. - Ibbotson, Roger G; Chen, Zhiwu; Kim, Daniel Y J; Hu, Wendy Y. [No: 46075]
• Mandatory retirement savings. - Statman, Meir. [No: 46073]
• Media coverage and hedge fund returns. - Ozik, Gideon; Sadka, Ronnie. [No: 46077]
• Minimum maturity rules. the cost of selling bonds before their time. - DeCosta, Darrin; Leng, Fei; Noronha, Gregory. [No: 46076]

Insurance: Mathematics & Economics, vol. 52(3) (2013)

• Choosing a random distribution with prescribed risks. - Cascos, Ignacio; Molchanov, Ilya. [No: 43969]
• Constant proportion portfolio insurance under a regime switching exponential Levy process. - Weng, Chengguo. [No: 43961]
• A feasible natural hedging strategy for insurance companies. - Wang, Chou- Wen; Huang, Hong-Chih; Hong, De-Chuan. [No: 43963]
• Lifetime dependence modelling using a truncated multivariate gamma distribution. - Alai, Daniel H; Landsman, Zinoviy; Sherris, Michael. [No: 43964]
• The multi-year non-life insurance risk in the additive loss reserving model. - Diers, Dorothea; Linde, Marc. [No: 43968]
• Multidimensional smoothing by adaptive local kernel-weighted log- likelihood. Application to long-term care insurance. - Tomas, Julien; Planchet, Frédéric. [No: 43967]
• Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals. Aggregation and capital allocation. - Cossette, Helene; Cote, Marie-Pier; Marceau, Etienne; Moutanabbir, Khouzeima. [No: 43966]
• On the (in- )dependence between financial and actuarial risks. - Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; Schoutens, Wim; Stassen, Ben. [No: 43962]
• Pricing high- risk and low-risk insurance contracts with incomplete information and production costs. - Ramsay, Colin M; Oguledo, Victor I; Pathak, Priya. [No: 43970]
• Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions. - Deme, El Hadji; Girard, Stephane; Guillou, Armelle. [No: 43965]

Journal of Asset Management, vol. 14(2) (2013)

• Are behavioural finance equity funds a superior investment?. a note on fund performance and market efficiency. - Goodfellow, Christiane; Schiereck, Dirk; Wippler, Steffen. [No: 46048]
• Are stocks riskier than bonds?. not if you assess risk like Warren Buffett. invited editorial. - Estrada, Javier. [No: 46045]
• Benchmark replication portfolio strategies. - Glabadanidis, Paskalis; Zolotoy, Leon. [No: 46047]
• Can time difference deter arbitrage opportunities?- Bogomolov, Timofei; Liu, Lixian; Kalev, Petko S. [No: 46046]
• Compositional changes in the FTSE100 index from the standpoint of an arbitrageur. - Opong, Kwaku; Siganos, Antonios. [No: 46049]

Journal of Risk Management in Financial Institutions, vol. 6(1) (2013)

• Basel Committee's fundamental review of the trading book. A commentary. - Grody, Allan D; Fernandes, Kiran J; Hughes, Peter J; Toms, J Steven. [No: 46064]
• Discounting long and uncertain workout recoveries for estimating loss given default. - Roy, Subarna. [No: 46071]
• From optimisation to resilience. the changing nature of the risk reward conversation as seen through Westpac's capital and liquidity management policies. - Bosworth, Ed; Rich, Tony. [No: 46054]
• The globalisation of insurance. a supervisory response. - Kawai, Yoshihiro; Windsor, Peter. [No: 46053]
• Lessons for the Irish government on Basel II and accounting failures. - Flynn, Gerald; Butler, Cormac. [No: 46066]
• A mixed approach to risk aggregation using hierarchical copulas. - Skoglund, Jimmy; Erdman, Donald; Chen, Wei. [No: 46059]
• Modelling sovereign default risk. Comparing models and capturing the impact of the business cycle. - N'Sougan, Yao Djifa; Soumare, Issouf. [No: 46070]
• Operational risk. A Basel II ++ step before Basel III. - Guegan, Dominique; Hassani, Bertrand K. [No: 46067]
• Principles for dealing with financial stability risks. - Koschyk, Hartmut. [No: 46051]
• Risk adjusting the culture of global finance. - Grody, Allan D. [No: 46056]
• Risk management in a low-yield environment. consequences of the financial crisis. - Lehmann, Axel P; Huber, Carin. [No: 46058]
• Risk management infrastructure as a living organism. - Lindo, Steve. [No: 46069]
• Risk management lessons learned from the financial crisis. one CRO's view. - Wilson, Thomas C. [No: 46055]
• Risk management through the lens of macroprudential policy. - Brinkhoff, Jeroen; Langfield, Sam; Mazzaferro, Francesco; Salleo, Carmello; Weeken, Olaf. [No: 46050]
• Supervisory challenges in the presence of systemic risk: The IAIS response to the current financial crisis. - Hofmann, Daniel M; Maroney, John. [No: 46052]
• Where is the ‘system’ in systemic risk literature? - Brady, Shaun M; Markeloff, Richard. [No: 46068]
• Why markets do not trust Basel II internal ratings-based approach. What can be done about it?[No: 46065]
• The World Economic Forum. a multistakeholder platform for engaging the financial services industry and its role during the global economic crisis. - Koenitzer, Michael. [No: 46057]