Financial Economics of Insurance
Financial Support
This website and its contents are based upon work supported by the National Science Foundation under grant 1727049 and the Bendheim Center for Finance.
2020 Workshop
| Monday, June 15, 2020 All times are US-EDT (New York time) |
|
| 10:00am-11:00am | Background on Insurance (History, Regulation, and Data) |
| 11:15am-12:15pm | Risks in the Insurance Sector |
| 12:30pm-2:00pm | Pricing of Insurance Liabilities |
| 2:15pm-3:15pm | Modeling Supply |
| Tuesday, June 16, 2020 | |
| 10:00am-11:00am | Modeling Demand |
| 11:15am-12:30pm | Reinsurance |
| 12:45pm-1:45pm | Asset Allocation and Asset Pricing |
| 2:00pm-2:30pm | Discussion of Research Topics |
Insurance Data
Financial statements
- US insurers: NAIC InfoPro and Best’s Financial Suite
- Schedule D: Security holdings
- Schedule DB: Derivatives
- Schedule S: Reinsurance
- European insurers: Best’s Financial Suite – Solvency II
- Global insurers: Best’s Financial Suite – Global and S&P Global Market Intelligence (formerly SNL Financial)
Insurance prices
- Life insurance: Compulife Software
- Fixed annuities: WebAnnuities Insurance Agency
- Variable annuities: Morningstar Annuity Intelligence
- Medigap and long-term care insurance: Weiss Ratings
Security holdings
- Global bond holdings: Refinitiv eMAXX
- European institutions: ECB Securities Holdings Statistics
Other useful sources
Teaching Notes
- Koijen and Yogo (2017), Risk of Life Insurers: Recent Trends and Transmission Mechanisms
- Acharya, Philippon, and Richardson (2017), Measuring Systemic Risk for Insurance Companies
- Hartley, Paulson, and Rosen (2017), Measuring Interest Rate Risk in the Life Insurance Sector: The U.S. and the U.K.
Pricing of Insurance Liabilities
- Koijen and Yogo (2015), The Cost of Financial Frictions for Life Insurers (link to paper and replication programs)
- Ge (2017), Internal Capital Markets and Product Pricing: Evidence from Weather and Life Insurance Premiums
- Koijen and Yogo (2017), The Fragility of Market Risk Insurance
- Sen (2019), Regulatory Limits to Risk Management
- Koijen and Yogo (2016), Shadow Insurance (link to paper and replication programs)
- Froot and O’Connell (1999), The Pricing of U.S. Catastrophe Reinsurance
- Froot (2001), The Market for Catastrophe Risk: A Clinical Examination
Porfolio Choice and Asset Pricing
- Ellul et al. (2015), Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading
- Ellul et al. (2018), Insurers As Asset Managers and Systemic Risk