North American Actuarial Journal

1997 - 2026

Current editor(s): Kathryn Baker

From Taylor & Francis Journals
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Volume 26, issue 4, 2022

Sample Size Determination for Credibility Estimation pp. 485-495

Liang Hong

Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models pp. 496-520

Tsz Chai Fung, Andrei L. Badescu and X. Sheldon Lin

Discounting the Discounted Projection Approach pp. 521-536

Dean Buckner and Kevin Dowd

Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games pp. 537-569

Guohui Guan and Xiang Hu

How Much Telematics Information Do Insurers Need for Claim Classification? pp. 570-590

Francis Duval, Jean-Philippe Boucher and Mathieu Pigeon

Age-Coherent Mortality Modeling and Forecasting Using a Constrained Sparse Vector-Autoregressive Model pp. 591-609

Le Chang and Yanlin Shi

Modeling General Practitioners’ Total Drug Costs through GAMLSS and Collective Risk Models pp. 610-625

G. P. Clemente, N. Savelli, G. A. Spedicato and D. Zappa

A Nonproportional Premium Rating Method for Construction Risks pp. 626-645

Daniel Abramson

Volume 26, issue 3, 2022

A Heavy-Tailed and Overdispersed Collective Risk Model pp. 323-335

Pamela M. Chiroque-Solano and Fernando Antônio da S. Moura

Tail Moments of Compound Distributions pp. 336-350

Jiandong Ren

Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk pp. 351-382

Yichun Chi, Zuo Quan Xu and Sheng Chao Zhuang

Dynamic Fund Protection for Property Markets pp. 383-402

Tak Kuen Siu, Ha Nguyen and Ning Wang

Semiparametric Regression for Dual Population Mortality pp. 403-427

Gary Venter and Şule Şahin

Usage-Based Insurance—Impact on Insurers and Potential Implications for InsurTech pp. 428-455

Xin Che, Andre Liebenberg and Jianren Xu

Using Clusters Based on Social Determinants to Identify the Top 5% Utilizers of Health Care pp. 456-469

Marjorie Rosenberg and Fanghao Zhong

Using Machine Learning to Better Model Long-Term Care Insurance Claims pp. 470-483

Jared Cummings and Brian Hartman

Volume 26, issue 2, 2022

Short- and Long-Term Dynamics of Cause-Specific Mortality Rates Using Cointegration Analysis pp. 161-183

Séverine Arnold and Viktoriya Glushko

Alcohol and Mortality: An Actuarial Issue pp. 184-204

Sam Gutterman

Analysis of Prescription Drug Utilization with Beta Regression Models pp. 205-226

Guojun Gan and Emiliano A. Valdez

A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance” pp. 227-251

Peter A. Forsyth

On Voluntary Terminations of Life Insurance: Differentiating Surrender Propensity From Lapse Propensity Across Product Types pp. 252-282

Yawen Hwang, Linus Fang-Shu Chan and Chenghsien Jason Tsai

How Much Is Optimal Reinsurance Degraded by Error? pp. 283-297

Yinzhi Wang and Erik Bølviken

Evaluating Medical Underwriters in Life Settlements: Problem of Unreported Deaths pp. 298-322

Hong Beng Lim and Nariankadu D. Shyamalkumar

Volume 26, issue 1, 2022

A Systematic Review and Qualitative Assessment of Fraud Detection Methodologies in Health Care pp. 1-26

Jing Ai, Jennifer Russomanno, Skyla Guigou and Rachel Allan

Pricing Hurricane Bonds Using a Physically Based Option Pricing Approach pp. 27-42

Carolyn W. Chang, Jack S. K. Chang and Min-Teh Yu

Joint Extremes in Temperature and Mortality: A Bivariate POT Approach pp. 43-63

Han Li and Qihe Tang

Worst-Case Valuation of Equity-Linked Products Using Risk-Minimizing Strategies pp. 64-81

Patrice Gaillardetz and Emmanuel Osei Mireku

Do Jumps Matter in the Long Term? A Tale of Two Horizons pp. 82-101

Jean-François Bégin and Mathieu Boudreault

Backcasting Mortality in England and Wales, 1600–1840 pp. 102-122

Di Wang and Wai-Sum Chan

On a Family of Log-Gamma-Generated Archimedean Copulas pp. 123-142

Yaming Yang and Shuanming Li

Collaborative Insurance with Stop-Loss Protection and Team Partitioning pp. 143-160

Michel Denuit and Christian Y. Robert

Volume 25, issue S1, 2021

Longevity Risk and Capital Markets: The 2016–2017 Update pp. S1-S6

David Blake and Richard MacMinn

New Solutions to an Age-Old Problem: Innovative Strategies for Managing Pension and Longevity Risk pp. S7-S24

