Education
University of Illinois, 1978, PhD in Economics
University of Illinois, 1973, MA in Public Administration
UCLA, 1967, BA in Political Science
Experience
2015-Present, Senior Research Fellow, The University of Texas
2015-Present, Senior Research Fellow, National Chengchi University
2002-2015, Edmondson-Miller Chair, Illinois State University
Courses: Risk Management, Life Insurance
2000-2002, Swiss Re Chair, The University of Nottingham
1998-2000, Associate Professor of Finance, The University of Texas
1997-1998, Visiting Shepard Professor, Ohio State University
Courses: Risk Management and Insurance
1988-1997, Associate Professor of Finance, The University of Texas
Courses: Business Finance is the first undergraduate course in corporate finance. The course stresses the time value of money, risk and return, capital budgeting, the cost of capital, leverage, and capital structure. Students can access their scores on the class roster, access a formula sheet that is linked to lectures and problems, submit assignments directly into a relational database that is linked to the class roster, and more.
Corporate Finance is the second undergraduate course in corporate finance. The course stresses the theoretical foundations of corporate finance. In addition to the standard fare of capital budgeting and capital structure this course includes topics such as the market for corporate control and the use of derivatives in managing corporate risk.
Uncertainty in Economics and Finance is one of the core courses in the finance Ph.D. program. The course develops the notions of risk, risk aversion, arbitrage, and equilibria in economies that include financial markets. Adverse selection and moral hazard problems are also stressed.
1987-1988, Visiting Associate Professor, University of Missouri
1986-1987, Associate Professor of Finance and Graduate Advisor, The University of Texas
1981-1986, Assistant Professor of Finance, The University of Texas.
Courses: Uncertainty in Economics and Finance, Managerial Economics, Corporate Finance
1977-1981, Assistant Professor of Economics, State University of New York at Binghamton
Courses: Microeconomic Theory, Uncertainty in Economics, Labor Economics, Managerial Economics, Microeconomic Principles, Statistics
1972-1973, Administrative Officer, Atomic Energy Commission, National Accelerator Laboratory
1967-1971, Administrative Officer and Squadron Commander, USAF, Chanute Air Force Base
Honors
2006 ARIA Outstanding Achievement Award: This award was for furthering the science of risk management through the promotion of education, research and communication during my nine year tenure as editor of the Journal of Risk and Insurance.
2004 APRIA Outstanding Paper Award: This was the award for the best paper presented at the eight annual conference of the Asia-Pacific Risk and Insurance Association in Seoul
2003 Robert I. Mehr Award: The American Risk and Insurance Association presents the Mehr Award each year for that paper published ten years ago that has best stood the test of time.
2002 ARIA President's Award: The prize is awarded for Outstanding contributions to the Field and to the Association.
2001 Casualty Actuarial Society Prize: This prize is presented by the Casualty Actuarial Society for the paper published by the American Risk and Insurance Association during the year that makes the most valuable contribution to casualty actuarial science.
2000 Robert I. Mehr Award
2000 Brian Hey Prize (second): Awarded for the explanation of insurance cycles and crises in "Great (and not so Great) Expectations: An Endogenous Economic Explication of Insurance Cycles and Liability Crises"
1998 COS Award: The previous version of " Great (and not so Great) Expectations: An Endogenous Economic Explication of Insurance Cycles and Liability Crises" was the winner of the 1998 Casualty Actuarial Society Committee on Online Services Prize Program
1997 Robert I. Mehr Award
1994 Robert C. Witt Award
1991 Robert C. Witt Award
1988, 1987, 1986, 1985, 1984, 1983 Graduate School of Business Summer Research Award, University of Texas
1988 College of Business Administration Foundation Award for Research Excellence
1985 L + EC Law Institute for Economists, Dartmouth
Beta Gamma Sigma National Honorary Scholarship Society
Phi Kappa Phi Honor Society
1971 Air Force Commendation Medal
Publications
Search and Market Equilibrium, Journal of Political Economy, 308-327, April 1980
Job Search and the Labor Dropout Problem Reconsidered, Quarterly Journal of Economics, August 1980
Technological Uncertainty and the Theory of the Firm, with A. Holtmann, Southern Economic Journal, July 1983
