North American Actuarial Journal

1997 - 2025

Current editor(s): Kathryn Baker

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Volume 16, issue 4, 2012

Patterns of Aging-Related Changes on the Way to 100 pp. 403-433

Anatoliy Yashin, Konstantin Arbeev, Svetlana Ukraintseva, Igor Akushevich and Alexander Kulminski

Mortality Compression and Longevity Risk pp. 434-448

Jack Yue

Risk-Sharing and Benefit Smoothing in A Hybrid Pension Plan pp. 449-461

Zaki Khorasanee

Optimal Risk Classification with an Application to Substandard Annuities pp. 462-486

Nadine Gatzert, Gudrun Schmitt-Hoermann and Hato Schmeiser

Jackknife Euclidean Likelihood-Based Inference for Spearman's Rho pp. 487-492

Miguel de Carvalho and Filipe Marques

Dividend Barrier Strategies in A Renewal Risk Model with Generalized Erlang Interarrival Times pp. 493-512

Yuliya Mishura and Hanspeter Schmidli

The Bankruptcy Cost of the Life Insurance Industry Under Regulatory Forbearance pp. 513-523

Shang-Yin Yang, Ya-Wen Hwang and Shih-Chieh Chang

Society of Actuaries pp. 524-524

The Editors

Volume 16, issue 3, 2012

Loss Reserves and the Employment Status of the Appointed Actuary pp. 285-305

Mary Kelly, Anne Kleffner and Si Li

The Impact of No-Fault Legislation on Automobile Insurance pp. 306-322

Cassandra Cole, Kevin Eastman, Patrick Maroney, Kathleen McCullough and David Macpherson

Equilibrium Pricing of General Insurance Policies pp. 323-349

Paul Emms

Asymptotic Analysis of Multivariate Tail Conditional Expectations pp. 350-363

Li Zhu and Haijun Li

Temporal Evolution of Mortality Indicators pp. 364-377

A. Debón, F. Martínez-Ruiz and F. Montes

A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization pp. 378-397

Qihe Tang and Zhongyi Yuan

“A Bayesian Log-Normal Model for Multivariate Loss Reserving”, Peng Shi, Sanjib Basu, and Glenn G. Meyers, March 2012 pp. 398-401

Mario Wϋthrich

Volume 15, issue 4, 2011

Jackknife Empirical Likelihood Intervals for Spearman’s Rho pp. 475-486

Ruodu Wang and Liang Peng

Effects of Risk Management on Cost Efficiency and Cost Function of the U.S. Property and Liability Insurers pp. 487-498

Hong-Jen Lin, Min-Ming Wen and Charles Yang

Capital Allocation Using the Bootstrap pp. 499-516

Joseph Kim

Fair Valuation of Equity-Linked Policies under Insurer Default Risk pp. 517-534

Massimo Costabile, Ivar Massabò and Emilio Russo

A Statistical Basis for Claims Experience Monitoring pp. 535-552

Greg Taylor

“Human Survival at Older Ages and the Implications for Longevity Bond Pricing,” Leslie Mayhew and David Smith, June, 2011 pp. 553-558

Michael Cowell

Volume 15, issue 3, 2011

Markovian Approaches to Joint-Life Mortality pp. 357-376

Min Ji, Mary Hardy and Johnny Siu-Hang Li

Predicting the Frequency and Amount of Health Care Expenditures pp. 377-392

Edward Frees, Jie Gao and Marjorie Rosenberg

Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling pp. 393-416

Jae Youn Ahn and Nariankadu Shyamalkumar

Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model pp. 417-431

Xiang Lin and Yanfang Li

Mortality Measurement at Advanced Ages pp. 432-447

Leonid Gavrilov and Natalia Gavrilova

Optimum Allocations to Health Care Flexible Spending Accounts pp. 448-467

Colin Ramsay and Victor Oguledo

“Voluntary Termination of Life Insurance Policies: Evidence from the U.S. Market,” Shi-jie Jiang, Vol. 14, No. 3, 2010 pp. 468-471

