We explore latency arbitrage activities with a new arbitrage strategy that we test with high-frequency data during the first six months of 2019. We study the profitability of mean-reverting arbitrage activities of 74 cross-listed stocks involving three exchanges in Canada and the United States....

Since the mid-1980s, the share of household net worth intermediated by US financial institutions has shifted from defined benefit plans to life insurers and defined contribution plans. Life insurers have primarily grown through variable annuities, which are mutual funds with longevity insurance,...

We show that insurance companies have almost nonupled their investments in collateralized loanobligations (CLOs) in the post-crisis period, reaching total holdings of $125B in 2019. The growthin CLOs’ investments has far outpaced that of loans and corporate bonds, and was characterized by a...

The aim of this manuscript is to provide the mathematical and statistical foundations of actuarial learning. This is key to most actuarial tasks like insurance pricing, product development, claims reserving and risk management. The basic approach to these tasks is regression modeling. This...

We provide evidence on how banks form network connections and endogenous risk-taking in their non-bank counterparty choices in the OTC derivative markets. We use confidential regulatory data from the Capital Assessment and Stress Testing reports that provide counterparty-level data across a wide...

This paper considers equity, or fairness, as being based on with-profits life insurers acting in accordance with their contracts. It uses the principles of with-profits business in conjunction with a legal approach to derive implied terms in with-profits contracts. The author examines certain...

We review the main “omnibus procedures” for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc, and some corresponding reductions of dimension techniques. The problems of finding...

This paper empirically examines the different variants of data envelopment analysis (DEA) models to select the large cap market securities in India in both constant and variable returns to scale environments. The results of this exercise are summarized as follows. First, there is a fall in...

It is no longer uncommon these days to find the need in actuarial practice to model claim counts from multiple types of coverage, such as the ratemaking process for bundled insurance contracts. Since different types of claims are conceivably correlated with each other, the multivariate count...

This article provides a fresh perspective on the law of bad faith in first-party insurance cases. In these cases, the company is alleged to have failed to pay a valid claim submitted by the policyholder, delayed payment of a claim or forced litigation to obtain what the policyholder is owed. A...