Yijia Lin

University of Nebraska at Lincoln - Department of Finance

Lincoln, NE 68588-0490

United States

SCHOLARLY PAPERS

26

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5,136

CITATIONS
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Top 3,788

in Total Papers Citations

213

Scholarly Papers (26)

1.

Enterprise Risk Management: Strategic Antecedents, Risk Integration and Performance

North American Actuarial Journal, Vol. 16, No. 1, pp. 1-28, 2012
Number of pages: 49 Posted: 24 Jun 2010 Last Revised: 16 Apr 2012
Yijia Lin, Min-Ming Wen and Jifeng Yu
University of Nebraska at Lincoln - Department of Finance, California State University, Los Angeles and University of Nebraska-Lincoln
Downloads 745 (32,579)
Citation 2

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Enterprise risk management, Individual risk management strategies, Risk integration, Firm performance

2.

Mortality Regimes and Pricing

North American Actuarial Journal, Vol. 15, No. 2, pp. 266-289, 2011
Number of pages: 41 Posted: 09 Nov 2009 Last Revised: 05 Sep 2011
University of Cyprus - Department of Accounting and Finance, University of Nebraska at Lincoln - Department of Finance and University of Manitoba - Asper School of Business
Downloads 583 (45,297)

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Lee-Cater model, regime switching mortality model, mortality-linked securities

3.

Natural Hedging of Life and Annuity Mortality Risks

North American Actuarial Journal, Vol. 11, No. 3, pp. 1-15, 2007
Number of pages: 27 Posted: 07 May 2007 Last Revised: 22 Jan 2016
Samuel H. Cox and Yijia Lin
University of Manitoba - Asper School of Business and University of Nebraska at Lincoln - Department of Finance
Downloads 569 (46,734)

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Mortality, Hedging, Swaps, Annuity, Life Insurance

4.

Mortality Risk Modeling: Applications to Insurance Securitization

Insurance: Mathematics and Economics, Vol. 46, No. 1, pp. 242-253, 2010
Number of pages: 35 Posted: 21 Jul 2008 Last Revised: 26 Aug 2011
Samuel H. Cox, Yijia Lin and Hal Petersen
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance and affiliation not provided to SSRN
Downloads 529 (51,253)

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Mortality Risk, Longevity Risk, Modeling, Securitization

5.

WTO and the Chinese Insurance Industry

Geneva Papers on Risk and Insurance - Issues and Practice, Vol. 34, No. 3, pp. 440-465, 2009
Number of pages: 30 Posted: 29 Sep 2007 Last Revised: 02 Oct 2013
J. Tyler Leverty, Yijia Lin and Hao Zhou
University of Wisconsin - Madison, University of Nebraska at Lincoln - Department of Finance and Allianz General Representative Office China
Downloads 491 (56,303)
Citation 1

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Insurance, Efficiency, Productivity, WTO

6.

Securitization of Catastrophe Mortality Risks

Insurance: Mathematics and Economics, Vol. 42, No. 2, pp. 628-637, 2008
Number of pages: 28 Posted: 22 Jun 2007 Last Revised: 26 Aug 2011
Yijia Lin and Samuel H. Cox
University of Nebraska at Lincoln - Department of Finance and University of Manitoba - Asper School of Business
Downloads 331 (90,294)

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Securitization, Catastrophes, Mortality Risks

7.

Capital Allocation and the Pricing of Financially Intermediated Risks: An Empirical Investigation

Number of pages: 51 Posted: 28 Jun 2006
Georgia State University - Risk Management & Insurance Department, Temple University - Risk Management & Insurance & Actuarial Science and University of Nebraska at Lincoln - Department of Finance
Downloads 272 (111,285)
Citation 2

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Capital allocation, Insurance, Prices

Household Life Cycle Protection: Life Insurance Holdings, Financial Vulnerability and Portfolio Implications

Journal of Risk & Insurance, Vol. 74, No. 1, pp. 141-173, March 2007
Number of pages: 37 Posted: 27 Mar 2007 Last Revised: 02 Oct 2013
Yijia Lin and Martin F. Grace
University of Nebraska at Lincoln - Department of Finance and Temple University - Risk Management & Insurance & Actuarial Science
Downloads 243 (124,513)

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Household Life Insurance Holdings, Financial Vulnerability, Life Cycle Protection

Household Life Cycle Protection: Life Insurance Holdings, Financial Vulnerability, and Portfolio Implications

Journal of Risk & Insurance, Vol. 74, No. 1, pp. 141-173, March 2007
Number of pages: 33 Posted: 04 Mar 2007
Martin F. Grace and Yijia Lin
Temple University - Risk Management & Insurance & Actuarial Science and University of Nebraska at Lincoln - Department of Finance
Downloads 26 (499,409)
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9.

