North American Actuarial Journal

1997 - 2025

Current editor(s): Kathryn Baker

From Taylor & Francis Journals
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Volume 22, issue 4, 2018

Application of Relational Models in Mortality Immunization pp. 509-532

Cary Chi-Liang Tsai and Xinying Liang

The Liability Regime of Insurance Pools and Its Impact on Pricing pp. 533-553

Lukas Reichel and Hato Schmeiser

Fat-Tailed Regression Modeling with Spliced Distributions pp. 554-573

Guojun Gan and Emiliano A. Valdez

The Utility Value of Longevity Risk Pooling: Analytic Insights pp. 574-590

Moshe Milevsky and Huaxiong Huang

Manual and Automated Procedures for Compiling a Very Large Sample of Centenarian Pedigrees pp. 591-599

Giacomo Nebbia, Lisa Nussbaum, Annie Helmkamp, Stacy Andersen, Thomas Perls and Paola Sebastiani

Updating Wilkie’s Economic Scenario Generator for U.S. Applications pp. 600-622

Saisai Zhang, Mary Hardy and David Saunders

The Annuity Puzzle and an Outline of Its Solution pp. 623-645

Colin M. Ramsay and Victor I. Oguledo

Volume 22, issue 3, 2018

Physiological Age, Health Costs, and Their Interrelation pp. 323-340

M. Govorun, B. L. Jones, Xiaoying Liu and D. A. Stanford

Optimal Risk Transfer: A Numerical Optimization Approach pp. 341-364

Alexandru V. Asimit, Tao Gao, Junlei Hu and Eun-Seok Kim

Solvency II Is Not Risk-Based—Could It Be? Evidence from Non-Life Calibrations pp. 365-379

Sylvestre Frezal

CEO Overconfidence and Earnings Management: Evidence from Property-Liability Insurers' Loss Reserves pp. 380-404

Thomas R. Berry-Stölzle, Evan M. Eastman and Jianren Xu

Delta Boosting Machine with Application to General Insurance pp. 405-425

Simon C. K. Lee and Sheldon Lin

Exploring the Optimal Design of an Employer-Sponsored Sickness-Disability Compensation Insurance Plan When Sickness Presenteeism Is Penalized pp. 426-457

Colin M. Ramsay, Victor I. Oguledo and Annika Krutto

Potential “Savings” of Medicare: The Analysis of Medicare Advantage and Accountable Care Organizations pp. 458-472

Patrick L. Brockett, Linda L. Golden and Charles C. Yang

An Extension of Spatial Dependence Models for Estimating Short-Term Temperature Portfolio Risk pp. 473-490

Robert Erhardt and David Engler

Around the Life Cycle: Deterministic Consumption-Investment Strategies pp. 491-507

Marcus C. Christiansen and Mogens Steffensen

Volume 22, issue 2, 2018

Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances pp. 161-181

Daniel H. Alai, Séverine Arnold (-Gaille), Madhavi Bajekal and Andrés M. Villegas

Target-Bequest Investment and Insurance Fund pp. 182-197

Virginia R. Young

Evaluating Life Expectancy Evaluations pp. 198-209

Daniel Bauer, Michael V. Fasano, Jochen Russ and Nan Zhu

Demography and Inflation: An International Study pp. 210-222

Doug Andrews, Jaideep Oberoi, Tony Wirjanto and Chenggang Zhou

Short Positions in the First Principal Component Portfolio pp. 223-251

Phelim Boyle, Shui Feng, David Melkuev, Shuai Yang and Johnew Zhang

The Role of Unhealthy Behaviors on an Individual's Self-Reported Perceived Health Status pp. 252-269

Kyeonghee Kim and Marjorie A. Rosenberg

Pricing Critical Illness Insurance from Prevalence Rates: Gompertz versus Weibull pp. 270-288

Fabio Baione and Susanna Levantesi

Estimation of Crop Yields and Insurance Premiums Using a Shrinkage Estimator pp. 289-308

Sebastain Awondo, Octavio Ramirez, Gauri S. Datta, Gregory Colson and Esendugue G. Fonsah

Cash Flow Risk Management in the Property/Liability Insurance Industry: A Dynamic Factor Modeling Approach pp. 309-322

Min-Ming Wen, H. J. Abraham Lin, Patricia H. Born, Charles Yang and Chun Wang

Volume 22, issue 1, 2018

The Optimal Write-Down Coefficients in a Percentage for a Catastrophe Bond pp. 1-21

Xiaoli Zhang and Cary Chi-Liang Tsai

Claims Reserving with a Stochastic Vector Projection pp. 22-39

Luís Portugal, Athanasios A. Pantelous and Hirbod Assa

Regression Modeling for the Valuation of Large Variable Annuity Portfolios pp. 40-54

Guojun Gan and Emiliano A. Valdez

Bonus-Malus Systems with Two-Component Mixture Models Arising from Different Parametric Families pp. 55-91

George Tzougas, Spyridon Vrontos and Nicholas Frangos

Coherent Modeling and Forecasting of Mortality Patterns for Subpopulations Using Multiway Analysis of Compositions: An Application to Canadian Provinces and Territories pp. 92-118

