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...

In this article, we incorporate a jump process into the original Lee-Carter model, and use it to forecast mortality rates and analyze mortality securitization. We explore alternative models with transitory versus permanent jump effects and find that modeling mortality via transitory jump effects...

In this paper, we employ the theory of real option pricing to address problems in the area of operational risk management. Particularly, we develop a two-stage model to help firms determine the optimal suspension-reactivation triggers in the events of pandemics. In the first stage, we propose a...

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...

In this paper we revisit an economic model of Buhlmann (ASTIN Bulletin, 1980) and derive equilibrium pricing transforms. We show that the Esscher Transform and the Wang Transform exhibit very different behaviors when used in pricing insurance risks.