Amy Kessler

Reinsurance Sidecars: The Next Stage in the Development of the Longevity Risk Transfer Market pp. S25-S39

Nicholas Bugler, Kirsty Maclean, Vladimir Nicenko and Patrick Tedesco

Optimal Longevity Risk Transfer and Investment Strategies pp. S40-S65

Samuel H. Cox, Yijia Lin and Sheen Liu

Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? pp. S66-S96

Kenneth Q. Zhou and Johnny Siu-Hang Li

Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers pp. S97-S118

Andrew J. G. Cairns and Ghali El Boukfaoui

Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools pp. S119-S131

Ming-Hua Hsieh, Chenghsien Jason Tsai and Jennifer L. Wang

Understanding Patterns of Mortality Homogeneity and Heterogeneity Across Countries and Their Role in Modeling Mortality Dynamics and Hedging Longevity Risk pp. S132-S155

Sharon S. Yang, Yu-Yun Yeh, Jack C. Yue and Hong Chih Huang

Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices pp. S156-S169

Qiheng Guo and Daniel Bauer

Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model pp. S170-S181

Kevin Dowd, Andrew J. G. Cairns and David Blake

Optimal Portfolio Choice in Retirement With Participating Life Annuities pp. S182-S195

Ralph Rogalla

Flexible and Affordable Methods of Paying for Long-Term Care Insurance pp. S196-S214

Les Mayhew, Ben Rickayzen and David Smith

On the Structure and Classification of Mortality Models pp. S215-S234

Andrew Hunt and David Blake

A Bayesian Approach to Modeling and Projecting Cohort Effects pp. S235-S254

Andrew Hunt and David Blake

Improving HMD Mortality Estimates with HFD Fertility Data pp. S255-S279

Alexandre Boumezoued

Longevity Risk and Capital Markets: The 2017–2018 Update pp. S280-S308

David Blake, Richard MacMinn, Jason Chenghsien Tsai and Jennifer Wang

An Efficient Method for Mitigating Longevity Value-at-Risk pp. S309-S340

Yanxin Liu and Johnny Siu-Hang Li

Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes pp. S341-S372

Johnny Siu-Hang Li, Jackie Li, Uditha Balasooriya and Kenneth Q. Zhou

Hedging Longevity Risk: Does the Structure of the Financial Instrument Matter? pp. S373-S384

Richard D. MacMinn and Nan Zhu

An Analysis of Period and Cohort Mortality Shocks in International Data pp. S385-S409

David McCarthy and Po-Lin Wang

Using Graduation to Modify the Estimation of Lee–Carter Model for Small Populations pp. S410-S420

Jack C. Yue, Hsin-Chung Wang and Tzu-Yu Wang

A Multi-population Approach to Forecasting All-Cause Mortality Using Cause-of-Death Mortality Data pp. S421-S456

Pintao Lyu, Anja De Waegenaere and Bertrand Melenberg

A Synthesis Mortality Model for the Elderly pp. S457-S481

Karen C. Su and Jack C. Yue

Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing pp. S482-S507

Andrew Hunt and David Blake

Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies pp. S508-S533

Andrew Hunt and David Blake

Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach pp. S534-S544

Atsuyuki Kogure, Takahiro Fushimi and Shinichi Kamiya

An Investigation into Inequalities in Adult Lifespan pp. S545-S565

Les Mayhew and David Smith

Rising Inequality in Life Expectancy by Socioeconomic Status pp. S566-S581

Geoffrey Sanzenbacher, Anthony Webb, Candace M. Cosgrove and Natalia Orlova

Mortality Differential and Social Insurance: A Case Study in Taiwan pp. S582-S592

Chih-Kai Chang, Jack C. Yue, Chian-Jing Chen and Yen-Wen Chen

Volume 25, issue 4, 2021

Valid Model-Free Prediction of Future Insurance Claims pp. 473-483

Liang Hong and Ryan Martin

Modeling Malicious Hacking Data Breach Risks pp. 484-502

Hong Sun, Maochao Xu and Peng Zhao

The Effect of Incidental Reinsurance Assumption on Insurer Performance pp. 503-523

Todd Griffith and Andre P. Liebenberg

On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk pp. 524-542

Sébastien Jessup, Jean-Philippe Boucher and Mathieu Pigeon

Data Breach CAT Bonds: Modeling and Pricing pp. 543-561

Maochao Xu and Yiying Zhang

Using Model Averaging to Determine Suitable Risk Measure Estimates pp. 562-579

Tatjana Miljkovic and Bettina Grün

Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk pp. 580-603

Kwangmin Jung

The Economics of a Secondary Market for Variable Annuities pp. 604-630

Thorsten Moenig and Nan Zhu

Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020 pp. 631-636

Edward Furman, Yisub Kye and Jianxi Su

Reply to Edward Furman, Yisub Kye, and Jianxi Su on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums” pp. 637-638

