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North American Actuarial Journal is a peer-reviewed journal published by Taylor & Francis, covering Insurance, Mortality, Demography, Risk Management, Insurance and Financial Risk Management, Global Health Care Issues. Over its lifetime it has published 1,482 papers, which have received 25,026 citations.
| Publisher | Taylor & Francis |
|---|---|
| Reference style | Author–year (Chicago, T&F) Author–year — (Smith, 2023) in the text Smith, Ada, Ben Jones, and Cara Lee. 2023. "A Representative Article Title." North American Actuarial Journal 12 (3): 45–58.
Formats any DOI in North American Actuarial Journal style. No sign-up. |
| Publishes research in | Insurance, Mortality, Demography, Risk Management Insurance and Financial Risk Management Global Health Care Issues Probability and Risk Models Stochastic processes and financial applications |
| ISSN | 1092-0277 |
| Citation impact (2-yr) | 1.28 |
| h-index | 71 |
| i10-index | 493 |
| Top institutions publishing here | University of Waterloo |
| Journal website | www.tandfonline.com |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
Abstract This article introduces actuaries to the concept of “copulas,” a tool for understanding relationships among multivariate outcomes. A copula is a function that links univariate marginals to their full multivariate distribution. Copulas were introduced in 1959 in the context of probabilistic metric spaces. The literature on the statistical properties and applications of copulas has…
Abstract This paper studies the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The time of ruin is analyzed in terms of its Laplace transforms, which can naturally be interpreted as discounting. Hence the classical risk theory model is generalized by discounting with respect to the…
Abstract We compare quantitatively eight stochastic models explaining improvements in mortality rates in England and Wales and in the United States. On the basis of the Bayes Information Criterion (BIC), we find that, for higher ages, an extension of the Cairns-Blake-Dowd (CBD) model that incorporates a cohort effect fits the England and Wales males data…
Abstract The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly exposed to catastrophic losses for which the requested cover is only just available. An increasing complexity of financial instruments calls for sophisticated risk management tools. The securitization of risk and alternative risk transfer highlight the convergence of finance…
Abstract In this paper I first define the regime-switching lognormal model. Monthly data from the Standard and Poor’s 500 and the Toronto Stock Exchange 300 indices are used to fit the model parameters, using maximum likelihood estimation. The fit of the regime-switching model to the data is compared with other common econometric models, including the…
