North American Actuarial Journal

1997 - 2026

Current editor(s): Kathryn Baker

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Volume 28, issue 4, 2024

Asset–Liability Management of Life Insurers in the Negative Interest Rate Environment pp. 695-717

Yijia Lin, Sheen Liu, Ken Seng Tan and Xun Zhang

Storm CAT Bond: Modeling and Valuation pp. 718-743

Shimeng Huang, Jinggong Zhang and Wenjun Zhu

Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration pp. 744-771

David Baños, Å. H. Sande and Carlo Sgarra

A Flexible Hierarchical Insurance Claims Model with Gradient Boosting and Copulas pp. 772-800

Justine Power, Marie-Pier Côté and Thierry Duchesne

A Discrimination-Free Premium under a Causal Framework pp. 801-821

Carlos Andrés Araiza Iturria, Mary Hardy and Paul Marriott

Auto Insurance Pricing Using Telematics Data: Application of a Hidden Markov Model pp. 822-839

Qiao Jiang and Tianxiang Shi

Claims Reserving with a Robust Generalized Additive Model pp. 840-860

Le Chang, Guangyuan Gao and Yanlin Shi

Testing Constant Serial Dynamics in Two-Step Risk Inference for Longitudinal Actuarial Data pp. 861-881

Tsz Chai Fung, Yinhuan Li, Liang Peng and Linyi Qian

Modeling and Forecasting Subnational Mortality in the Presence of Aggregated Data pp. 882-908

Jean-François Bégin, Barbara Sanders and Xueyi Xu

Assessing Oral Health in U.S. Children and Its Impact on Disparities of Overall Health and Health Expenditures: An Application Using Two-Stage Clustering pp. 909-924

Marjorie A. Rosenberg, Seulkee Yun and Kyeonghee Kim

Discussion on “Sample Size Determination for Credibility Estimation,” by Liang Hong, Volume 26(4) pp. 925-931

Nariankadu Shyamalkumar, Siyang Tao and Tianrun Wang

Author’s Reply to Discussion on “Sample Size Determination for Credibility Estimation” pp. 932-933

Liang Hong

Volume 28, issue 3, 2024

Modeling Payment Frequency for Loss Reserves Based on Dynamic Claim Scores pp. 491-512

Juan Sebastian Yanez, Jean-Philippe Boucher and Mathieu Pigeon

Cause-of-Death Contributions to Declining Mortality Improvements and Life Expectancies Using Cause-Specific Scenarios pp. 513-550

Alexander M. T. L. Yiu, Torsten Kleinow and George Streftaris

Optimality of Threshold Strategies for Spectrally Negative Lévy Processes and a Positive Terminal Value at Creeping Ruin pp. 551-569

Chong-Rui Zhu

Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models pp. 570-592

Francesco Ungolo, Len Patrick Dominic M. Garces, Michael Sherris and Yuxin Zhou

Longevity Risk Modeling with the Consumer Price Index pp. 593-610

Qingxiao Ma and Tim J. Boonen

A Reverse ES (CVaR) Optimization Formula pp. 611-625

Yuanying Guan, Zhanyi Jiao and Ruodu Wang

Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps pp. 626-657

Shimeng Huang, Ken Seng Tan, Jinggong Zhang and Wenjun Zhu

Gender Differences in Reserving Conservatism pp. 658-677

Xin Che and Jianren Xu

Measuring Discrete Risks on Infinite Domains: Theoretical Foundations, Conditional Five Number Summaries, and Data Analyses pp. 678-694

Daoping Yu, Vytaras Brazauskas and Ričardas Zitikis

Volume 28, issue 2, 2024

Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs pp. 261-284

Guohui Guan, Lin He, Zongxia Liang, Yang Liu and Litian Zhang

Antidiscrimination Insurance Pricing: Regulations, Fairness Criteria, and Models pp. 285-319

Xi Xin and Fei Huang

Predictability and Financial Sufficiency of Health Insurance in Colombia: An Actuarial Analysis With a Bayesian Approach pp. 320-336

Oscar Espinosa Acuña, Valeria Bejarano and Jeferson Ramos

GAMLSS for Longitudinal Multivariate Claim Count Models pp. 337-360

Roxane Turcotte and Jean-Philippe Boucher

Pricing of Joint Life Long-Term Care Insurance Based on a Multistate Markov Model pp. 361-372

