North American Actuarial Journal

1997 - 2025

Current editor(s): Kathryn Baker

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Volume 13, issue 4, 2009

The DB Underpin Hybrid Pension Plan pp. 407-424

Kai Chen and Mary Hardy

The Impact of Adjuster Moral Hazard on Driving Records pp. 425-437

Mary Kelly, Sapna Isotupa and Anne Kleffner

Assessing Consumer Fraud Risk in Insurance Claims pp. 438-458

Jing Ai, Patrick Brockett and Linda Golden

VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance pp. 459-482

Ken Tan, Chengguo Weng and Yi Zhang

Weighted Pricing Functionals With Applications to Insurance pp. 483-496

Edward Furman and Ričardas Zitikis

Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model pp. 497-513

Eric Cheung and David Landriault

“A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States,” Andrew J. G. Cairns, David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, Alen Ong, and Igor Balevich, Vol. 13, No. 1, 2009 pp. 514-520

Kailiang Chen, Jia Liao, Xiaoyu Shang and Johnny Siu-Hang Li

“Valuation of Discrete Dynamic Fund Protection under Lévy Processes,” Hoi Ying Wong and Ka Wai Lam, April 2009 pp. 520-524

Jun Yang

Volume 13, issue 3, 2009

Pricing Weather Derivatives Using the Indifference Pricing Approach pp. 303-315

Patrick Brockett, Linda Goldens, Min-Ming Wen and Charles Yang

Pricing Annuity Guarantees Under a Regime-Switching Model pp. 316-332

X. Lin, Ken Tan and Hailiang Yang

“Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009 pp. 333-337

Robert Elliott and Tak Siu

Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu pp. 337-338

The Editors

Life Insurance Mathematics with Random Life Tables pp. 339-355

Michel Denuit and Esther Frostig

Robust and Efficient Fitting of Loss Models pp. 356-369

Vytaras Brazauskas

Cash Flow Matching pp. 370-378

Garud Iyengar and Alfred Ma

“Cash Flow Matching: A Risk Management Approach”, Garud Iyengar and Alfred Ka Chun Ma, July, 2009 pp. 378-384

Ken Kortanek

Impact of Underwriting Cycles on the Solvency of an Insurance Company pp. 385-403

Julien Trufin, Hansjörg Albrecher and Michel Denuit

“On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model,” David Landriault and Gordon Willmot, Volume 13, No. 2, 2009 pp. 404-406

Steve Drekic

Volume 13, issue 2, 2009

Examining the Effects of Guarantee Funds on Pension Plans pp. 157-169

Norma Nielson

Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas pp. 170-185

Eduardo de Melo and Beatriz Mendes

Is Defined Contribution a Panacea for Defined Benefit Social Security Funding Problems? Lessons from Two Countries pp. 186-201

Doug Andrews and Robert Brown

Valuation of Discrete Dynamic Fund Protection Under Lévy Processes pp. 202-216

Hoi Wong and Ka Lam

Strategies for Dividend Distribution: A Review pp. 217-251

Benjamin Avanzi

On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model pp. 252-270

David Landriault and Gordon Willmot

“On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009 pp. 271-272

David Dickson

“On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009 pp. 272-277

Jae-Kyung Woo

“On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009 pp. 277-278

Hans Gerber and Elias Shiu

Author’s Reply: On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model - Discussion by David C. M. Dickson; Jae-Kyung Woo; Hans U. Gerber; Elias S. W. Shiu pp. 278-279

David Landriault and Gordon Willmot

A Robustification of the Chain-Ladder Method pp. 280-298

Tim Verdonck, Martine van Wouwe and Jan Dhaene

Volume 13, issue 1, 2009

A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States pp. 1-35

Andrew Cairns, David Blake, Kevin Dowd, Guy Coughlan, David Epstein, Alen Ong and Igor Balevich

Multivariate Models of Equity Returns for Investment Guarantees Valuation pp. 36-53

Mathieu Boudreault and Christian-Marc Panneton

An Option-Based Operational Risk Management Model for Pandemics pp. 54-76

Hua Chen and Samuel Cox

Optimal Management of an Insurer’s Exposure in a Competitive General Insurance Market pp. 77-105

Paul Emms and Steven Haberman

Relative Hedging of Systematic Mortality Risk pp. 106-140

Michael Ludkovski and Erhan Bayraktar

Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities pp. 141-154

Erhan Bayraktar and Virginia Young

“The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008 pp. 155-156

Jiandong Ren

Volume 12, issue 4, 2008

Editorial pp. iii-iv

Mary Hardy

Securitization of Longevity Risk in Reverse Mortgages pp. 345-371

Liang Wang, Emiliano Valdez and John Piggott

Negative Effects of the Canadian GIS Clawback and Possible Mitigating Alternatives pp. 372-383

