Changki Kim

Korea University Business School (KUBS)

Assistant Professor

Anam-Dong, Seongbuk-Gu

Seoul 136-701, 136701

Korea

http://biz.korea.ac.kr/professor/changki-kim

SCHOLARLY PAPERS

14

DOWNLOADS
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in Total Papers Downloads

1,539

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (14)

1.

Securitization of Motor Insurance Loss Rate Risks

Number of pages: 30 Posted: 21 May 2008
Changki Kim
Korea University Business School (KUBS)
Downloads 290 (112,776)

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Securitization, Risk Transfer, Motor Insurance Loss Rates, CDOs

2.

Deterministic Asset Liability Management with Geometric Interpretations

UNSW Australian School of Business Research Paper No. 2009ACTL11
Number of pages: 20 Posted: 01 Nov 2009 Last Revised: 04 Nov 2009
Changki Kim
Korea University Business School (KUBS)
Downloads 269 (122,096)

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asset liability management, interest rate risks, immunization strategy, cash flow matching

3.

The Impacts of Guaranteed Minimum Death Benefit Options on the Profit Margins of Unit Linked Products

UNSW Australian School of Business Research Paper No. 2008ACTL19
Number of pages: 15 Posted: 17 Dec 2008
Changki Kim
Korea University Business School (KUBS)
Downloads 172 (186,924)

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Profit testing, Unit linked products, Guaranteed minimum death benefit (GMDB) Options

4.

Motor Insurance Loss Rate Options and Swaps

UNSW Australian School of Business Research Paper No. 2009ACTL03
Number of pages: 25 Posted: 26 Feb 2009
Changki Kim and Taehan Bae
Korea University Business School (KUBS) and affiliation not provided to SSRN
Downloads 155 (204,246)

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Securitization, Risk Transfer, Ratchet option, Swaps, Motor Insurance Loss Rates

5.

Securitization of Longevity Risks Using Percentile Tranche Methods

UNSW Australian School of Business Research Paper No. 2009ACTL02
Number of pages: 26 Posted: 26 Feb 2009
Changki Kim and Yangho Choi
Korea University Business School (KUBS) and University of Connecticut - Department of Mathematics
Downloads 151 (208,750)
Citation 2

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Securitization, Risk Transfer, Survivor Bonds, Longevity Risks, Percentile Tranches.

6.

Motor Insurance Linked Securities: An Area of Financial Innovation

UNSW Australian School of Business Research Paper No. 2010ACTL07
Number of pages: 19 Posted: 23 Jul 2010
Taehan Bae and Changki Kim
Algorithmics Inc. and Korea University Business School (KUBS)
Downloads 134 (229,770)

Abstract:

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Securitization, Risk Transfer, Motor Insurance Loss Rates

7.

A Way of Managing Weather Risks Considering Apparel Consumer Behaviors

Number of pages: 23 Posted: 14 Aug 2011
Changhui Choi, Eyunghee Kim and Changki Kim
Korea Insurance Research Institute, Korea University Business School (KUBS) and Korea University Business School (KUBS)
Downloads 108 (269,527)
Citation 1

Abstract:

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Clothing Industry, Weather Risk, Customer Behavior, Risk Management, News Boy Model, Optimal Demand

8.

Farmland Backed Annuities: A New Shelter for Aged Farmers

Number of pages: 27 Posted: 02 May 2011
Changki Kim, Eyunghee Kim and Seungyoung Jeong
Korea University Business School (KUBS), Korea University Business School (KUBS) and affiliation not provided to SSRN
Downloads 90 (303,936)

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Farmland, Annuities, Longevity Risk, Aged Farmers, Reverse Mortgage

9.

On Consumer Behaviors in Korean Variable Insurance Market

Number of pages: 23 Posted: 01 Aug 2011
Changki Kim and Eyunghee Kim
Korea University Business School (KUBS) and Korea University Business School (KUBS)
Downloads 89 (306,084)

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Variable insurance, Customer behavior, Risk averse, Stock market, Fund management

10.

The Motivations and the Disclosure Effects of Parent: Subsidiary Mergers in Korea

UNSW Australian School of Business Research Paper No. 2009ACTL10
Number of pages: 22 Posted: 01 Oct 2009
Changki Kim, Kyung-shik Cho and Heonyong Jung
Korea University Business School (KUBS), affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 78 (331,588)

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Parent-subsidiary mergers, Merger motivations, Cumulative average abnormal returns (CAAR)

11.

Securitization of Longevity Risk Using Percentile Tranching

Journal of Risk and Insurance, Vol. 78, Issue 4, pp. 885-906, 2011
Number of pages: 21 Posted: 24 Nov 2011
Changki Kim and Yangho Choi
Korea University Business School (KUBS) and University of Connecticut - Department of Mathematics
Downloads 3 (672,875)
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12.

The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets

Posted: 06 Jun 2016 Last Revised: 17 Oct 2017
Myeong Hyeon Kim, Changki Kim and Injun Hwang
Seoul National University of Science and Technology, Korea University Business School (KUBS) and Korea University Business School (KUBS)

Abstract:

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Interest Rate Caps, Economic Determinants, Zero Lower Bound

Net Contribution, Liquidity, and Optimal Pension Management

Journal of Risk and Insurance, Vol. 83, Issue 4, pp. 913-948, 2016
Number of pages: 36 Posted: 11 Nov 2016
Korea Insurance Research Institute, Pohang University of Science and Technology (POSTECH), Korea University Business School (KUBS) and National Pension Research Institute
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Net Contribution, Liquidity, and Optimal Pension Management

Jounal of Risk and Insurance, Forthcoming
Posted: 25 Aug 2013 Last Revised: 25 Nov 2015
Korea Insurance Research Institute, Pohang University of Science and Technology (POSTECH), Korea University Business School (KUBS) and National Pension Service, NPRI

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transaction cost, asset allocation, pension management, net contribution, liquidity

14.

Psychological Barriers and Option Pricing

Journal of Futures Markets, Forthcoming
Posted: 23 Jul 2012 Last Revised: 24 Oct 2013
Pohang University of Science and Technology (POSTECH), Korea University Business School (KUBS), POSTECH, Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering and Korea University

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psychological barrier, option pricing, complete market, threshold model, regime switch, delta hedge