Ryen Robinson and Christian DesRochers

Author’s Reply: Voluntary Termination of Life Insurance Policies: Evidence from the U.S. Market by Shi-jie Jiang - Discussion by Ryen Robinson; Christian Desrochers pp. 471-472

The Editors

Volume 15, issue 2, 2011

Longevity Risk and Capital Markets pp. 141-149

David Blake, Pat Brockett, Samuel Cox and Richard MacMinn

Longevity Hedging 101 pp. 150-176

Guy Coughlan, Marwa Khalaf-Allah, Yijing Ye, Sumit Kumar, Andrew Cairns, David Blake and Kevin Dowd

Measuring Basis Risk in Longevity Hedges pp. 177-200

Johnny Li and Mary Hardy

Hedging Longevity Risk When Interest Rates are Uncertain pp. 201-211

Jeffrey Tsai, Larry Tzeng and Jennifer Wang

Mortality-Indexed Annuities Managing Longevity Risk Via Product Design pp. 212-236

Andreas Richter and Frederik Weber

A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks pp. 237-247

Kevin Dowd, David Blake and Andrew Cairns

Human Survival at Older Ages and the Implications for Longevity Bond Pricing pp. 248-265

Leslie Mayhew and David Smith

Mortality Regimes and Pricing pp. 266-289

Andreas Milidonis, Yijia Lin and Samuel Cox

Explaining Mortality Dynamics pp. 290-314

Katja Hanewald

The Poisson Log-Bilinear Lee-Carter Model pp. 315-333

Valeria D’Amato, Emilia Di Lorenzo, Steven Haberman, Maria Russolillo and Marilena Sibillo

A Gravity Model of Mortality Rates for Two Related Populations pp. 334-356

Kevin Dowd, Andrew Cairns, David Blake, Guy Coughlan and Marwa Khalaf-Allah

Volume 15, issue 1, 2011

A Risk-Based Evaluation Methodology for Cost Effectiveness of Chronic Condition Health Management Programs pp. 1-12

Ian Duncan, Bryan Beatty and Brian Day

Structural Changes in the Lee-Carter Mortality Indexes pp. 13-31

Johnny Li, Wai-Sum Chan and Siu-Hung Cheung

Estimates of the Incidence, Prevalence, Duration, Intensity, and Cost of Chronic Disability Among the U.S. Elderly pp. 32-58

Eric Stallard

The Valuation of Guaranteed Lifelong Withdrawal Benefit Options in Variable Annuity Contracts and the Impact of Mortality Risk pp. 59-76

Gabriella Piscopo and Steven Haberman

Improving the Design of Financial Products in a Multidimensional Black-Scholes Market pp. 77-96

Carole Bernard, Mateusz Maj and Steven Vanduffel

Longevity-Indexed Life Annuities pp. 97-111

Michel Denuit, Steven Haberman and Arthur Renshaw

Actuarial Applications of Epidemiological Models pp. 112-136

Runhuan Feng and Jose Garrido

“Mortality Projections for Social Security Programs in the United States,” Alice H. Wade, Vol. 14, No. 3, 2010 pp. 137-139

Michael Cowell

Volume 14, issue 4, 2010

Voluntary Termination of Life Insurance Policies pp. 369-380

Shi-jie Jiang

Developing Mortality Improvement Formulas pp. 381-399

Johnny Li, Mary Hardy and Ken Tan

Biometric Solvency Risk for Portfolios of General Life Contracts. I. The Single-Life Multiple Decrement Case pp. 400-419

Werner Hürlimann

A Direct Approach to the Discounted Penalty Function pp. 420-434

Hansjörg Albrecher, Hans Gerber and Hailiang Yang

“A Direct Approach to the Discounted Penalty Function”, Hansjörg Albrecher, Hans U. Gerber, and Hailiang Yang, Volume 14, No. 4, 2010 pp. 434-438

