Year 2019

Year 2019
  • Li J.S.H., Li J., Balasooriya U., and Zhou K.Q. (2019). Constructing out-of-the-money longevity hedges using parametric mortality indexes. North American Actuarial Journal.
  • Porth, L., K.S. Tan and W. Zhu.  (2019)  A new relational data-matching model for enhancing individual loss experience: An example from crop insurance", North American Actuarial Journal 23(4):551-572.
  • Sun, Y. and K.S. Tan.  (2019)  A generalized livestock gross margin insurance program for the developing countries, Journal of Agribusiness in Developing and Emerging Economies, 9(5):421-438.
  • Zhang, J., K.S. Tan and C. Weng.  (2019)  Index insurance design, ASTIN Bulletin, 49(2):491-523.
  • Zhu, W., K.S. Tan, and L. Porth.  (2019)  Agricultural insurance ratemaking: Development of a new premium principle, North American Actuarial Journal, 23(4):512-534.
  • Zhu, W., L. Porth, K.S. Tan.  (2019)  A Credibility-based yield forecasting model for crop reinsurance pricing and weather risk management, Agricultural Finance Review 79(1):2-26.
  • Kamiya, S., J.-K. Kang, J. Kim, A. Milidonis, and R. Stulz. Risk Management, Firm Reputation, and the Impact of Successful Cyberattacks on Target Firms, Journal of Financial Economics, 2019, forthcoming.
  • Kamiya, S., A. Kogure and T. Fushimi. Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach, North American Actuarial Journal, 2019, forthcoming.
  • Kamiya, S., Noriyoshi Yanase.  Learning from Extreme Catastrophe, Journal of Risk and Uncertainty 59(1), August 2019, 85-124.
  • Kamiya, S., C. Tao, J. R. Goh, and P. Lou.  Marginal Cost of Risk-Based Capital and Risk Taking, Journal of Banking and Finance 103, June 2019, 130-145.
  • D. Bauer, Kamiya, S., X. Ping, and G. Zanjani.  Dynamic Capital Allocation with Irreversible Investment, Insurance: Mathematics and Economics 85, March 2019, 138-152.
  • Kamiya, S., Y. H. Kim and S. Park.  The Face of Risk: CEO Facial Masculinity and Firm Risk, European Financial Management 25(2), March 2019, 239-270.
  • CyRiM Research Report 2019 “Bashe attack Global infection by contagious malware.” Joint Report with Cambridge University and Lloyd’s of London,
  • Wang, Shaun.  (2019)  Asymmetry of Attacker-Defender Knowledge Sets and Capabilities: Cybersecurity Model with Case Examples, Working paper.
  • Joint Paper  (2019) "A Research Agenda for Cyber Risk and Cyber Insurance". Authors: Gregory Falco, Martin Eling, Danielle Jablanski, Lawrence A. Gordon, Shaun Wang, Joan Schmit, Russell Thomas, Mauro Elvedi, Thomas Maillart, Emy Donavan, Simon Dejung, Matthias Weber, Eric Durand, Franklin Nutter, Uzi Scheffer, Gil Arazi, Gilbert Ohana and Herb Lin, accepted for Presentation at the 18th Annual Workshop on the Economics of Information Security (WEIS 2019), Harvard University, Boston, Massachusetts, June 3-4, 2019.
  • Andreas Bollman and Shaun Wang.  (2019), "International Catastrophe Pooling for Extreme Weather", Research Report for the Society of Actuaries, 2019.
  • Xiaole Xue, Jinggong Zhang, Chengguo Weng  (2019). Precommitment Mean-variance Hedging with Basis Risk. Applied Stochastic Models in Business and Industry.
  • Jinggong Zhang, Ken Seng Tan and Chengguo Weng. Optimal Dynamic Longevity Hedge with Basis Risk. Working paper.