This article models a board of directors consisting of either pure directors or shareholder directors. Different from pure directors, shareholder directors own equity of the firm in addition to receiving directors’ fee. The model reaches a conclusion that if directors owe their appointments to...

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...

Securitization of longevity/mortality risk provides insurers and pension funds an effective, low-cost approach to transferring the longevity/mortality risk from their balance sheets to capital markets. The modeling and forecasting of the mortality rate is the key point in pricing...

This paper presents a model in which firms compete for consumers who make repeat purchases of experience goods. Consumers can observe price offers of firms, even though they may not observe the quality before purchase. We set up a simple two-period model and find the following results. First, we...

This article compares expected pension default losses of employees and retirees before and after pension buyouts. The comparisons are made using a stochastic model calibrated with market data. The employees remain in the defined benefit (DB) pension plan while the retirees become annuity holders...

Longevity risk is the risk that people on average will live longer than expected. That potential increase in life expectancy exposes corporations and pension funds to the risk of having insufficient funds to pay a more extended stream of annuity benefits. Buy-ins, buy-outs, and longevity bonds...