A General Diversification Theorem, Journal of Finance, June 1984
Forward Market Equilibrium, with George Morgan and Stephen Smith, Southern Economic Journal, July 1984
Search and the Market for Lemons, Information Economics and Policy, June 1986
A Financial Theory of the Insurance Firm Under Uncertainty and Regulatory Constraints, with Robert Witt, Geneva Papers on Risk and Insurance, January 1987. Presented at the Risk Theory Seminar in Los Angeles, 1984
Insurance and Corporate Risk Management, Journal of Risk and Insurance, December 1987. Presented at the American Risk and Insurance Association Meeting in Vancouver, British Columbia, 1985, and the American Economic Association Meetings in New York, 1985; Mehr Award 1997
Forward Markets, Stock Markets and the Theory of the Firm, Journal of Finance, December 1987
Uncertainty, the Fisher Model, and Corporate Financial Theory, with John Martin, Research in Finance, volume 7, 1988, JAI Press Inc., Greenwich, Connecticut. Presented at the American Finance Association Meetings in San Francisco, 1983
Liability Insurance and Corporate Risk Management, with Li Ming Han, Proceedings of the International Insurance Society, Inc., 1989
Forward and Spot Market Equilibria for Storable Commodities, with George Morgan and Stephen Smith, Quarterly Review of Economics and Business, Autumn 1990
Limited Liability and the Corporate Demand for Liability Insurance, with Li-Ming Han, Journal of Risk and Insurance, December 1990. Presented at the Seminar of the European Group of Risk and Insurance Economists in Vienna, Austria, 1990; Witt Award from the American Risk and Insurance Association, 1991; Mehr Award 2000
Imperfect Information and the Inter-temporal Misallocation of Resources with Callable versus Non-Callable Debt, with Ricardo Rodriguez, Quarterly Review of Economics and Business, 1991
An Anatomy of the Poison Pill, with Douglas Cook, Managerial and Decision Economics, 1991
The Under-investment Problem, Bond Covenants and Insurance, with James Garven, Journal of Risk and Insurance, 1993. Witt Award from the American Risk and Insurance Association, 1994; Mehr Award 2003
The Risk-Shifting Problem and Convertible Bonds, Advances in Quantitative Analysis of Finance and Accounting, 1993
Corporate Spin-offs as a Value Enhancing Technique When Faced With Legal Liability, with Patrick Brockett, Journal of Insurance: Mathematics, and Economics, April 1995
Stock Options, Managerial Incentives, and Capital Structure, with Frank Page, Journal of Financial Studies, December 1995. Presented at the Econometric Society Meetings in Washington D. C., 1995, the Southwest Finance Association Meetings in Houston, 1995, and the Korean Financial Management Association Meetings in Seoul, 1995
Genetic Testing, Insurance Economics, and Societal Responsibility, with Patrick Brockett, North American Actuarial Journal, January 1999
Great (and not so Great) Expectations: An Endogenous Economic Explication of Insurance Cycles and Liability Crises, with Gene C. Lai, Robert C. Witt, Hung-Gay Fung and Patrick L. Brockett, Journal of Risk and Insurance, December 2000. This was previously called On Liability Insurance Crises and was presented at the American Risk and Insurance Association Meetings in Seattle, 1995, and at the Risk Theory Seminar in Tuscaloosa, 1997
Risk and Choice: A Perspective on the Integration of Finance and Insurance, Risk Management and Insurance Review, Spring 2000
Value and Risk, Journal of Banking and Finance, 2001
On the Judgment Proof Problem, Geneva Papers on Risk and Insurance Theory, 27: 143-152, 2002
A Perspective on some Economic Issues in the U.S. Insurance Market, with Patrick Brockett, Risques, 60: 63-69, 2004
On Corporate Risk Management and Insurance, Asia-Pacific Journal of Risk and Insurance, 1(1): 97-119, 2005. Presented at the Seminar of the European Group of Risk and Insurance Economists in Hannover, Germany, 1996, at the American Risk and Insurance Association Meeting in San Diego, 1997, at the Inaugural Meeting of the Asia and Pacific Risk and Insurance Association in Singapore, 1997, and at the Western Risk and Insurance Association Meeting in Kaanapali, 1998
Stock Options and Capital Structure, with F. H. Page, Annals of Finance, 2(1): 39-50, 2006. Presented at the NSF/NBER Decentralization Conference in Tuscaloosa, 1996
Stock Options and the Corporate Demand for Insurance with Li-Ming Han, Journal of Risk and Insurance, 73(2): 231-260, 2006. Presented at the Asia-Pacific Risk and Insurance Association Meetings in Seoul, 2004 and the Southern Risk and Insurance Association Meetings in Charleston, 2004.
