This paper assesses the impact of variable investment-linked deferred annuities (VILDAs) on lifecycle consumption, saving, and portfolio allocation patterns given stochastic and systematic mortality. Insurers have taken two approaches to manage systematic mortality risks, namely self-insurance...

This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

This paper describes and applies econometric strategies for estimating regression models of economic share data outcomes where the shares may take boundary values (zero and one) with nontrivial probability. The main focus of the paper is on the conditional mean structures of such data. The paper...

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the methodologies developed so far give satisfactory...

Several countries rely on regulated health plan competition to combine affordability of health plans with incentives for cost containment and quality improvement. Typically, these policies include premium regulation supplemented with risk equalization to compensate health plans for predictable...

This paper evaluates the extent of adverse selection in life insurance and annuities in international markets, for both group and individual products. We also compare results with prior analyses of adverse selection in international annuity markets, focusing on the US, the UK, and Japan. Our...

This paper provides an empirical estimate of price' and risk' elasticities of demand for term life insurance for those who purchase some insurance. It finds that the elasticity with respect to changes in premiums is generally higher than the elasticity with respect to changes in risk. It also...

One goal of government health insurance programs is to improve health, yet little is known empirically about how important such government interventions can be in explaining health transitions. We analyze the child mortality effects of a major health insurance expansion in Costa Rica. In...