Financial Economics of Insurance

Financial Economics of Insurance

The next Workshop on the Financial Economics of Insurance is planned for June 15-16, 2020 by Zoom. If you are interested in participating, please fill out this form. We will send you a link to join prior to the workshop.

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.

Background on Insurance

Risks in the Insurance Sector

• 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

Modeling Supply

• Koijen and Yogo (2017), The Fragility of Market Risk Insurance
• Sen (2019), Regulatory Limits to Risk Management

Modeling Demand

• Nevo (2004), A Practitioner’s Guide to Estimation of Random‐Coefficients Logit Models of Demand

Reinsurance

• 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

Asset Allocation 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

Discussion of Research Topics