Longevity Risk and Capital Markets with Patrick Brockett and David Blake, Journal of Risk and Insurance, 73(4): 551-557, 2006
Longevity Bonds: Financial Engineering, Value and Use with David Blake, Andrew Cairns and Kevin Dowd, Journal of Risk and Insurance, 73(4): 2006. Presented at the 8th Bowles Symposium and 2nd International Longevity Risk and Capital Market Solutions Symposium in Chicago, 2006.
Genetic Testing and Adverse Selection with Patrick Brockett and J. A. Raeburn, Annals of Actuarial Science, 2(2): 2007. Presented at the European Group of Risk and Insurance Economists Meetings in Zurich, 2004, the Southern Risk and Insurance Association Meetings in Clearwater, 2003, the Asia-Pacific Risk and Insurance Association Meetings in Bangkok, 2003, and the American Risk and Insurance Association Meetings in Montreal, 2002
Longevity Risk and Capital Markets: the 2007-2008 update, with David Blake and Jennifer Wang, Asia-Pacific Journal of Risk and Insurance, 3(1): 1-5. 2008
Securitization of Catastrophe Risk: New Developments in Insurance-Linked Securities and Derivatives with Sylvie Bouriaux, Journal of Insurance Issues, Spring 2009
Longevity Risk and Capital Markets: the 2008-2009 update, with David Blake, Anja De Waegenaere and Theo Nijman, Insurance: Mathematics and Economics, 46(1): 135-138. 2010
Select Birth Cohorts with J. Frederik Weber, European Actuarial Journal, 1 (Suppl 2): S395–S409. 2011
Mossin's Theorem Given Random Initial Wealth with SoonKoo Hong, Keun Ock Lew and Patrick L. Brockett, Journal of Risk and Insurance, 78 (2), 309-324. 2011
Longevity Risk and Capital Markets: the 2009-2010 update with D. Blake, D., P. Brockett, P. and S. Cox. North American Actuarial Journal, 15 (2), 141-149. 2011
Longevity Risk and Capital Markets: The 2010-2011 Update with D. Blake, C. Courbage, and M. Sherris, M. (2011). Geneva Papers on Risk and Insurance: Issues and Practice, 36 (4), 489-500. 2011
Directors, Directors and Officers Insurance and Corporate Governance. with Y. Ren, Journal of Insurance Issues. 2011
Catastrophe-Linked Securities and Capital Markets with Sylvie Bouriaux in OECD (2011), Risk Awareness, Capital Markets and Catastrophic Risks, Policy Issues in Insurance, No. 14, OECD Publishing.
Mutual versus Stock Insurers: A Synthesis of Theory and Empirical Work with Yayuan Ren. Journal of Insurance Issues, 2011, Vol. 34, No. 2, 101-111.
Longevity/Mortality Risk Modeling and Securities Pricing. with Y. Deng and P. Brockett. Journal of Risk and Insurance, 79 (3), 697-721. 2012
Incorporating Longevity Risk and Medical Information into Life Settlement Pricing with Patrick Brockett, Shuo-Li Chuang and Yinglu Deng, Journal of Risk and Insurance, 80(3): 799-826. 2013
The New Life Markets with David Blake, Andrew Cairns, Guy Coughlan and Kevin Dowd, Journal of Risk and Insurance, 80(3): 501-557. 2013
Longevity Risk and Capital Markets: The 2012-2013 Update with David Blake, Johnny Siu-Hang Li and Mary Hardy, North American Actuarial Journal, 18(1): 1-13. 2014
Longevity Risk and Capital Markets: The 2013-2014 Update with David Blake and Ken Seng Tan, Insurance: Mathematics and Economics, 63: 1-11. 2015
De-risking defined benefit plans with Yijia Lin and Ruilin Tian, Insurance: Mathematics and Economics, 63, 2015
Multi-population mortality models: a factor copula approach with Hua Chen and Tao Sun, Insurance: Mathematics and Economics, 63, 2015
Best Bounds on Measures of Risk and Probability of Ruin for Alpha Unimodal Random Variables When There is Limited Moment Information with Patrick Brockett, Samuel H. Cox and Bo Shi, Applied Mathematics, 7(8):765-783. 2016
Le nouveau marché du risque de longévité, with David Blake, Andrew Cairns and Guy Coughlan, Revue D’Économie Financière, 2016
Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model With the GAS Structure: Mortality Dependence and Longevity Bond Pricing with Hua Chen and Tao Sun, Journal of Risk and Insurance, 84(S1):393-415. 2017
On the failure (success) of the markets for longevity risk transfer with Patrick Brockett, Journal of Risk and Insurance. 84(S1): 299-317. 2017
Hedging Longevity Risk in Life Settlements Using Biomedical Research-Backed Obligations with Nan Zhu, Journal of Risk and Insurance. 84(S1): 439-458. 2017
Pension Risk Management in the Enterprise Risk Management Framework: Pension Risk Management in the ERM Framework with Yijia Lin, Ruilin Tian and Jifeng Yu, Journal of Risk and Insurance. 84(S1): 345-365. 2017