Qin Shang, Xueyang Wang, Xuezhi Qin and Xiaohui Zhao

Calibrating Distribution Models from PELVE pp. 373-406

Hirbod Assa, Liyuan Lin and Ruodu Wang

Bowley Insurance with Expected Utility Maximization of the Policyholders pp. 407-425

Tim J. Boonen and Wenjun Jiang

An Asymptotic Result on Catastrophe Insurance Losses pp. 426-437

Yiqing Chen and Jiajun Liu

Event Studies for Publicly Traded Insurers: An Investigation of the Bad-Model Problem pp. 438-468

Leon Chen and Steven W. Pottier

A Unified Framework for Insurance Demand and Mortality Immunization pp. 469-490

Hua Chen, Jin Gao and Wei Zhu

Volume 28, issue 1, 2024

Flexible Weather Index Insurance Design with Penalized Splines pp. 1-26

Ken Seng Tan and Jinggong Zhang

A Dynamic Stochastic Integrated Climate–Economic Spatiotemporal Model for Agricultural Insurance Products pp. 27-56

Suikai Gao, Guillaume Bagnarosa, Gareth W. Peters, Matthew Ames and Tomoko Matsui

A Deep Factor Model for Crop Yield Forecasting and Insurance Ratemaking pp. 57-72

Wenjun Zhu

Economic Representative Scenarios for Variable Annuity Dynamic Hedging of GMMB and GMDB pp. 73-103

Emmanuel Hamel, Yvonne Chueh and Donald Davendra

A Comparison of Index-Linked Annuities pp. 104-125

Thorsten Moenig and Bobby Samuelson

Alternative Predictive Models for Medicare Patient Cost pp. 126-138

Xiyue Liao, Ian Duncan and Samuel O’Neill

A Two-Part Model of the Individual Costs of Chronic Kidney Disease pp. 139-186

Brian Hartman, Courtney Larson, Christopher Kunkel, Cason Wight and Richard L. Warr

Key Drivers of Long-Term Rates of Mortality Improvements in the United States: Period, Cohort, and Cause of Death Analysis, 1959–2016 pp. 187-217

Andrés M. Villegas, Madhavi Bajekal, Steven Haberman and Luke Zhou

Coherent Mortality Forecasting with a Model Averaging Approach: Evidence from Global Populations pp. 218-235

Yanlin Shi

Method of Winsorized Moments for Robust Fitting of Truncated and Censored Lognormal Distributions pp. 236-260

Chudamani Poudyal, Qian Zhao and Vytaras Brazauskas

Volume 27, issue 4, 2023

Payer-Addressable Burden of Crohn’s Disease in Members Treated with Biologics in the United States: Actuarial Analysis Findings from RAINBOW pp. 619-629

Sabyasachi Ghosh, Ian Smith, James Davidson, Tao Fan, Ninfa Candela, Cynthia Tsang, Troy Koch and Jason Fehr

Are Internal Capital Markets Ex Post Efficient? pp. 630-655

James M. Carson, Evan M. Eastman, David L. Eckles and Joshua D. Frederick

Why Changes in PBGC and FDIC Premiums Should Not Fully Reflect Changes in Underlying Risk (With Some Application to Long-Term Private Insurance Contracts) pp. 656-674

David McCarthy

Conformal Prediction Credibility Intervals pp. 675-688

Liang Hong

Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases? pp. 689-709

Sahadeb Upretee and Vytaras Brazauskas

A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling pp. 710-730

Martin Bladt

The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures pp. 731-750

Bettina Grün and Tatjana Miljkovic

Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble pp. 751-770

Liqun Diao, Yechao Meng, Chengguo Weng and Tony Wirjanto

Valuing Lifetime Withdrawal Guarantees in RILAs pp. 771-786

Thorsten Moenig and Chenxin Xu

Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers pp. 787-805

Gee Y. Lee

Volume 27, issue 3, 2023

The Economic Impact of Extreme Cyber Risk Scenarios pp. 429-443

Martin Eling, Mauro Elvedi and Greg Falco

Ensemble Economic Scenario Generators: Unity Makes Strength pp. 444-471

Jean-François Bégin

Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach pp. 472-492

Thiago Pedra Signorelli, Carlos Heitor Campani and César da Rocha Neves

Medicare Advantage, Medical Loss Ratio, Service Efficiency, and Efficiently Positive Health Outcomes pp. 493-507

Patrick Brockett, Linda Golden, Pengyu Wei and Charles Yang

Does Public Health Insurance Expansion Influence Medical Liability Insurance Prices? The Case of the ACA’s Optional Medicaid Expansion pp. 508-529

