Recently added articles from North American Actuarial Journal:
EDITORIAL
Oct 01, 2008; ... It is an honor to take over the editorship of the North American Actuarial Journal from Harry Panjer. The NAAJ has proved to be an important journal in its relatively young life. A time of transition offers a good opportunity to review the mission and vision of the NAAJ. The first editor ...
NEGATIVE EFFECTS OF THE CANADIAN GIS CLAWBACK AND POSSIBLE MITIGATING ALTERNATIVES
Oct 01, 2008; ... ABSTRACT In Canada there are three main sources of government-provided retirement income: the Canada/Quebec Pension Plans (C/QPP), which have benefits and contributions based on earnings up to the Yearly Maximum Pensionable Earnings; Old Age Security (OAS), which is a fixed amount for ...
INTERGENERATIONAL TRANSFERS AND INSURANCE POLICY DESIGN
Jul 01, 2008; ... ABSTRACT Group health insurance policies offering an identical benefit package to every member of the group result in lower expected health benefits for younger cohorts than older cohorts. The dispersion in insurance benefits across age groups differs among insurance policies. Simulation ...
Pioneers of Financial Economics. Volume 2: Twentieth-Century Contributions
Jul 01, 2008; ... Pioneers of Financial Economics. Volume 2: Twentieth-Century Contributions Edited by Geoffrey Poitras with Franck Jovanovic Edward Elgar Publishing, $130 ISBN-13: 978-1845423827 The second of two books on pioneers of financial economics, this volume is a collection of essays, in 13 ...
THE PRICING OF CREDIT DEFAULT SWAPS UNDER A MARKOV-MODULATED MERTON'S STRUCTURAL MODEL
Jan 01, 2008; ... ABSTRACT We consider the valuation of credit default swaps (CDSs) under an extended version of Merton's structural model for a firm's corporate liabilities. In particular, the interest rate process of a money market account, the appreciation rate, and the volatility of the firm's value ...
PREDICTIVE MODELING OF COSTS FOR A CHRONIC DISEASE WITH ACUTE HIGH-COST EPISODES
Jan 01, 2008; ... ABSTRACT Chronic diseases account for 75% of U.S. national health care expenditures as estimated by the Centers for Disease Control. Many chronic diseases are punctuated by acute episodes of illnesses that occur randomly and create cost spikes in utilization from one year to the next ....
"Trajectories of Morbidity, Disability, and Mortality among the U.S. Elderly Population: Evidence from the 1984-1999 NLTCS," Eric Stallard, July 2007
Jan 01, 2008; ... In the movie About Schmidt, the protagonist is an insurance company actuary deftly played by Jack Nicholson. Bemoaning his retirement, Schmidt returns one last time to finish clearing out his office, only to discover the culmination of his life's work, mortality tables recorded on reams of ...
ASSET ALLOCATION WITH HEDGE FUNDS ON THE MENU
Oct 01, 2007; ... ABSTRACT Hedge funds have become an increasingly important asset class in recent years. This paper discusses the asset allocation decision of an investor who is considering investing in hedge funds. We develop a simple procedure that may help in making this decision when the assets ...
REGULATORY COMPETITION AND LIFE INSURANCE SOLVENCY REGULATION IN THE EUROPEAN UNION AND UNITED STATES
Oct 01, 2007; ... ABSTRACT The economic reasons for life insurance regulation have not been well developed in the finance literature. In this paper we discuss some justifications that have been advanced for regulation and argue that they are not persuasive. The most rigorous arguments in favor of the ...
ESTIMATION OF DISTRESS COSTS ASSOCIATED WITH DOWNGRADES USING REGIME-SWITCHING MODELS1
Oct 01, 2007; ... ABSTRACT We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) ...
A LONG-TERM MODEL OF THE DYNAMICS OF THE S&P500 IMPLIED VOLATILITY SURFACE
Oct 01, 2007; ... ABSTRACT In this paper we present an econometric model of implied volatilities of S&P500 index options. First, we model the dynamics the CBOE VIX index as a proxy for the general level of implied volatilities. We then describe a parametric model of the implied volatility surface for ...
AN EMPIRICAL EXAMINATION OF JUMP RISK IN U.S. EQUITY AND BOND MARKETS
Oct 01, 2007; ... ABSTRACT Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This study utilizes recent advances in econometric theory to decompose total asset price volatility into a smooth, continuous component and a discrete (jump) ...
"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*/AUTHORS' REPLY
Oct 01, 2007; ... BERT KESTENBAUM[dagger] The achievement of extreme old age seems to hold a great fascination for many of us (probably disproportionate to its actual importance for actuarial practice in terms of life table construction and the like). In their paper on attainments of age 100 in the United ...
CORRECTION
Oct 01, 2007; ... The author footnote on page 16 of the July 2007 issue of the North American Actuarial Journal should have read: Eric Stallard, ASA, MAAA, FCA, is Research ...
"An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets," Zinoviy Landsman and Michael Sherris, January 2007
Oct 01, 2007; ... The pricing equation (D.1) not only provides for the price to be a linear functional with respect to the space of payoffs, but also implies no arbitrage when Z > 0, which is a fundamental result in asset pricing theory. When the risk-free rate r^sub f^ = 1, which is the implied assumption in ...
NATURAL HEDGING OF LIFE AND ANNUITY MORTALITY RISKS
Jul 01, 2007; ... ABSTRACT The values of life insurance and annuity liabilities move in opposite directions in response to a change in the underlying mortality. Natural hedging utilizes this to stabilize aggregate liability cash flows. We find empirical evidence that suggests that annuity writing insurers ...
TRAJECTORIES OF MORBIDITY, DISABILITY, AND MORTALITY AMONG THE U.S. ELDERLY POPULATION: EVIDENCE FROM THE 1984-1999 NLTCS
Jul 01, 2007; ... ABSTRACT This article employs a longitudinal form of the Grade of Membership (GoM) model to specify and estimate a multivariate model of the trajectories of morbidity, disability, and mortality among longitudinally followed elderly respondents to the National Long-Term Care Survey ...
PREDICTIVE MODELING WITH LONGITUDINAL DATA: A CASE STUDY OF WISCONSIN NURSING HOMES
Jul 01, 2007; ... ABSTRACT The recent development and availability of sophisticated computer software has facilitated the use of predictive modeling by actuaries and other financial analysts. Predictive modeling has been used for several applications in both the health and property and casualty sectors ....
"Stochastic Annuities," Daniel Dufresne, January 2007
Jul 01, 2007; ... Professor Dufresne has obtained many interesting results on annuities when the stochastic future lifetime is approximated by using a combination of exponentials. A main idea behind the approximation is Theorem 3.1 (a), which states that the class of combinations of exponentials is a weakly dense ...
"The Impact of DC Pension Systems on Population Dynamics," Bonnie-Jeanne MacDonald and Andrew J. G. Cairns, January 2007/AUTHORS' REPLY
Jul 01, 2007; ... MARK MALNATI* By the authors' reasoning, transferring ownership of all houses and apartments from the government to individuals would cause large unknown variances in individual wealth and "could lead to personal hardship and anxiety" and thus a bad societal result. This ignores the ...