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European Actuarial Journal

European Actuarial Journal OnlineFirst articles

04.07.2020 | Original Research Paper

Mean reversion in stochastic mortality: why and how?

Life insurance companies use stochastic models to forecast mortality. According to the literature, non-mean reversion models are more suitable for mortality modelling than mean reversion models with a fixed long-term target. In this paper, we …

30.06.2020 | Original Research Paper

A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula

The aim of this paper is to introduce a synthetic ALM model that catches the key features of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it introduces a …

20.06.2020 | Original Research Paper

Quantiles in a multi-stage nested classification credibility model

In insurance and finance it is often important to have a satisfactory estimate for an extreme quantile, like the one underlying capital requirements in Solvency II and Basel III. If credibility techniques on means are used for the determination of …

19.06.2020 | Original Research Paper

A recommendation system for car insurance

We construct a recommendation system for car insurance, to allow agents to optimize up-selling performances, by selecting customers who are most likely to subscribe an additional cover. The originality of our recommendation system is to be suited …

05.06.2020 | Original Research Paper

Investing in your own and peers’ risks: the simple analytics of P2P insurance

This paper studies a peer-to-peer (P2P) insurance scheme where participants share the first layer of their respective losses while the higher layer is transferred to a (re-)insurer. The conditional mean risk sharing rule proposed by Denuit and …

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Über diese Zeitschrift

The European Actuarial Journal (EAJ) publishes research articles and survey articles as well as papers engaging the mutual transfer between research and practical applications.

Coverage includes such topics in classical actuarial mathematics as life and non-life insurance, pension funds and reinsurance, along with more recent areas of interest such as risk management, asset-and-liability management, solvency, catastrophe modeling, systematic changes in risk parameters, longevity, and more.

The successor to six national actuarial journals, EAJ focuses on theory and methods for applications in insurance and finance.

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