North American Actuarial Journal

1997 - 2025

Current editor(s): Kathryn Baker

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Volume 11, issue 4, 2007

Asset Allocation with Hedge Funds on the Menu pp. 1-21

Phelim Boyle and Sun Siang Liew

Regulatory Competition and Life Insurance Solvency Regulation in the European Union and United States pp. 23-41

Philip Booth and Alan Morrison

Estimation of Distress Costs Associated with Downgrades Using Regimeswitching Models pp. 42-60

Andreas Milidonis and Shaun Wang

A Long-Term Model of the Dynamics of the S&P500 Implied Volatility Surface pp. 61-75

Martin le Roux

An Empirical Examination of Jump Risk in U.S. Equity And Bond Markets pp. 76-91

Lee Dunham and Geoffrey Friesen

Markov Aging Process and Phase-Type Law of Mortality pp. 92-109

X. Lin and Xiaoming Liu

Risk Classification for Claim Counts pp. 110-131

Jean-Philippe Boucher, Michel Denuit and Montserrat Guillén

“Search for Predictors of Exceptional Human Longevity: Using Computerized Genealogies and Internet Resources for Human Longevity Studies,” Natalia S. Gavrilova and Leonid A. Gavrilov, January 2007 pp. 132-135

Bert Kestenbaum

Authors’ Reply: Search for Predictors of Exceptional Human Longevity: Using Computerized Genealogies and Internet Resources for Human Longevity Studies - Discussion by Bert Kestenbaum pp. 135-138

The Editors

“A Risk Model with Multilayer Dividend Strategy,” Hansjörg Albrecher and Jürgen Hartinger, April 2007 pp. 138-141

Ramin Okhrati

Authors’ Reply: A Risk Model with Multilayer Dividend Strategy - Discussion by Cheung; Ramin Okhrati pp. 141-142

The Editors

“On the Class of Erlang Mixtures with Risk Theoretic Applications,” Gordon E. Willmot and Jae-Kyung Woo, April 2007 pp. 142-144

Saralees Nadarajah

Authors’ Reply: On the Class of Erlang Mixtures with Risk Theoretic Applications - Discussion by Saralees Nadarajah pp. 144-144

The Editors

“Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model,” Shaunming Li and Yi Lu, April 2007 pp. 145-148

Eric Cheung

“Pension Plan Valuation and Mortality Projection: A Case Study with Mortality Data,” Hélène Cossette, Antoine Delwarde, Michel Denuit, Frédérick Guillot, and Étienne Marceau, April 2007 pp. 148-150

Steven Haberman and Arthur Renshaw

Author Reply: An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets by Zinoviy Landsman and Michael Sherris - Discussion by Edward Furman; Ricardas Zitikis pp. 150-150

The Editors

Volume 11, issue 3, 2007

Natural Hedging of Life and Annuity Mortality Risks pp. 1-15

Samuel Cox and Yijia Lin

Trajectories of Morbidity, Disability, and Mortality among the U.S. Elderly Population pp. 16-53

Eric Stallard

Predictive Modeling with Longitudinal Data pp. 54-69

Marjorie Rosenberg, Edward Frees, Jiafeng Sun, Paul Johnson and Jim Robinson

A Synchronous Bootstrap to Account for Dependencies Between Lines of Business in the Estimation of Loss Reserve Prediction Error pp. 70-88

Greg Taylor and Gráinne McGuire

Normalized Exponential Tilting pp. 89-99

Shaun Wang

Determining the Optimum Guarantee Period for a One-Life Retirement Annuity pp. 100-112

Gopi Goda and Colin Ramsay

Using Aumann-Shapley Values to Allocate Insurance Risk pp. 113-127

Michael Powers

The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model pp. 128-136

Jiandong Ren

“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. 136-137

Bangwon Ko

Robust and Efficient Methods for Credibility When Claims Are Approximately Gamma-Distributed pp. 138-158

Harald Dornheim and Vytaras Brazauskas

Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment pp. 159-169

Hans Gerber and Hailiang Yang

“Stochastic Annuities,” Daniel Dufresne, January 2007 pp. 170-171

Bangwon Ko and Andrew Ng

Authors’ Reply: The Impact of DC Pension Systems on Population Dynamics - Discussion by Mark Malnati pp. 172-172

The Editors

“The Impact of DC Pension Systems on Population Dynamics,” Bonnie-Jeanne MacDonald and Andrew J. G. Cairns, January 2007 pp. 172-172

Mark Malnati

“An Extreme Value Analysis of Advanced Age Mortality Data,” Kathryn A. Watts, Debbie J. Dupuis, and Bruce L. Jones, October 2006 pp. 173-174

Mark Bebbington, Chin-Diew Lai and Ričardas Zitikis

“An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007 pp. 174-176

Edward Furman and Ričardas Zitikis

“A Risk Model with Multilayer Dividend Strategy”, Hansjorg Albrecher and Jürgen Hartinger, April 2007 pp. 176-183