Diana Chisholm and Rob Brown

Minimizing the Probability of Lifetime Ruin under Random Consumption pp. 384-400

Erhan Bayraktar, Kristen Moore and Virginia Young

Simulation of Compound Hierarchical Models in R pp. 401-412

Vincent Goulet and Louis-Philippe Pouliot

The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model pp. 413-425

Shuanming Li

“The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008 pp. 425-427

Xueyuan Wu

Minimizing the Probability of Ruin When Consumption is Ratcheted pp. 428-442

Erhan Bayraktar and Virginia Young

“On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” Jiandong Ren, April 2008 pp. 443-445

Shuanming Li

Volume 12, issue 3, 2008

Market Price of Insurance Risk Implied by Catastrophe Derivatives pp. 221-227

Alexander Muermann

Efficient Post-Retirement Asset Allocation pp. 228-241

Barry Freedman

A Simple Model of Insurance Market Dynamics pp. 242-262

Greg Taylor

Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models pp. 263-291

Joonghee Huh and Adam Kolkiewicz

Intergenerational Transfers and Insurance Policy Design pp. 292-298

David Bernstein

Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model pp. 299-318

Eric Cheung, David Dickson and Steve Drekic

Ordering Ruin Probabilities Resulting from Layer-Based Claim Amounts for Surplus Process Perturbed by Diffusion pp. 319-335

Cary Chi-Liang Tsai

“Recursive Calculation of the Dividend Moments in a Multi-Threshold Risk Model,” Andrei Badescu and David Landriault, January 2008 pp. 336-340

Eric Cheung

Author’s Reply: The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model - Discussion by Shuanming Li, July 2007 pp. 341-341

Jiandong Ren

Author’s Reply: On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals - Discussion by Professor Elias Shiu, April 2008 pp. 341-342

Jiandong Ren

Edited by Geoffrey Poitras with Franck Jovanovic pp. 343-343

Elias Shiu

Volume 12, issue 2, 2008

Editorial pp. iii-iii

Bruce Schobel

Threshold Life Tables and Their Applications pp. 99-115

Johnny Siu-Hang Li, Mary Hardy and Ken Seng Tan

Estimating the Probability of a Rare Event via Elliptical Copulas pp. 116-128

Liang Peng

Modeling Insurance Claims with Extreme Observations: Transformed Kernel Density and Generalized Lambda Distribution pp. 129-142

Uditha Balasooriya and Chan-Kee Low

Ruin Minimization for Insurers with Borrowing Constraints pp. 143-174

Shangzhen Luo

Prediction Error of the Multivariate Chain Ladder Reserving Method pp. 175-197

Michael Merz and Mario Wüthrich

On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals pp. 198-206

Jiandong Ren

“On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” Jiandong Ren April 2008 pp. 206-207

Elias Shiu

“The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007 pp. 208-210

Shuanming Li

“The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007 pp. 210-212

Andrei Badescu

“Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007 pp. 213-215

Tak Kuen Siu

Authors’ Reply: On Optimal Dividend Strategies in the Compound Poisson Model - Discussion by Bangwon Ko, July 2006 pp. 216-219

Hans Gerber and Elias Shiu

Gerard Cornuejols and Reha Tütüncü pp. 220-220

Carole Bernard

Volume 12, issue 1, 2008

Predictive Modeling of Costs for a Chronic Disease with Acute High-Cost Episodes pp. 1-19

Marjorie Rosenberg and Phillip Farrell

The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model pp. 18-46

Tak Kuen Siu, Christina Erlwein and Rogemar Mamon

Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty pp. 47-64

Zhongfei Li, Ken Seng Tan and Hailiang Yang

Pricing a Heterogeneous Portfolio Based on a Demand Function pp. 65-73

Yaniv Zaks, Esther Frostig and Benny Levikson

Recursive Calculation of the Dividend Moments in a Multi-threshold Risk Model pp. 74-88

Andrei Badescu and David Landriault

“Asset Allocation with Hedge Funds on the Menu” Phelim Boyle and Sun Siang Liew, October 2007 pp. 89-90

Hans Gerber and Elias Shiu

“Markov Aging Process and Phase-Type Law of Mortality,” X. Sheldon Lin and Xiaoming Liu, October 2007 pp. 90-94

Johnny Li and Andrew Ng

“Trajectories of Morbidity, Disability, and Mortality among the U.S. Elderly Population: Evidence from the 1984-1999 NLTCS,” Eric Stallard, July 2007 pp. 94-98

Michael Cowell