Jingshu Luo and Martin F. Grace

A Model Stacking Approach for Forecasting Mortality pp. 530-545

Jackie Li

Updating Bonus–Malus Indexing Mechanism to Adjust Long-Term Health Insurance Premiums pp. 546-559

Atefeh Kanani Dizaji and Amir T. Payandeh Najafabadi

Bayesian Multivariate Mixed Poisson Models with Copula-Based Mixture pp. 560-578

Pengcheng Zhang, Enrique Calderín-Ojeda, Shuanming Li and Xueyuan Wu

Non-Life Insurance Risk Classification Using Categorical Embedding pp. 579-601

Peng Shi and Kun Shi

An Empirical Assessment of Regulatory Lag in Insurance Rate Filings pp. 602-617

Patricia Born, J. Bradley Karl and Robert Klein

Volume 27, issue 2, 2023

In Memoriam: Ken Seng Tan and His Contributions to Actuarial Science, Finance, and Agricultural Insurance pp. 209-210

Patrick L. Brockett

Bivariate Mixed Poisson Regression Models with Varying Dispersion pp. 211-241

George Tzougas and Alice Pignatelli di Cerchiara

Shared Savings Model Risk in the MSSP Program pp. 242-252

Ian Duncan, Andrew Mackenzie, Elise Bonfiglio, Thomas Wrigley and Xiyue Liao

Smoothed Quantiles for Measuring Discrete Risks pp. 253-277

Vytaras Brazauskas and Ponmalar Ratnam

Optimal Portfolio Choice with Health-Contingent Income Products: The Value of Life Care Annuities pp. 278-302

Shang Wu, Hazel Bateman and Ralph Stevens

Pay-As-You-Drive Insurance: Modeling and Implications pp. 303-321

Jiang Cheng, Frank Y. Feng and Xudong Zeng

Products and Strategies for the Decumulation of Wealth during Retirement: Insights from the Literature pp. 322-340

Maximilian Bär and Nadine Gatzert

Price Subsidies and the Demand for Automobile Insurance pp. 341-354

Boheng Su and Sharon Tennyson

Estimating Spillover Effects in Property and Casualty Insurance Consumption pp. 355-379

Douglas Bujakowski and Shinichi Kamiya

A Two-Part Beta Regression Approach for Modeling Surrenders and Withdrawals in a Life Insurance Portfolio pp. 380-395

Fabio Baione, Davide Biancalana and Paolo De Angelis

Mixture Composite Regression Models with Multi-type Feature Selection pp. 396-428

Tsz Chai Fung, George Tzougas and Mario V. Wüthrich

Volume 27, issue 1, 2023

Society of Actuaries and North American Actuarial Journal Announce New Editor pp. 1-1

The Editors

The Discriminating (Pricing) Actuary pp. 2-24

Edward W. (Jed) Frees and Fei Huang

Risk-Seeking Behavior and Its Implications for the Optimal Decision Making of Annuity Insurers pp. 25-46

Cuixia Chen, Yijia Lin and Ming Zhou

Mortality Improvement Rates: Modeling, Parameter Uncertainty, and Robustness pp. 47-73

Andrew Hunt and Andrés M. Villegas

Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds pp. 74-95

Tzuling Lin, Cary Chi-Liang Tsai and Hung-Wen Cheng

Doubly Enhanced Medicaid Partnership Annuities (DEMPANs): A New Tool for Providing Long Term Care to Retired U.S. Seniors in the Medicaid Penumbra pp. 96-120

Colin M. Ramsay and Victor I. Oguledo

Multiemployer Defined Benefit Pension Plans: Employer Withdrawals and Financial Vulnerability pp. 121-147

Tianxiang Shi and Xuesong You

A Neural Approach to Improve the Lee-Carter Mortality Density Forecasts pp. 148-165

Mario Marino, Susanna Levantesi and Andrea Nigri

On a Risk Model With Dual Seasonalities pp. 166-184

Yang Miao, Kristina P. Sendova and Bruce L. Jones

On Fitting Probability Distribution to Univariate Grouped Actuarial Data with Both Group Mean and Relative Frequencies pp. 185-205

Gaurav Khemka, David Pitt and Jinhui Zhang

Discussion on “The Discriminating (Pricing) Actuary,” by Edward W. (Jed) Frees and Fei Huang pp. 206-207

R. Guy Thomas