Recently Meyer and Ormiston (1999) made an important contribution to resolving the second order condition problem for the case of deductible insurance. Using the level of expected indemnification rather than the level of deductible, Meyer and Ormiston (1999) showed that the second order...

It is important to incorporate diverse heavy-tailed dependency between risks in estimating economic capital. Copulas can be a useful technique to capture dependence structure where extreme events occur simultaneously. Using the sample of U.S. property liability insurance industry, we examine the...

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...

This paper presents an enterprise risk management (ERM) model for a firm that is composed of a portfolio of capital investment projects and a defined benefit (DB) plan for its workforce. The firm faces the project, operational and hazard risks from its investment projects as well as the...

The coexistence of mutual and stock organizational form in insurance has been the topic of extensive study. This article provides a review of theoretical and empirical literature from three perspectives: agency problems in each form, efficiency, and the causes of conversion between the two...

This Special Issue of Insurance: Mathematics and Economics contains 16 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 11: The Eleventh International Longevity Risk and Capital Markets...