John Major

Guy Carpenter & Company, LLC

Director of Actuarial Research

1166 Avenue of the Americas

New York, NY 10036

United States

SCHOLARLY PAPERS

5

DOWNLOADS

401

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

The Most Dangerous Model: A Natural Benchmark for Assessing Model Risk

Society of Actuaries Monograph: Enterprise Risk Management Symposium, 2015
Number of pages: 46 Posted: 30 May 2015 Last Revised: 27 Jun 2015
Guy Carpenter & Company, LLC, University of Waterloo - Department of Statistics and Actuarial Science and Guy Carpenter & Company, LLC
Downloads 230 (145,510)

Abstract:

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ambiguity aversion, robust control, model risk, Gilboa-Schmeidler, model uncertainty

2.

The Firm-Value Risk Model

Number of pages: 30 Posted: 27 May 2015
John Major
Guy Carpenter & Company, LLC
Downloads 68 (363,688)
Citation 2

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Financial friction, Modigliani-Miller, Froot-Stein, de Finetti, optimal dividends, risk management, reinsurance, shareholder value, Firm-Value Risk Model

3.

Distortion Measures and Homogeneous Financial Derivatives

Insurance: Mathematics and Economics, Forthcoming, DOI: 10.1016/j.insmatheco.2017.12.006
Number of pages: 20 Posted: 24 May 2017 Last Revised: 24 Jan 2018
John Major
Guy Carpenter & Company, LLC
Downloads 65 (372,338)
Citation 2

Abstract:

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distortion measures, spectral measures, capital allocation, financial derivatives, Aumann-Shapley, risk, insurance, reinsurance

4.

On a Connection between Froot-Stein and the De Finetti Optimal Dividends Models

NBER Insurance Workshop, 2008
Number of pages: 31 Posted: 23 May 2015
John Major
Guy Carpenter & Company, LLC
Downloads 20 (566,821)
Citation 1

Abstract:

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friction, Modigliani-Miller, Froot-Stein, de Finetti, optimal dividends, risk management, reinsurance, shareholder value

5.

On Modeling Insurance Risk Pricing

Published as Major, John A. "Methodological Considerations in the Statistical Modeling of Catastrophe Bond Prices." Risk Management and Insurance Review 22.1 (2019): 39-56. DOI: 10.1111/rmir.12114
Number of pages: 16 Posted: 15 Sep 2017 Last Revised: 22 Apr 2019
John Major
Guy Carpenter & Company, LLC
Downloads 18 (579,801)

Abstract:

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