Volkmar Lautscham

“A Direct Approach to the Discounted Penalty Function”, Hansjörg Albrecher, Hans U. Gerber, and Hailiang Yang, Volume 14, No. 4, 2010 pp. 438-441

Yi Lu

“A Direct Approach to the Discounted Penalty Function”, Hansjörg Albrecher, Hans U. Gerber, and Hailiang Yang, Volume 14, No. 4, 2010 pp. 441-445

Eric Cheung

Authors’ Reply: A Direct Approach to the Discounted Penalty Function - Discussion by Volkmar Lautscham; Yi Lu; Eric C. K. Cheung pp. 445-447

Hansjörg Albrecher, Hans U. Gerber and Hailiang Yang

Fair Terms and Fair Pricing for Multiple Warrant Issues pp. 448-463

P. W. A. Dayananda and John Kemper

The Moments of the Time of Ruin in Markovian Risk Models pp. 464-471

Kaiqi Yu, Jiandong Ren and David Stanford

Volume 14, issue 3, 2010

Backtesting Stochastic Mortality Models pp. 281-298

Kevin Dowd, Andrew Cairns, David Blake, Guy Coughlan, David Epstein and Marwa Khalaf-Allah

Mortality Projections for Social Security Programs in the United States pp. 299-315

Alice Wade

Mortality Projections for Social Security Programs in Canada pp. 316-337

Michel Montambeault and Jean-Claude Ménard

Household Life Insurance Demand pp. 338-354

Edward Frees and Yunjie (Winnie) Sun

Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy pp. 355-368

Laura Ballotta

Volume 14, issue 2, 2010

The Effectiveness of Using a Basis Hedging Strategy to Mitigate the Financial Consequences of Weather-Related Risks pp. 157-175

Linda Golden, Charles Yang and Hong Zou

Relative Choice Models for Income Drawdown in a Defined Contribution Pension Scheme pp. 176-197

Paul Emms

Conditional Tail Moments of the Exponential Family and Its Related Distributions pp. 198-216

Joseph Kim

An Asymptotic Analysis of the Bootstrap Bias Correction for the Empirical CTE pp. 217-234

Jae Ahn and Nariankadu Shyamalkumar

Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method pp. 235-255

Mario Wüthrich

Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method pp. 256-272

Fei Yuen and Hailiang Yang

“Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method”, Fei Lung Yuen and Hailiang Yang, April, 2010 pp. 272-277

Robert Elliott, Chuin Liew and Tak Siu

“Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009 pp. 278-279

Steven Vanduffel

“Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009 pp. 280-280

Hans Gerber and Elias Shiu

Volume 14, issue 1, 2010

Monitoring Changes in Capital and Hedge Effectiveness Under Fair Value Accounting Principles pp. 1-15

Louis Lombardi

The Effect of Policyholder Transfer Behavior on the Value of Guaranteed Minimum Death Benefits pp. 16-37

Eric Ulm

Valuation of a Guaranteed Minimum Income Benefit pp. 38-58

Claymore Marshall, Mary Hardy and David Saunders

Improving Skewness of Mean-Variance Portfolios pp. 59-67

Luis Zuluaga and Samuel Cox

Significantly Lower Estimates of Volatility Arise from the Use of Open-High-Low-Close Price Data pp. 68-85

Matthew Modisett and Edgard Maboudou-Tchao

Portfolio Risk Management with CVaR-Like Constraints pp. 86-106

Ruilin Tian, Samuel Cox, Yijia Lin and Luis Zuluaga

Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions pp. 107-130

Simon Lee and X. Lin

Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework pp. 131-149

Carole Bernard, Olivier Le Courtois and François Quittard-Pinon

“Computation of Multivariate Barrier Crossing Probability and Its Applications in Credit Risk Models,” Joonghee Huh and Adam Kolkiewicz, July 2008 pp. 150-156

Tak Siu