Journal: Journal of Risk and Insurance

Found 163 papers in total
Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated
Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated
2017,
This article investigates the dynamic mean‐variance hedging problem of an...
The Increasing Convex Order and the Trade‐off of Size for Risk
The Increasing Convex Order and the Trade‐off of Size for Risk
2017,
One random variable is larger than another in the increasing convex order if that...
Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization
Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization
2017,
Multipopulation mortality models play an important role in longevity risk transfers...
Examining Flood Insurance Claims in the United States: Six Key Findings
Examining Flood Insurance Claims in the United States: Six Key Findings
2017,
We undertake the first large‐scale analysis of flood insurance claims in the...
Insured Loss Inflation: How Natural Catastrophes Affect Reconstruction Costs
Insured Loss Inflation: How Natural Catastrophes Affect Reconstruction Costs
2017,
In the aftermath of a natural catastrophe, there is increased demand for skilled...
Optimal Prevention for Multiple Risks
Optimal Prevention for Multiple Risks
2017,
This article analyzes optimal prevention in a situation of multiple, possibly...
Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk
Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk
2017,
This article provides natural hedging strategies for life insurance and annuity...
Value-at-Risk Bounds With Variance Constraints
Value-at-Risk Bounds With Variance Constraints
2017,
We study bounds on the Value‐at‐Risk (VaR) of a portfolio when besides...
Health State Transitions and Longevity Effects on Retirees’ Optimal Annuitization
Health State Transitions and Longevity Effects on Retirees’ Optimal Annuitization
2017,
The interplay between longevity risk and health state transitions for retirees’...
Hedging Longevity Risk in Life Settlements Using Biomedical Research-Backed Obligations
Hedging Longevity Risk in Life Settlements Using Biomedical Research-Backed Obligations
2017,
In the life settlement market, mortality risk is transferred from life insurance...
Pension Risk Management in the Enterprise Risk Management Framework
Pension Risk Management in the Enterprise Risk Management Framework
2017,
This article presents an enterprise risk management (ERM) model for a firm that is...
Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure
Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure
2017,
Modeling mortality dependence for multiple populations has significant implications...
Pricing Buy-Ins and Buy-Outs
Pricing Buy-Ins and Buy-Outs
2017,
Pension buy‐ins and buy‐outs have become an important aspect of managing...
The Cross-Section of Asia-Pacific Mortality Dynamics: Implications for Longevity Risk Sharing
The Cross-Section of Asia-Pacific Mortality Dynamics: Implications for Longevity Risk Sharing
2017,
We study the dynamics of longevity risk across a subset of countries in the...
Mortality Leads and Lags
Mortality Leads and Lags
2017,
Mortality risk varies geographically, especially in the Asia‐Pacific (APAC)...
Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives
Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives
2017,
In this article, we study the feasibility of dynamic longevity hedging with...
Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach
Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach
2017,
This article proposes a new copula model known as the Lévy subordinated...
Robust Mean‐Variance Hedging of Longevity Risk
Robust Mean‐Variance Hedging of Longevity Risk
2017,
Parameter uncertainty and model misspecification can have a significant impact on the...
On the Failure (Success) of the Markets for Longevity Risk Transfer
On the Failure (Success) of the Markets for Longevity Risk Transfer
2017,
Longevity risk is the chance that people will live longer than expected. That...
Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective
Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective
2017,
Pricing and hedging life insurance contracts with minimum guarantees are major areas...
Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure
Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure
2017,
Natural hedging allows life insurers to manage long‐term longevity and...
Self-Insurance With Genetic Testing Tools
Self-Insurance With Genetic Testing Tools
2017,
The development of genetic testing creates opportunities to better target disease...
Measuring the Performance of the Secondary Market for Life Insurance Policies
Measuring the Performance of the Secondary Market for Life Insurance Policies
2017,
We construct an index of life insurance policies purchased in the secondary market by...
A Burning Question: Does Arson Increase When Local House Prices Decline?
A Burning Question: Does Arson Increase When Local House Prices Decline?
2017,
We construct panel data on house prices and the determined cause of 4.8 million...
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