Marie-Pier Bergeron-Boucher, Violetta Simonacci, Jim Oeppen and Michele Gallo

A Hidden Markov Approach to Disability Insurance pp. 119-136

Boualem Djehiche and Björn Löfdahl

Modeling Frost Losses: Application to Pricing Frost Insurance pp. 137-159

Hirbod Assa, Meng Wang and Athanasios A. Pantelous

Volume 21, issue 4, 2017

Policyholder Exercise Behavior in Life Insurance: The State of Affairs pp. 485-501

Daniel Bauer, Jin Gao, Thorsten Moenig, Eric R. Ulm and Nan Zhu

Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk pp. 502-525

Maciej Augustyniak and Mathieu Boudreault

Insurance Portfolio Risk Retention pp. 526-551

Edward Frees

Actuarial Risk Matrices: The Nearest Positive Semidefinite Matrix Problem pp. 552-564

Stefan Cutajar, Helena Smigoc and Adrian O’Hagan

Aggregating Risks with Partial Dependence Information pp. 565-579

Daniël Linders and Fan Yang

Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies pp. 580-593

Patrice Gaillardetz and Mehran Moghtadai

The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates pp. 594-610

Zixi Li, Adam W. Shao and Michael Sherris

Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development pp. 611-619

Michel Denuit and Julien Trufin

General Insurance Deductible Ratemaking pp. 620-638

Gee Y. Lee

Editorial Board EOV pp. ebi-ebi

The Editors

Volume 21, issue 3, 2017

Modeling Influenza-Like Illness Activity in the United States pp. 323-342

Laslo Bollmann and Matthias Scherer

Stochastic Mortality Modeling: Key Drivers and Dependent Residuals pp. 343-368

George Mavros, Andrew J. G. Cairns, George Streftaris and Torsten Kleinow

On the Interaction between Transfer Restrictions and Crediting Strategies in Guaranteed Funds pp. 369-381

Eric R. Ulm

Egalitarian Equivalent Capital Allocation pp. 382-396

Shinichi Kamiya and George Zanjani

Extreme Value Analysis of Mortality at the Oldest Ages: A Case Study Based on Individual Ages at Death pp. 397-416

Samuel Gbari, Michel Poulain, Luc Dal and Michel Denuit

Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle pp. 417-432

Yichun Chi, X. Sheldon Lin and Ken Seng Tan

Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes pp. 433-457

Adam W. Kolkiewicz and Fangyuan Sally Lin

Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model pp. 458-483

Zhenyu Cui, Runhuan Feng and Anne MacKay

Volume 21, issue 2, 2017

Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach pp. 161-177

Guojun Gan and X. Sheldon Lin

Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application pp. 178-192

Jun Cai, David Landriault, Tianxiang Shi and Wei Wei

On Cramér's First Contributions to Ruin Theory pp. 193-203

Ennio Badolati and Sandra Ciccone

A Bühlmann Credibility Approach to Modeling Mortality Rates pp. 204-227

Cary Chi-Liang Tsai and Tzuling Lin

A Flexible Bayesian Nonparametric Model for Predicting Future Insurance Claims pp. 228-241

Liang Hong and Ryan Martin

Moment Problem and Its Applications to Risk Assessment pp. 242-266

Ruilin Tian, Samuel H. Cox and Luis F. Zuluaga

Testing Asymmetry in Dependence with Copula-Coskewness pp. 267-280

Axel Bücher, Felix Irresberger and Gregor N. F. Weiss

Indifference Pricing of a GLWB Option in Variable Annuities pp. 281-296

Jungmin Choi

The Impact of a Rating Agency's Private Information and Disclosed Causes of Rating Downgrades on Insurer Stock Returns pp. 297-304

Leon Chen and Steven W. Pottier

An Efficiency-Based Approach to Determining Potential Cost Savings and Profit Targets for Health Insurers: The Case of Obamacare Health Insurance CO-OPs pp. 305-321

Charles C. Yang and Min-Ming Wen

Volume 21, issue 1, 2017

Optimal Reinsurance Design: A Mean-Variance Approach pp. 1-14

Yichun Chi and Ming Zhou

Arrow's Theorem of the Deductible with Heterogeneous Beliefs pp. 15-35

Mario Ghossoub

Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process pp. 36-62

Tatiana Belkina and Shangzhen Luo

Impact of Flexible Periodic Premiums on Variable Annuity Guarantees pp. 63-86

Carole Bernard, Zhenyu Cui and Steven Vanduffel

Mean-Variance Asset Liability Management with State-Dependent Risk Aversion pp. 87-106

Yan Zhang, Yonghong Wu, Shuang Li and Benchawan Wiwatanapataphee

Model-Based and Nonparametric Approaches to Clustering for Data Compression in Actuarial Applications pp. 107-146

Adrian O’Hagan and Colm Ferrari

Factor Copula Approaches for Assessing Spatially Dependent High-Dimensional Risks pp. 147-160

Lei Hua, Michelle Xia and Sanjib Basu