The purpose of this study is to analyze the securitization of longevity risk with an emphasis on longevity risk modeling and longevity bond premium pricing. Various longevity derivatives have been proposed, and the capital market has experienced one unsuccessful attempt by the European...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>This article uses daily market value data on credit default swap spreads and intraday stock prices to measure systemic risk in the insurance sector. Using the systemic risk measure, we examine the interconnectedness between banks and insurers with Granger...</p>

Contingent Claim Pricing with Applications to Financial Risk Management By Hua Chen 2008 Committee Chair: Samuel H. Cox and Shaun Wang Major Academic Unit: Department of Risk Management and Insurance This is a multi-essay dissertation designed to explore the contingent claim pricing theory with...

This paper additionally incorporates the random decision behaviors of the decision-maker, in addiction to the randomness in the risky assets, into the decision-making process. Our work to this point is to investigate a multi-period mean–variance portfolio optimization under the assumption that...