This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded...

Some consumption goods, such as housing, involve long-term commitment and their level of consumption can only be altered with substantial transaction costs. Even though the commitment effect on risk preferences, portfolio choice, and asset prices has been studied, little research has been...

In this paper, we propose a unified framework to simultaneously examine an insurer's mortality immunization strategy and individuals' insurance demand. On the supply side, an insurer chooses an optimal product mix of whole life insurance and deferred annuity by minimising the Conditional...

Reinsurance is the primary source of interconnectedness in the insurance industry. As such, reinsurance connectivity provides a transmission mechanism for financial shocks and potentially exposes insurers to contagion and systemic risk. In this paper, connectivity within the U.S....

This paper revisits the relationship between information risk and the cost of equity capital in the U.S. property-casualty (P/C) insurance industry. Eckles, Halek and Zhang (2014) find that information risk has no effect on the cost of equity using a sample of U.S. P/C insurers. Following their...