Bounds for Probabilities of Extreme Events Defined by Two Random Variables

Variance, Vol. 4, No. 1, pp. 47-65, 2010
Number of pages: 34 Posted: 30 Jul 2007 Last Revised: 28 Aug 2011
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of New Brunswick - Fredericton
Downloads 179 (167,035)

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Semiparametric bounds, joint tail probabilities, value at risk, moments, sum of square programming

Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 585-619, 2013
Number of pages: 42 Posted: 26 Jan 2013 Last Revised: 02 Oct 2013
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of Nebraska-Lincoln
Downloads 170 (174,939)

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defined benefit pension plan, funding, asset allocation, contribution, longevity risk hedging

Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 585-620, 2013
Number of pages: 36 Posted: 30 Aug 2013
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of Nebraska-Lincoln
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11.

Pension Risk Management in the Enterprise Risk Management Framework

Journal of Risk and Insurance, Volume 84, pp. 345–365, 2017.
Number of pages: 51 Posted: 11 Mar 2016 Last Revised: 03 Apr 2018
University of Nebraska at Lincoln - Department of Finance, National Chengchi University, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of Nebraska-Lincoln
Downloads 134 (212,998)
Citation 1

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defined benefit pension plan, enterprise risk management, conditional value-at-risk, pension de-risking

12.

Portfolio Risk Management with CVaR-Like Constraints

North American Actuarial Journal, Vol. 14, No. 1, pp. 86-106, 2010
Number of pages: 31 Posted: 28 Aug 2011 Last Revised: 16 Apr 2012
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of New Brunswick - Fredericton
Downloads 118 (234,732)

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Portfolio Management, CVaR

13.

Pricing Mortality Securities with Correlated Mortality Indexes

Journal of Risk and Insurance, Vol. 80, Issue 4, pp. 921-948, 2013
Number of pages: 35 Posted: 11 Jul 2010 Last Revised: 19 Feb 2015
Yijia Lin, Sheen Liu and Jifeng Yu
University of Nebraska at Lincoln - Department of Finance, Washington State University - Vancouver and University of Nebraska-Lincoln
Downloads 117 (236,147)
Citation 3

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Mortality Correlation, Mortality Modeling, Particle Filter, Mortality Security Pricing

14.

Corporate Pensions and the Maturity Structure of Debt

Journal of Risk and Insurance, Forthcoming
Number of pages: 45 Posted: 11 Mar 2016 Last Revised: 01 Mar 2017
Yijia Lin, Sheen Liu and Jifeng Yu
University of Nebraska at Lincoln - Department of Finance, Washington State University and University of Nebraska-Lincoln
Downloads 87 (288,310)
Citation 1

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defined benefit pension plan, cost of debt, debt maturity, asymmetric information

Reinsurance Networks and Their Impact on Reinsurance Decisions: Theory and Empirical Evidence

Journal of Risk and Insurance, Vol. 82, No. 3, pp. 531-569, 2015
Number of pages: 43 Posted: 03 Oct 2013 Last Revised: 25 Jan 2016
University of Nebraska at Lincoln - Department of Finance, University of Nebraska-Lincoln and University of Nebraska at Lincoln - Department of Finance
Downloads 86 (292,953)

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Reinsurance Costs, Optimal Network Structure, Network Centrality, Network Cohesion

Reinsurance Networks and Their Impact on Reinsurance Decisions: Theory and Empirical Evidence

Journal of Risk and Insurance, Vol. 82, Issue 3, pp. 531-569, 2015
Number of pages: 40 Posted: 28 Aug 2015
University of Nebraska at Lincoln - Department of Finance, University of Nebraska-Lincoln and University of Nebraska at Lincoln - Department of Finance
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16.
Downloads 75 (315,121)
Citation 18

Mortality Portfolio Risk Management

Journal of Risk and Insurance, Vol. 80, Issue 4, pp. 853-890, 2013
Number of pages: 41 Posted: 25 Aug 2011 Last Revised: 19 Feb 2015
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of New Brunswick - Fredericton
Downloads 74 (320,916)

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mortality risk, portfolio theory, conditional value-at-risk, moments method, downside risk

Mortality Portfolio Risk Management

Journal of Risk and Insurance, Vol. 80, Issue 4, pp. 853-890, 2013
Number of pages: 38 Posted: 18 Dec 2013
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of New Brunswick - Fredericton
Downloads 1 (680,866)
Citation 4
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17.

