North American Actuarial Journal

1997 - 2025

Current editor(s): Kathryn Baker

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Volume 18, issue 4, 2014

Measuring Healthcare Efficiency pp. 443-444

Ian Duncan and Harry Frech

A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method pp. 445-461

Runhuan Feng

Positive Weights on the Efficient Frontier pp. 462-477

Phelim Boyle

Health Care Reform, Efficiency of Health Insurers, and Optimal Health Insurance Markets pp. 478-500

Charles C. Yang

Bayesian Modeling of Shock Lapse Rates Provides New Evidence for Emergency Fund Hypothesis pp. 501-514

Anatoliy Belaygorod, Atilio Zardetto and Yuanjin Liu

Editorial Board EOV pp. ebi-ebi

The Editors

Volume 18, issue 3, 2014

Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas pp. 363-378

Lei Hua and Michelle Xia

Weather Derivative Risk Measures for Extreme Events pp. 379-393

Robert J. Erhardt and Richard L. Smith

Portfolio Optimization under Solvency Constraints: A Dynamical Approach pp. 394-416

Sujith Asanga, Alexandru Asimit, Alexandru Badescu and Steven Haberman

Applications of Mortality Durations and Convexities in Natural Hedges pp. 417-442

Tzuling Lin and Cary Chi-Liang Tsai

Volume 18, issue 2, 2014

Impacts of Weather and Time Horizon Selection on Crop Insurance Ratemaking: A Conditional Distribution Approach pp. 279-293

Joshua D. Woodard

Market-Consistent Valuation and Funding of Cash Balance Pensions pp. 294-314

M. R. Hardy, D. Saunders and X. Zhu

Empirical Approach for Optimal Reinsurance Design pp. 315-342

Ken Seng Tan and Chengguo Weng

Forecasting Surrender Rates Using Elliptical Copulas and Financial Variables pp. 343-362

César Neves, Cristiano Fernandes and Eduardo Melo

Volume 18, issue 1, 2014

Longevity Risk and Capital Markets: The 2012–2013 Update pp. 1-13

David Blake, Richard MacMinn, Johnny Li and Mary Hardy

Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers pp. 14-21

Enrico Biffis and David Blake

Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform pp. 22-37

Shuo-Li Chuang and Patrick Brockett

The CBD Mortality Indexes: Modeling and Applications pp. 38-58

Wai-Sum Chan, Johnny Li and Jackie Li

Systematic and Nonsystematic Mortality Risk in Pension Portfolios pp. 59-67

Helena Aro

Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk pp. 68-86

Yijia Lin, Ken Tan, Ruilin Tian and Jifeng Yu

Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy pp. 87-103

Emilio Bisetti and Carlo Favero

A Cautionary Note on Natural Hedging of Longevity Risk pp. 104-115

Nan Zhu and Daniel Bauer

A General Procedure for Constructing Mortality Models pp. 116-138

Andrew Hunt and David Blake

Detecting Common Longevity Trends by a Multiple Population Approach pp. 139-149

Valeria D’Amato, Steven Haberman, Gabriella Piscopo, Maria Russolillo and Lorenzo Trapani

Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II pp. 150-167

Rui Zhou, Yujiao Wang, Kai Kaufhold, Johnny Li and Ken Tan

On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England pp. 168-193

Andrés Villegas and Steven Haberman

Gender Convergence in Human Survival and the Postponement of Death pp. 194-216

Les Mayhew and David Smith

Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions pp. 217-241

Daniel Alai, Hua Chen, Daniel Cho, Katja Hanewald and Michael Sherris

A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages pp. 242-257

Atsuyuki Kogure, Jackie Li and Shinichi Kamiya

Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds pp. 258-277

David Blake, Tom Boardman and Andrew Cairns

Volume 17, issue 4, 2013

Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence pp. 273-282

Séverine Arnold (-Gaille) and Michael Sherris

An Industrial Organization Theory of Risk Sharing pp. 283-296

M. Martin Boyer and Charles Nyce

Collective Approaches to Risk in Business: An Introduction to Plural Rationality Theory pp. 297-305

David Ingram and Elijah Bush

Managed Care and Health Care Utilization: Specification of Bivariate Models Using Copulas pp. 306-324

Peng Shi and Wei Zhang

Editorial Board EOV pp. ebi-ebi

The Editors

Volume 17, issue 3, 2013

Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings pp. 181-215

Bonnie-Jeanne MacDonald, Bruce Jones, Richard Morrison, Robert Brown and Mary Hardy

Model Selection and Averaging in Financial Risk Management pp. 216-228

Brian Hartman and Chris Groendyke

Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model pp. 229-252

Xiao Wei, Marcellino Gaudenzi and Antonino Zanette

Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation pp. 253-271

Qihe Tang and Zhongyi Yuan

Volume 17, issue 2, 2013

Double Chain Ladder and Bornhuetter-Ferguson pp. 101-113

Maria Martínez-Miranda, Jens Nielsen and Richard Verrall

Life Insurance Purchasing to Maximize Utility of Household Consumption pp. 114-135

Erhan Bayraktar and Virginia Young

Annuity Uncertainty with Stochastic Mortality and Interest Rates pp. 136-152

Xiaoming Liu

Life Insurance Lapse Behavior pp. 153-167

Stephen Fier and Andre Liebenberg

Polynomial Approximation to Option Prices under Regime Switching pp. 168-179

Yunfan Tang

Volume 17, issue 1, 2013

Editorial pp. 1-2

Mary Hardy

A Digital Picture of the Actuarial Research Community pp. 3-12

Christian Genest and Alberto Carabarín-Aguirre

Managing the Invisible: Identifying Value-Maximizing Combinations of Risk and Capital pp. 13-28

William Panning

The Impact of the Interest Rate on Insurance/Financials Industries: The Analysis of the Stock Market's Reactions to Federal Funds Rate Changes pp. 29-40

Charles Yang

Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models pp. 41-62

Andrew Ng and Johnny Li

Pricing Funeral (Burial) Insurance in a Microinsurance World with Emphasis on Africa pp. 63-81

Colin Ramsay and Luis Arcila

State Pension Reform in a Public Choice Framework pp. 82-97

Philip Booth

Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) pp. 98-100

Steven Vanduffel and Jing Yao