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Forward markets, stock markets, and the theory of the firm

MacMinn, Richard D. - In: The journal of finance : the journal of the American … 42 (1987) 5, pp. 1167-1185

Persistent link: https://www.econbiz.de/10001055480

Hedging brevity risk with mortality-based securities

MacMinn, Richard D.; Richter, Andreas - 2006

In 2003, Swiss Re introduced a mortality-based security designed to hedge excessive mortality changes for its life book of business. The concern was apparently brevity risk, i.e., the risk of premature death. The brevity risk due to a pandemic is similar to the property risk associated with...

Persistent link: https://www.econbiz.de/10010441547

Securitization of catastrophe risk : new developments in insurance-linked securities and derivatives

Bouriaux, Sylvie; MacMinn, Richard D. - In: The journal of insurance issues : official journal of … 32 (2009) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10003937761

Hedging longevity risk : does the structure of the financial instrument matter?

MacMinn, Richard D.; Zhu, Nan - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 1, pp. S373-S384

Persistent link: https://www.econbiz.de/10012440446

Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform

Chuang, Shuo-Li; Brockett, Patrick L. - In: North American actuarial journal 18 (2014) 1, pp. 22-37

Persistent link: https://www.econbiz.de/10011338403

Was the U.S. life insurance industry in danger of systemic risk by using derivative hedging prior to the 2008 financial crisis?

Baranoff, Etti G.; Brockett, Patrick L.; Sager, Thomas W.; … - In: Quantitative finance and economics 3 (2019) 1, pp. 145-164

Persistent link: https://www.econbiz.de/10012176449

Weather derivatives and weather risk management

Brockett, Patrick L.; Wang, Mulong; Yang, Chuanhou - In: Risk management and insurance review 8 (2005) 1, pp. 127-140

Persistent link: https://www.econbiz.de/10002845551

Basis risk and hedging efficiency of weather derivatives

Yang, Charles C.; Brockett, Patrick L.; Wen, Min Ming - In: Journal of risk finance : the convergence of financial … 10 (2009) 5, pp. 517-536

Persistent link: https://www.econbiz.de/10009523704

Portfolio effects and valuation of weather derivatives

Brockett, Patrick L.; Wang, Mulong; Yang, Chuanhou; … - In: The financial review : the official publication of the … 41 (2006) 1, pp. 55-76

Persistent link: https://www.econbiz.de/10003274772