The NAAJ Annual Prize

An Annual Prize of $500 and a plaque are awarded to the author writing the best eligible paper published in the North American Actuarial Journal. A prize will be awarded only if the Editorial Board of the North American Actuarial Journal considers that the best eligible paper is of sufficient value to justify an award.

No special action is needed to have an eligible paper qualify for consideration in the award of the Annual Prize.


Winners

Period Covered Author(s) Title of Paper and Reference
January–December 2017 Edward Frees “Insurance Portfolio Risk Retention,” Volume 21, Issue 4
January–December 2016 Linda L. Golden, Patrick L. Brockett, Jing Ai, and Bruce Kellison “Empirical Evidence on the Use of Credit Scoring for Predicting Insurance Losses with Psycho-social and Biochemical Explanations,” Volume 20, Issue 3
January-December 2015 Joelle H. Fong, Ph.D., Adam W. Shao, Ph.D., ASA, and Michael Sherris, FSA, FIA, FIAA “Multistate Actuarial Models of Functional Disability”, Volume 19, Issue 1
January-December 2011 Johnny Siu-Hang Li, Ph.D., FSA and Mary R. Hardy, Ph.D., FSA, CERA, FIA, ACIA “Measuring Basis Risk Involved in Longevity Hedges", Volume 15, Number 2
January-December 2010 Mario V. Wüthrich, PhD “Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method”, Volume 14, Number 2
January-December 2009 Andrew J. G. Cairns, PhD, David Blake, PhD, Kevin Dowd, PhD, Guy D. Coughlan, Phd, David Epstein, Phd, Alen Ong, and Igor Balevich, FSA, MAAA “A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States”, Volume 13, Number 1
January-December 2008 Tak Kuen Siu, PhD, Christina Erlwein, PhD, and Rogemar S. Mamon, PhD, CSci, CMath “The Pricing of Credit Default Swaps under a Markov–Modulated Merton's Structural Model”, Volume 12, Number 1
January-December 2007 Samuel H. Cox, FSA, Ph.D. and Yijia Lin, Ph.D. “Natural Hedging of Life and Annuity Mortality Risks”, Volume 11, Number 3
January–December 2006 Carole L. Bernard, Ph.D., Olivier A. Le Courtois, Ph.D., and Francois M. Quittard–Pinon, Ph.D. "Development and Pricing of a New Participating Contract," October 2006, Volume 10, Number 4.
January–December 2005 Angus S. Macdonald, FFA, PhD, Howard R. Waters, FIA, FFA, DPhil, and Chessman T. Wekwete, PhD A Model for Coronary Heart Disease and Stroke with Applications to Critical Illness Insurance Underwriting (I: The Model & II: Applications)
January–December 2004 Howard J. Bolnick, F.S.A., M.A.A.A., Hon FIA "A Framework for Long–Term Actuarial Projectors of Health Care Costs: The Importance of Population Aging and other Factors," NAAJ, October 2004, Vol. 8, No. 4
January–December 2003 Howard J. Bolnick, F.S.A., M.A.A.A., Hon FIA "Designing a World–Class Healthcare System," NAAJ, April 2003, Vol. 7, No. 2.
January–December 2003 X. Sheldon Lin, A.S.A., Ph.D. and Ken Seng Tan, A.S.A., Ph.D. ""Valuation of Equity–Indexed Annuities under Stochastic Interest Rates," NAAJ, October 2003, Vol. 7, No. 4.
January–December 2002 David F. Babbel, Jeremy Gold, F.S.A., Ph.D. and Craig B. Merrill "Fair Value of Liabilities: The Financial Economics Perspective," NAAJ, January 2002, Vol. 6, No. 1.
January–December 2002 Luke N. Girard, F.S.A., F.C.I.A., M.A.A.A. "An Approach to Fair Valuation of Insurance Liabilities Using the Firm's Cost of Capital," NAAJ, April 2002, Vol. 6, No. 2.