Michel Denuit

Jiandong Ren's Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020 pp. 639-642

Jiandong Ren

Reply to Jiandong Ren on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums” pp. 643-643

Michel Denuit

Volume 25, issue 3, 2021

Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach pp. 313-333

Kai Liu and Ken Seng Tan

The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework pp. 334-359

Rogemar Mamon, Heng Xiong and Yixing Zhao

A Semiparametric Method for Assessing Life Expectancy Evaluations pp. 360-394

Hong Beng Lim and Nariankadu D. Shyamalkumar

A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited pp. 395-416

Edward Furman, Yisub Kye and Jianxi Su

Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model pp. 417-437

Julia Eisenberg and Zbigniew Palmowski

A DSA Algorithm for Mortality Forecasting pp. 438-458

Liqun Diao, Yechao Meng and Chengguo Weng

Hans U. Gerber and Elias S. W. Shiu’s Discussion on “Agricultural Insurance Ratemaking: Development of a New Premium Principle,” by Wenjun Zhu, Ken Seng Tan, and Lysa Porth, Volume 23(4) pp. 459-465

Hans U. Gerber and Elias S. W. Shiu

Reply to Hans U. Gerber and Elias S. W. Shiu on Their Discussion on Our Paper Entitled "Agricultural Insurance Ratemaking: Development of a New Premium Principle" pp. 466-467

Wenjun Zhu, Ken Seng Tan and Lysa Porth

Abylay Zhexembay's Discussion on “Agricultural Insurance Ratemaking: Development of a New Premium Principle,” by Wenjun Zhu, Ken Seng Tan, and Lysa Porth, Volume 23(4) pp. 468-471

Abylay Zhexembay

Reply to Abylay Zhexembay on the Discussion on Our Paper Entitled "Agricultural Insurance Ratemaking: Development of a New Premium Principle" pp. 472-472

Wenjun Zhu, Ken Seng Tan and Lysa Porth

Volume 25, issue 2, 2021

Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data pp. 135-162

Hansjörg Albrecher, José Carlos Araujo-Acuna and Jan Beirlant

Feasibility of Long-Term Interest Balance among Stakeholders in the Natural Catastrophe Insurance Market pp. 163-185

Ning Zhang, Yang-Che Wu and Wan-Shiou Yang

Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach pp. 186-205

Hong Li, Yang Lu and Wenjun Zhu

A New Class of Severity Regression Models with an Application to IBNR Prediction pp. 206-231

Tsz Chai Fung, Andrei L. Badescu and X. Sheldon Lin

An Empirical Analysis of Insurer Participation in the U.S. Cyber Insurance Market pp. 232-254

Cassandra R. Cole and Stephen G. Fier

Boosting Insights in Insurance Tariff Plans with Tree-Based Machine Learning Methods pp. 255-285

Roel Henckaerts, Marie-Pier Côté, Katrien Antonio and Roel Verbelen

Price Index Insurances in the Agriculture Markets pp. 286-311

Hirbod Assa and Meng (Simon) Wang

Volume 25, issue 1, 2020

Medicaid Managed Care: Efficiency, Medical Loss Ratio, and Quality of Care pp. 1-16

Patrick Brockett, Linda Golden, Charles C. Yang and David Young

A Multi-state Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty pp. 17-39

Michael Sherris and Pengyu Wei

Assessing the Causal Impact of Delayed Oral Health Care on Emergency Department Utilization pp. 40-52

Lisa Gao and Marjorie A. Rosenberg

Predicting High-Cost Health Insurance Members through Boosted Trees and Oversampling: An Application Using the HCCI Database pp. 53-61

Brian Hartman, Rebecca Owen and Zoe Gibbs

Using Asymmetric Cost Matrices to Optimize Care Management Interventions pp. 62-72

Zoe Gibbs and Brian Hartman

The Mathematical Mechanism of Biological Aging pp. 73-93

Boquan Cheng, Bruce Jones, Xiaoming Liu and Jiandong Ren

Health Expenditures and Quality Health Services: The Efficiency Analysis of Differential Risk Structures of Medicare Accountable Care Organizations (ACOs) pp. 94-114

Charles C. Yang

Social Determinant–Based Profiles of U.S. Adults with the Highest and Lowest Health Expenditures Using Clusters pp. 115-133

Fanghao Zhong, Marjorie Rosenberg, Joshua Agterberg and Richard Crabb