The Securitization of Longevity Risk and Its Implications for Retirement Security

Pension Research Council Working Paper No. 2013-22
Number of pages: 45 Posted: 19 Apr 2014
National Chengchi University, University of Texas at Austin - Department of Information, Risk and Operations Management, National Chengchi University - Department of Risk Management and Insurance, University of Nebraska at Lincoln - Department of Finance and North Dakota State University - Department of Accounting, Finance, and Information Systems
Downloads 68 (332,738)
Citation 1

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Longevity Risk, Retirement, Securitization, Buy-Out, Longevity Swap

18.

Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk

North American Actuarial Journal, Vol. 18, No. 1, pp. 68-86, 2014
Number of pages: 39 Posted: 03 Oct 2013 Last Revised: 25 May 2014
University of Nebraska at Lincoln - Department of Finance, University of Waterloo, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of Nebraska-Lincoln
Downloads 59 (357,645)

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defined benefit pension plan, downside risk, basis risk, CVaR, longevity risk hedging

19.

Pension Risk Management with Funding and Buyout Options

Insurance: Mathematics and Economics, Forthcoming, Fox School of Business Research Paper No. 17-012
Number of pages: 47 Posted: 21 Feb 2017 Last Revised: 24 Apr 2017
Samuel H. Cox, Yijia Lin and Tianxiang Shi
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance and Temple University - Risk Management & Insurance & Actuarial Science
Downloads 56 (366,872)

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Defined Benefit Pension Plan, Risk Management, Pricing, Funding Options, Buyout Options

20.

Pricing Buy-Ins and Buy-Outs

Journal of Risk and Insurance, Forthcoming
Number of pages: 30 Posted: 11 Mar 2016 Last Revised: 07 May 2016
Yijia Lin, Tianxiang Shi and Ayse Arik
University of Nebraska at Lincoln - Department of Finance, Temple University - Risk Management & Insurance & Actuarial Science and Hacettepe University
Downloads 54 (373,263)
Citation 1

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defined benefit pension plan, pricing, buy-ins, buy-outs

21.

De-Risking Defined Benefit Plans

Insurance: Mathematics and Economics, Vol. 63, pp. 52-65, 2015
Number of pages: 45 Posted: 20 Feb 2015 Last Revised: 25 Jan 2016
University of Nebraska at Lincoln - Department of Finance, National Chengchi University and North Dakota State University - Department of Accounting, Finance, and Information Systems
Downloads 53 (376,361)

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defined benefit pension plan, longevity hedge, buy-in, buy-out

The Cross-Section of Asia-Pacific Mortality Dynamics: Implications for Longevity Risk Sharing

Number of pages: 31 Posted: 02 Apr 2016 Last Revised: 10 Oct 2016
Imperial College Business School, University of Nebraska at Lincoln - Department of Finance and University of Cyprus - Department of Accounting and Finance
Downloads 48 (400,032)
Citation 3

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k-forward, longevity risk, risk sharing, emerging economies, Asia-Pacific

23.

Optimal Longevity Risk Transfer and Investment Strategies

North American Actuarial Journal, Forthcoming
Number of pages: 44 Posted: 27 Jul 2017 Last Revised: 27 May 2018
Samuel H. Cox, Yijia Lin and Sheen Liu
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance and Washington State University
Downloads 29 (469,674)

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Pension Buy-Ins and Buy-Outs, Bulk Annuity Insurers, Longevity Risk Transfer, Duality in Optimization

24.

Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization

Journal of Risk & Insurance, Vol. 73, No. 4, pp. 719-736, December 2006
Number of pages: 18 Posted: 29 Nov 2006
Samuel H. Cox, Yijia Lin and Shaun Wang
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance and Georgia State University's Robinson College of Business
Downloads 14 (554,324)
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25.

Pricing Mortality Securities with Correlated Mortality Indexes

Journal of Risk and Insurance, Vol. 80, Issue 4, pp. 921-948, 2013
Number of pages: 28 Posted: 18 Dec 2013
Yijia Lin, Sheen Liu and Jifeng Yu
University of Nebraska at Lincoln - Department of Finance, Washington State University - Vancouver and University of Nebraska-Lincoln
Downloads 0 (666,530)
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26.

Securitization of Mortality Risks in Life Annuities

Journal of Risk & Insurance, Vol. 72, No. 2, pp. 227-252, June 2005
Posted: 07 May 2007
Yijia Lin and Samuel H. Cox
University of Nebraska at Lincoln - Department of Finance and University of Manitoba - Asper School of Business

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Securitization, Mortality, Annuities