Longevity Risk and Capital Markets: The 2016–2017 Update with David Blake, North American Actuarial Journal 25(sup1): S1-S6. 2020
Hedging Longevity Risk: Does the Structure of the Financial Instrument Matter? with Nan Zhu, North American Actuarial Journal. 25:sup1, S373-S384. 2021
Multi-population mortality modeling: When the data is too much and not enough with Ko-Lun Kung, Weiyu Kuo, and Jason Tsai, Insurance: Mathematics and Economics 103: 41-55. 2022
Do pension buyouts help or hurt employees (retirees)? with Yijia Lin and Tianxiang Shi, The Journal of Risk and Insurance 90(3): 667-702. 2023
Buy-ins, buy-outs, longevity bonds, and the creation of value with Yijia Lin and Tianxiang Shi, Journal of Demographic Economics 89(3): 329-347. 2023
Books
The Fisher Model and Financial Markets (Singapore: World Scientific Publishing, 2005)
The Theory of Finance: Evidence and Applications, with John Martin and Samuel Cox, (Chicago: Dryden, 1988)
Chapters
The Securitization of Longevity Risk and Its Implications for Retirement Security, with Patrick Brockett, Jennifer Wang, Yijia Lin and Ruilin Tan in Recreating Sustainable Retirement: Resilience, Solvency and Tail Risk, (Oxford: Oxford University Press. 2014)
On Corporate Insurance, with James Garven, in the Handbook of Insurance, (Boston: Kluwer, November 2000)
On the demand for corporate insurance: creating value, with James Garven, in The Handbook of Insurance. (Boston: Kluwer Academic Publishers. 2011)
On longevity risk and the new life markets with D. Blake, G. Coughlan, in The Handbook of Insurance. (Boston: Kluwer Academic Publishers. 2011)
Speeches
Securitization of Longevity Risk and Its Implications for Retirement Security, Pension Research Council Symposium, Wharton, 2013, YouTube link
Longevity Risk and Capital Markets: the New Life Markets. Insurance Seminar at Qingdao University, Qingdao, China. 2012
Risk, Insurance and Society: Insurance and the Creation of Value. China International Conference on Insurance and Risk Management, Qingdao, China. 2012
The Creation of Value. Korean Insurance Academic Society Annual Meeting, Seoul, Korea. 2011
Longevity Risk and Capital Markets: the New Life Markets. International Symposium on Longevity Risk and the Role of Insurance Companies, Seoul, Korea. 2011
The Annuity Puzzle. Longevity Risk and Capital Market Solutions Symposium, New York, New York. 2009
The Fisher Model and Financial Markets: the building blocks. This presentation was made during a stay at Ludwig-Maximilians-University in Munich as a visiting scholar in November 2008. Also see the video of this presentation.
The Fisher Model and Financial Markets: an Economist's Perspective on Financial Markets, Risk Management and Value Creation. This presentation was also made during a stay at Ludwig-Maximilians-University in Munich as a visiting scholar in November 2008.
Managing Catastrophic Risk. This presentation was made at the Katie School Symposium: Catastrophe Management for Insurance Companies: Identifying Risk and CAT Models, April 17th, 2007, Normal, Illinois; it was also made at the Third Annual Illinois State University Actuarial Research Event, April 19th, 2007, Bloomington, Illinois and at the Insurance Institute for Asia and the Pacific, Manila
Longevity Risk, Capital Markets and Financial Engineering, Ulm University, Ulm, Germany, June 21st, 2006 and Ludwig-Maximilian-University, Munich, Germany, June 28th, 2006
Genetic Testing and Life Insurance. Ludwig-Maximilian-University, Munich, Germany, June 25th, 2006
Hedging Brevity Risk with Mortality-based Securities. Asia-Pacific Risk and Insurance Association Conference, Tokyo, Japan, July 2006
Genetic Testing and Adverse Selection. Western Risk and Insurance Association, Maui, January 2003; Asia-Pacific Risk and Insurance Association, Bangkok, July 2003; American Risk and Insurance Association, Denver, 2003; Geneva Group of Risk and Insurance Economists, 2003
International Mortality Comparisons. Society of Actuaries, Vancouver, June 2003
The Creation of Value. Presented at the Asia Pacific Risk and Insurance Association Conference, Shanghai, July 2002
Risk and Choice. Presented at the International Conference on Risk Management and Insurance, Taipei, July 1999
Working Papers
On the Demand for Deductible Insurance with Soon Koo Hong.