Eric Cheung

Volume 11, issue 2, 2007

Pension Plan Valuation and Mortality Projection pp. 1-34

Hélène Cossette, Antoine Delwarde, Michel Denuit, Frédérick Guillot and Étienne Marceau

Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances pp. 35-42

Fabio Bellini and Camilla Caperdoni

A Risk Model with Multilayer Dividend Strategy pp. 43-64

Hansjörg Albrecher and Jürgen Hartinger

Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model pp. 65-76

Shuanming Li and Yi Lu

On Approximating the Individual Risk Model pp. 77-98

Peter Kornya

On the Class of Erlang Mixtures with Risk Theoretic Applications pp. 99-115

Gordon Willmot and Jae-Kyung Woo

“On the Class of Erlang Mixtures with Risk Theoretic Applications”, Gordon E. Willmot and Jae-Kyung Woo, April 2007 pp. 115-117

David Dickson and Howard Waters

Authors’ Reply: On the Class of Erlang Mixtures with Risk Theoretic Applications - Discussion by David C. M. Dickson; Howard R. Waters pp. 118-118

The Editors

On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest pp. 119-134

Rong Wu, Yuhua Lu and Ying Fang

”On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest“, Rong Wu; Yuhua Lu and Ying Fang, April 2007 pp. 134-135

Bangwon Ko

Authors’ Reply: On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest - Discussion by Bangwon Ko pp. 135-135

The Editors

The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion pp. 136-149

Yi Lu and Cary Tsai

”The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion“, Yi Lu and Cary Chi-Liang Tsai, April 2007 pp. 149-150

Bangwon Ko

Authors’ Reply: The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion - Discussion by Bangwon Ko pp. 151-152

The Editors

“On the Expected Discounted Penalty Function for L´vy Risk Processes,” José Garrido and Manuel Morales, October 2006 pp. 153-153

Xiaowen Zhou

“Managing Longevity Risk in the U.S. Retirement Plans through Mandatory Annuitization,” Beverly J. Orth, July 2006 pp. 154-156

Sarah Christiansen

Author’s Reply: Managing Longevity Risk in the U.S. Retirement Plans through Mandatory Annuitization - Discussion by Sarah L. M. Christiansen pp. 156-156

The Editors

“On the Merger of Two Companies,” Hans Gerber and Elias S. W. Shiu, July 2006 pp. 157-159

Hansjörg Albrecher and Stefan Thonhauser

Authors’ Reply: On the Merger of Two Companies - Discussion by Hansjörg Albrecher; Stefan Thonhauser pp. 159-159

The Editors

Volume 11, issue 1, 2007

Remembering Jim Hickman pp. iii-iii

Harry Panjer

James C. Hickman pp. 1-11

Edward Frees

From John Beekman, ASA, Ball State University pp. 11-13

The Editors

From Robert V. Hogg, PhD, University of Iowa pp. 13-14

The Editors

From Hans Gerber, ASA, University of Lausanne pp. 13-13

The Editors

From Phelim Boyle, PhD, Wilfrid Laurier University and the University of Waterloo pp. 13-13

The Editors

From Warren Luckner, FSA, University of Nebraska-Lincoln pp. 14-16

The Editors

From Robert Shapiro, FSA, The Shapiro Network Inc pp. 16-16

The Editors

The Impact of DC Pension Systems on Population Dynamics pp. 17-48

Bonnie-Jeanne MacDonald and Andrew Cairns

Search for Predictors of Exceptional Human Longevity pp. 49-67

Natalia Gavrilova and Leonid Gavrilov

The Lee-Carter Model for Forecasting Mortality, Revisited pp. 68-89

Siu-Hang Li and Wai-Sum Chan

Adult Polycystic Kidney Disease and Insurance pp. 90-118

Cristina Gutiérrez and Angus Macdonald

An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets pp. 119-135

Zinoviy Landsman and Michael Sherris

Stochastic Life Annuities pp. 136-157

Daniel Dufresne

“On Optimal Dividend Strategies in the Compound Poisson Model”, by Elias S. W. Shiu and Hans U. Gerber, April 2006 pp. 158-161

Eric Cheung

Authors' Reply: On Optimal Dividend Strategies in the Compound Poisson Model, discussion by Eric C. K. Cheung pp. 161-162

Hans Gerber and Elias Shiu

“Capital Allocation In Insurance: Economic Capital And The Allocation Of The Default Option Value,” By Michael Sherris And John van der Hoek, April 2006 pp. 163-164

Helmut Gründl and Hato Schmeiser

Authors’ Reply: Capital Allocation In Insurance: Economic Capital And The Allocation Of The Default Option Value - Discussion by Helmut Gründl; Hato Schmeiser pp. 164-165

The Editors