North American Actuarial Journal

1997 - 2025

Current editor(s): Kathryn Baker

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Volume 8, issue 4, 2004

Continuing the Tradition pp. iii-iii

Harry Panjer

A Framework For Long-Term Actuarial Projections Of Health Care Costs pp. 1-29

Howard Bolnick

Social Transfers And Income Inequality In Old Age pp. 30-36

Robert Brown and Steven Prus

Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use pp. 37-61

Wai-Sum Chan, Albert Wong and Howell Tong

The Iterated Cte pp. 62-75

Mary Hardy and Julia Wirch

On A Surplus Process Under A Periodic Environment pp. 76-89

Manuel Morales

Efficient Factor Models For Yield Curve Dynamics pp. 90-105

Yong Yao

Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin pp. 106-126

Virginia Young

Volatility Risk For Regime-Switching Models pp. 127-145

Adam Kolkiewicz and Ken Tan

“Risk and Discounted Loss Reserves,” Greg Taylor, January 2004 pp. 146-149

Tom Hoedemakers and Marc Goovaerts

“Martingale Valuation of Cash Flows for Insurance and Interest Models”, J. F. Carriére, July 2004 pp. 150-152

Bartholomew Leung, H. W. J. Lee and Chi Kin Chan

“Martingale Valuation of Cash Flows for Insurance and Interest Models”, J. F. Carriére, July 2004 pp. 152-153

Wei Zhou

Cairns, Andrew J. G., 2004 pp. 154-155

X. Lin

Volume 8, issue 3, 2004

Martingale Valuation of Cash Flows for Insurance and Interest Models pp. 1-16

J. F. Carrière

On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach pp. 17-31

Tak Kuen Siu, Howell Tong and Hailiang Yang

The 1/ Pension Investment Puzzle pp. 32-45

Heath Windcliff and Phelim Boyle

A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving pp. 67-89

R. J. Verrall

Financial Economics and Actuarial Practice pp. 90-102

Tony Day

Pensions and Capital Structure pp. 103-113

John Ralfe, Cliff Speed and Jon Palin

“Empirical Estimation of Risk Measures and Related Quantities,” Bruce L. Jones and Ricǎrdas Zitikis, October 2003 pp. 114-117

Vytaras Brazauskas and Thomas Kaiser

Authors’ Reply: Empirical Estimation of Risk Measures and Related Quantities - Discussion by Vytaras Brazauskas; Thomas Kaiser pp. 117-118

The Editors

“Tail Conditional Expectations for Elliptical Distributions,” Zinoviy M. Landsman and Emiliano A. Valdez, October 2003 pp. 118-122

Martin Bilodeau

Authors’ Reply: Tail Conditional Expectations for Elliptical Distributions - Discussion by Martin Bilodeau pp. 122-123

The Editors

“Valuation of Equity-Indexed Annuities under Stochastic Interest Rates,” X. Sheldon Lin and Ken Seng Tan, October 2003 pp. 123-124

Mark Evans

Authors’ Reply: Valuation of Equity-Indexed Annuities under Stochastic Interest Rates - Discussion by Mark D. J. Evans pp. 124-125

The Editors

“Credit Standing and the Fair Value of Liabilities: A Critique,” by Philip Heckman, January 2004 pp. 125-129

Marsha Wallace

Authors’ Reply: Credit Standing and the Fair Value of Liabilities: A Critique - Discussion by Marsha Wallace pp. 129-131

The Editors

Response to Author: Credit Standing and the Fair Value of Liabilities: A Critique by Philip Heckman, January 2004 pp. 131-132

The Editors

Hardy, Mary R. 2003 pp. 133-136

Frank Bensics

Seydel, Rüdiger, 2003 pp. 137-137

Elias Shiu

E. J. Moorhead (1910 – 2004) pp. 138-140

James Hickman

Irwin Vanderhoof 1927 – 2000 pp. 141-143

Faye Albert

Volume 8, issue 2, 2004

Further Analysis of Future Canadian Health Care Costs pp. 1-10

Robert Brown and Uma Suresh

Optimal Investment for an Insurer to Minimize Its Probability of Ruin pp. 11-31

Chi Liu and Hailiang Yang

A Note on the Myers and Read Capital Allocation Formula pp. 32-44

Stephen Mildenhall

Disruption of a Managed Competition Environment by Low-Ball Premium Bids pp. 45-55

Harry Sutton, Roger Feldman and Bryan Dowd

Projecting Mortality Trends pp. 56-83

Carlos Wong-Fupuy and Steven Haberman

Risk-Based Capital Factor Determination With Jump Risk pp. 84-95

Wenge Zhu

Capital Allocation Survey with Commentary pp. 96-107

Gary Venter

“Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database,” Ana C. Cebrián, Michel Denuit, and Philippe Lambert, July 2003 pp. 108-111

Jan Beirlant, Elisabeth Joossens and Johan Segers

“Optimal Dividends: Analysis with Brownian Motion,” Ana C. Cebrián, Hans U. Gerber and Elias S.W. Shiu, January 2004 pp. 111-111

Olivier Deprez

“Optimal Dividends: Analysis with Brownian Motion,” Ana C. Cebrián, Hans U. Gerber and Elias S.W. Shiu, January 2004 pp. 111-113

Hansjörg Albrecher

Authors’ Reply: Optimal Dividends: Analysis with Brownian Motion - Discussion by Olivier Deprez; Hansjörg Albrecher pp. 113-115

The Editors

“Credit Standing and the Fair Value of Liabilities: A Critique,” Philip E. Heckman, January 2004 pp. 115-116

M. W. Chambers

Author’s Reply: Credit Standing and the Fair Value of Liabilities: A Critique - Discussion by M. W. Chambers pp. 116-117

The Editors

“Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans,” M. Iqbal Owadally and Steven Haberman, January 2004 pp. 117-120

Jeremy Gold

“Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans,” M. Iqbal Owadally and Steven Haberman, January 2004 pp. 121-122

Charles Cowling, Jon Exley, Nick Hudson, John Shuttleworth, Andrew Smith and Ian Sykes

“Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans,” M. Iqbal Owadally and Steven Haberman, January 2004 pp. 122-124

Cliff Speed and Tim Gordon

Authors’ Reply: Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans - Discussion by Jeremy Gold; Charles Cowling; Jon Exley; Nick Hudson; John Shuttleworth; Andrew Smith; Ian Sykes; Cliff A. Speed; Tim J. Gordon pp. 124-125

The Editors

Volume 8, issue 1, 2004

Optimal Dividends pp. 1-20

Hans Gerber and Elias Shiu

Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans pp. 21-36

M. Iqbal Owadally and Haberman Steven

Risk and Discounted Loss Reserves pp. 37-44

Greg Taylor

Equity Risk Premium pp. 45-69

Richard Derrig and Elisha Orr

Credit Standing and the Fair Value of Liabilities pp. 70-85

Philip Heckman

Distortion Risk Measures and Economic Capital pp. 86-95

Werner Hürlimann

“Pricing Perpetual Fund Protection with Withdrawal Option,” Hans U. Gerber and Elias S. W. Shiu, April 2003 pp. 96-97

Virginia Young

Author’s Reply: Pricing Perpetual Fund Protection with Withdrawal Option - Discussion by Virginia R. Young pp. 97-99

The Editors