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Volume 07 Issue 01


Reinsurance Credit Risk: A Market-Consistent Paradigm for Quantifying the Cost of Risk

By Neil M. Bodoff


The Theory of Split Credibility

By Ira Robbin


Estimation of Tail Development Factors in the Paid-Incurred Chain Reserving Method

By Michael Merz, Mario V. Wuthrich


Ruin Probability-Based Initial Capital of the Discreet-Time Surplus Process

By Pairote Sattayatham, Kiat Sangaroon, Watcharin Klongdee


Capital Tranching: A RAROC Approach to Assessing Reinsurance Cost Effectiveness

By Donald F. Mango, John A. Major, Avraham Adler, Claude B. Bunick

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Mission Statement

Variance is a peer-reviewed journal published by the Casualty Actuarial Society to disseminate work of interest to casualty actuaries worldwide. The focus of Variance is original practical and theoretical research in casualty actuarial science. Significant survey or similar articles are also considered for publication. Membership in the Casualty Actuarial Society is not a prerequisite for submitting papers to the journal and submissions by non-CAS members is encouraged.