The Life Annuity Puzzles? with Yayuan Ren 2022. Available at SSRN: https://ssrn.com/abstract=4324621 or http://dx.doi.org/10.2139/ssrn.4324621
Presented at the Asia-Pacific Risk and Insurance Association meetings in Beijing, 2009, and at the Longevity Risk and Capital Market Solutions Symposium in New York, 2009
Hedging Brevity and Longevity Risk with Mortality-based Securities with Andreas Richter
Presented at the European Group of Risk and Insurance Economists Meetings in Marseille, 2004 and the Asia-Pacific Risk and Insurance Association Meetings in Tokyo, 2006
Measuring Economic Capital: Value at Risk, Expected Tail Loss and the Copula Approach with Jeungbo Shim and Seung-Hwan Lee
Consumption, Population and the Cross-Section of Stock Returns with TzuLing Lin and Larry Tzeng
Directors and Officers Insurance and Corporate Governance with Li Ming Han
The Demand for Insurance with Investment Opportunities with Soon Koo Hong, Robert Witt and Patrick Brocket
On the Origins of the Demand for Life Insurance
On Privacy and Insurance with Li-Ming Han
Forward Market Equilibria
Financial Engineering and Variable Risk Premiums in Eurodollar Futures with William Scott
Competition and Compensation. Presented at Seoul National University, Seoul, Korea, 1995 and the NSF/NBER Decentralization Conference in Tuscaloosa, 1996
Liability Rules and Corporate Risk Management. Presented at the American Risk and Insurance Association Meetings in Toronto, 1994, the Western Risk and Insurance Association Meeting in Las Vegas, 1999, the Asia and Pacific Risk and Insurance Association in Hong Kong, 1999, the International Conference on Risk Management and Insurance in Taipei, 1999, and the American Risk and Insurance Association Meetings in Vancouver, 1999
Hidden Information and Financial Certification, with Anthony B. Sanders
Hidden Knowledge, Hidden Action, and Optimal Financial Contracts
Industrial Structure, Negligence, and Corporate Risk Management with Robert C. Witt. Presented at the Seminar of the European Group of Risk and Insurance Economists in London, 1992, the Risk Theory Seminar in College Station, Penn State, 1992, and the American Risk and Insurance Association Meeting in San Francisco, 1993
Service
1998-2006 Editor of the Journal of Risk and Insurance
2007-Present Associate Editor Journal of Risk and Insurance
2004-Present Associate Editor of the Asia-Pacific Journal of Risk and Insurance
2000-2014 Associate Editor of the Journal of Insurance Issues
1988-Present Associate Editor of the Quarterly Review of Economics and Finance
2000-2003 Member of the Board of Governors, Asia-Pacific Risk and Insurance Association
2003-2006 Member of the Board, American Risk and Insurance Association
2004-2006 External Examiner for the Chinese University of Hong Kong
2007 External Examiner for Heriot Watt University, Edinburgh
2008 External Examiner for Georgia State University, Atlanta
2008 External Examiner for the University of Texas, Austin
2008 Guest Editor, September 2008 Issue of the Asia-Pacific Journal of Risk and Insurance on Longevity Risk
2011 External Examiner for the University of Texas, Austin
2011 Guest Editor, April 2011 Issue of the North American Actuarial Journal on Longevity Risk
2011 Guest Editor, October 2011 Issue of the Geneva Papers on Longevity Risk
2013 External Examiner for the University of Texas, Austin
Reviewer
American Economist
Asia-Pacific Journal of Risk and Insurance
Economic Journal
Energy Journal
Engineering Economist
Financial Review
Geneva Papers on Risk and Insurance
Information Economics and Policy
International Economic Review
Journal of Banking and Finance
Journal of Finance
Journal of Financial and Quantitative Analysis
Journal of Institutional and Theoretical Economics
Journal of Insurance Issues
Journal of Political Economy
Journal of Risk and Insurance
National Science Foundation
Quarterly Journal of Economics
Quarterly Review of Economics and Business
Review of Quantitative Finance and Accounting
Southern Economic Journal
Credits:
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