Modeling mortality co-movements for multiple populations have significant implications for mortality/longevity risk management. A few two-population mortality models have been proposed to date. They are typically based on the assumption that the forecasted mortality experiences of two or more...

Enterprise risk management (ERM) has gradually become a celebrated risk management practice by corporations in the U.S. and worldwide. However, evidence on the value of ERM was mostly from U.S. insurers and other financial institutions. We provide some of the first evidence for the value of ERM...

In this paper, we investigate systemic risk of 157 insurers around the globe. We construct tail risk networks among these insurers using a single-index model for quantile regressions with a variable selection technique. We develop new network-based systemic risk indices, taking into account...

We assess the impact of housing, the availability of reverse mortgages and long-term care (LTC) insurance on a retiree's optimal portfolio choice and consumption decisions using a multi-period life cycle model that takes into consideration longevity risk, health shocks and house price risk. We...

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....

The purpose of this study is to analyze 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 Investment...

The purpose of this paper is to build a modeling and pricing framework to investigate the sustainability of the Home Equity Conversion Mortgage (HECM) program in the United States under realistic economic scenarios, i.e., whether the premium payments cover the fair premiums for the inherent...

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...

In this paper, we propose a new framework to coherently produce probabilistic mortality forecasts by exploiting techniques in seasonal time-series models, extreme value theory (EVT), and hierarchical forecast reconciliation. We are amongst the first to model and analyze U.S. monthly death counts...