"Risk Management in Insurance Firms"

May 15-16, 1996

Market response to risk

Catastrophe Insurance, Capital Markets and Uninsurable Risks
Dwight M. Jaffee and Thomas Russell, May 1996
This is the preprint version only. For the published version please see: "Catastrophe Insurance, Capital Markets, and Uninsurable Risks." Journal of Risk & Insurance. Vol. 64 (2), pp. 205-30. June 1997.

Risk-Taking Behavior with Limited Liability and Risk Aversion
Christian Gollier, Pierre-François Koehl and Jean-CharlesRochet, May 1996
This is the preprint version only. For the published version please see: "Risk-Taking Behavior with Limited Liability and Risk Aversion." Journal of Risk & Insurance. Vol. 64 (2), pp. 347-70. June 1997.

The Role of Monitoring in Reducing the Moral Hazard Problem Associated with Government Guarantees: Evidence from the Life Insurance Industry
Elijah Brewer III, Thomas H. Mondschean and Philip Strahan, May 1996
This is the preprint version only. For the published version please see: "The Role of Monitoring in Reducing the Moral Hazard Problem Associated with Government Guarantees: Evidence from the Life Insurance Industry." Journal of Risk & Insurance. Vol. 64 (2), pp. 301-22. June 1997.

Financial risk management in practice

Risk Management by Insurers: An Analysis of the Process
David F. Babbel and Anthony M. Santomero, February 1997
This is the preprint version only. For the published version please see: "Financial Risk Management by Insurers: An Analysis of the Process." Journal of Risk & Insurance. Vol. 64 (2), pp. 231-70. June 1997.

Financial pricing of insurance instruments

Actuarial versus Financial Pricing of Insurance
Paul Embrechts, May 1996

Empirical Tests of Models of Catastrophe Insurance Futures
Knut Aase and Bernt-Arne Ødegaard, May 1996

Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products
Knut Aase and Svein-Arne Persson, May 1996
This is the preprint version only. For the published version please see: "Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products." Journal of Risk & Insurance. Vol. 64 (4), pp. 599-617. December 1997.

Asset-credit risk issues

The Effect of Risk-Based Capital on Life Insurers' Investment Portfolios
Kathy Petroni and Douglas Shackelford, May 1996

Controlling Information Premia by Repackaging Asset-Backed Securities
Alexander David, May 1996
This is the preprint version only. For the published version please see: "Controlling Information Premia by Repackaging Asset-Backed Securities." Journal of Risk & Insurance. Vol. 64 (4), pp. 619-48. December 1997.

The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps
Søren S. Nielsen and Ehud I. Ronn, May 1996

Derivatives

Risks in Derivatives Markets
Ludger Hentschel and Clifford W. Smith, Jr., May 1996
This is the preprint version only. For the published version please see: "Risks in Derivatives Markets: Implications for the Insurance Industry." Journal of Risk & Insurance. Vol. 64 (2), pp. 323-45. June 1997.

Corporate Hedging in the Insurance Industry: The Use of Financial Derivatives by U.S. Insurers
J. David Cummins, Richard Phillips and Stephen D. Smith, September 1996
This is the preprint version only. For the published version please see: "Corporate Hedging in the Insurance Industry: The Use of Financial Derivatives by U.S. Insurers." The North American Actuarial Journal. Vol I, pp. 13-49. January 1997.

How Are Derivatives Used? Evidence from the Mutual Fund Industry
Jennifer Koski and Jeffrey Pontiff, May 1996
This is the preprint version only. For the published version please see: "How Are Derivatives Used? Evidence from the Mutual Fund Industry." Journal of Finance. Vol. 54(2), pp. 791-816. April 1999.

Asset-Liability Management Issues

Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach
Kenneth A. Froot and Jeremy C. Stein, May 1996
This is the preprint version only. For the published version please see: "Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach." Journal of Financial Economics. Vol. 47. January 1998.

On the Risk of Life Insurance Liabilities: Debunking Some Common Pitfalls
Eric Briys and François de Varenne, May 1996
This is the preprint version only. For the published version please see: "On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls." Journal of Risk & Insurance. Vol. 64 (4) pp. 673-94. December 1997.

Hedging the Tax Liability of a Property-Liability Insurance Company
Richard Derrig and Krzysztof Ostaszewski, May 1996
This is the preprint version only. For the published version please see: "The Fuzzy Problem of Hedging the Tax Liability of a Property-Liability Insurance Company." Proceedings of the 5th AFIR International Colloquium. (Brussels). pp. 17-42. September 1995