January–December 2001 Mary R. Hardy, A.S.A, F.I.A., Ph.D. "A Regime–Switching Model of Long–Term Stock Returns," NAAJ, April 2001, Vol. 5, No. 2
January–December 2001 Phelim P. Boyle, F.I.A, F.C.I.A., Ph.D., Adam W. Kolkiewicz, Ph.D. and Ken Seng Tan, A.S.A., Ph.D. "Valuation of the Reset Options Embedded in Some Equity–Linked Insurance Products," NAAJ, July 2001, Vol. 5, No.3.
January–December 2000 Hans U. Gerber, A.S.A., Ph.D.and Gérard Pafumi, Ph.D "Pricing Dynamic Investment Fund Protection," NAAJ, April 2000, Vol. 4, No. 2
January–December 1999 Phillipe Artzner "Application of Coherent Risk Measures to Capital Requirements in Insurance," NAAJ, July 1998, Vol. 3, No. 2
January–December 1999 Yong Yao "Term Structure Models: A perspective from the Long Rate," NAAJ, July 1998, Vol. 3, No. 3
January–December 1998 Hans U. Gerber, A.S.A., Ph.D.and Gérard Pafumi, Ph.D. "Utility Functions: From Risk Theory to Finance," NAAJ, July 1998, Vol. 2, No. 3
January–December 1997 Phelim P. Boyle, F.S.A.and Sheldon Lin, A.S.A. "Optimal Portfolio Selection with Transaction Costs," NAAJ, Vol. 1, No. 2
July 1, 1995–June 30, 1996 Partick L. Brockett,Samuel H. Cox, F.S.A.,Boaz Golany,Fred Y. Phillips,and Yun Song "Actuarial Usage of Grouped Data:" An Approach to Incorporating Secondary Data, TSA, Vol. XLVII (1995)"
July 1, 1994–June 30, 1995 Hans U. Gerber, A.S.A.and Elias S. W. Shiu, A.S.A. "Option Pricing by Esscher Transforms," TSA, Vol. XLVI (1994)
July 1, 1993–June 30, 1994 James A. Tilley, F.S.A. "Valuing American Options in a Path Simulation Model," TSA, Vol. XLV (1994)
July 1, 1992–June 30, 1993 James A. Tilley, F.S.A. "An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators," TSA, Vol. XLIV (1992)
July 1, 1991–June 30, 1992 Robert R. Reitano, F.S.A. "Multivariate Duration Analysis," TSA, Vol. XLIII (1991)
July 1, 1990–June 30, 1991 Edward W. Frees, F.S.A. "Stochastic Life Contingencies with Solvency Considerations," TSA, Vol. XLII (1990)
July 1, 1989–June 30, 1990 Mark E. Litow, F.S.A. "A Modified Development Method for Deriving Health Claim Reserves," TSA, Vol. XLI (1989)
July 1, 1988–June 30, 1989 David N. Becker, F.S.A. "Generalized Profits Released Model for the Measurement of Return on Investment for Life Insurance," TSA, Vol. XL (1988)
July 1, 1987–June 30, 1988 Harry H. Panjer, F.S.A. "AIDS: Survival Analysis of Persons Testing HIV+," TSA, Vol. XL (1988)
July 1, 1987–June 30, 1988 Louis J. Lombardi, F.S.A. "Relationships between Statutory and Generally Accepted Accounting Principles (GAAP)," TSA, Vol. XL (1988
July 1, 1986–June 30, 1987 S. Michael McLaughlin, A.S.A., F.I.A. "A Comparison of Alternative Generally Accepted Accounting Principles (GAAP) Methodologies for Universal Life," TSA, Vol. XXXIX (1987)
July 1, 1985–June 30, 1986 Paul R. Milgrom, F.S.A. "Measuring the Interest RateRisk," TSA, Vol. XXXVII (1985)
July 1, 1984–June 30, 1985 John D. Stiefel, III, F.S.A. "The Guaranteed Investment Contract (GIC)," TSA, Vol. XXXVI (1984)
July 1, 1983–June 30, 1984 James A. Attwood, F.S.A., and Carl R. Ohman, F.S.A. "Segmentation of Insurance Company General Accounts," TSA, Vol. XXXV (1983)
July 1, 1982–June 30, 1983 Michael F. Davlin, A.S.A.,and Shane A. Chalke, F.S.A. "Universal Life Valuation and Nonforfeiture: A Generalized Model," TSA, Vol. XXXV (1983)