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....

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...

Modeling mortality dependence for multiple populations has significant implications for mortality/longevity risk management. A natural way to assess multivariate dependence is to use copula models. The application of copula models in the multi-population mortality analysis, however, is still in...