Richard D. MacMinn

National Chengchi University

Professor/Senior Research Fellow

Taipei

Taiwan

The University of Texas

2317 Speedway

Austin, TX 78712

United States

SCHOLARLY PAPERS

24

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Scholarly Papers (24)

1.

Measuring Economic Capital: Value-at-Risk, Expected Shortfall and Copula Approach

Number of pages: 43 Posted: 13 May 2011
Jeungbo Shim, Seung-Hwan Lee and Richard D. MacMinn
Illinois Wesleyan University, Illinois Wesleyan University and National Chengchi University
Downloads 511 (53,926)

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Economic Capital, Value-at-Risk, Grouped t Copula

2.

Longevity Risk and Capital Markets: The 2008-2009 Update

Number of pages: 7 Posted: 19 Mar 2009
David P. Blake, Anja De Waegenaere, Richard D. MacMinn and Theo Nijman
City University London - Cass Business School, Tilburg University - Center for Economic Research (CentER), National Chengchi University and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 477 (58,861)
Citation 6

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Longevity/Mortality Risk Modeling and Securities Pricing

McCombs Research Paper Series No. IROM-05-10
Number of pages: 32 Posted: 17 Aug 2010 Last Revised: 08 Oct 2010
Patrick L. Brockett, Richard D. MacMinn and Yinglu Deng
University of Texas at Austin - Department of Information, Risk and Operations Management, National Chengchi University and Red McCombs School of Business
Downloads 267 (113,647)
Citation 1

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Longevity Risk, Mortality Risk, Securitization, Double Exponential Jump Diffussion Model, Lee-Carter Framework

Longevity/Mortality Risk Modeling and Securities Pricing

Journal of Risk and Insurance, Vol. 79, Issue 3, pp. 697-721, 2012
Number of pages: 25 Posted: 23 Aug 2012
Yinglu Deng, Patrick L. Brockett and Richard D. MacMinn
Red McCombs School of Business, University of Texas at Austin - Department of Information, Risk and Operations Management and National Chengchi University
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4.

Longevity Risk and Capital Markets: The 2007-2008 Update

Number of pages: 6 Posted: 11 Feb 2009
Richard D. MacMinn, Jennifer L. Wang and David P. Blake
National Chengchi University, National Chengchi University - Department of Risk Management and Insurance and City University London - Cass Business School
Downloads 232 (131,840)

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Longevity Risk and Capital Markets: The 2013-14 Update

Pensions Institute Discussion Paper PI-1502
Number of pages: 29 Posted: 24 Mar 2016
Ken Seng Tan, David P. Blake and Richard D. MacMinn
University of Waterloo, City University London - Cass Business School and National Chengchi University
Downloads 106 (256,349)
Citation 6

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Longevity Risk and Capital Markets: The 2013-14 Update

Number of pages: 29 Posted: 11 Apr 2015
Ken Seng Tan, David P. Blake and Richard D. MacMinn
University of Waterloo, City University London - Cass Business School and National Chengchi University
Downloads 92 (282,127)
Citation 2

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6.

Mutual versus Stock Insurers: A Synthesis of the Theoretical and Empirical Research

Published in Journal of Insurance Issues, 2011, 34 (2): 101–111
Number of pages: 12 Posted: 26 Oct 2010 Last Revised: 18 Oct 2018
Richard D. MacMinn and Yayuan Ren
National Chengchi University and Illinois State University-Department of Finance, Insurance and Law
Downloads 160 (185,299)
Citation 1

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organizational form, adverse selection, moral hazard

7.

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
Yijia Lin, Richard D. MacMinn, Ruilin Tian and Jifeng Yu
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 136 (211,870)
Citation 1

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

8.

Directors, Directors and Officers Insurance and Corporate Governance

Published in Journal of Insurance Issues, 2012, 159-179
Number of pages: 18 Posted: 10 Dec 2010 Last Revised: 18 Oct 2018
Li-Ming Han, Richard D. MacMinn and Yayuan Ren
The Chinese University of Hong Kong (CUHK), Faculty of Business Administration, Department of Finance (Deceased), National Chengchi University and Illinois State University-Department of Finance, Insurance and Law
Downloads 129 (220,830)

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Directors, Directors and Officers Insurance, Corporate Governance

9.

Multi-Population Mortality Models: A Factor Copula Approach

Insurance: Mathematics and Economics, Forthcoming, Fox School of Business Research Paper No. 15-052
Number of pages: 42 Posted: 31 Dec 2014 Last Revised: 16 Dec 2016
Hua Chen, Richard D. MacMinn and Tao Sun
University of Hawai?i at M?noa, National Chengchi University and Independent
Downloads 113 (243,663)
Citation 1

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Multi-population mortality model, factor copulas, maximum entropy principle, mortality/longevity risk pricing and hedging

10.

Distribution of Price and Quality under Information Asymmetry

KAIST Business School Working Paper Series No. 2008-012
Number of pages: 32 Posted: 22 Aug 2008 Last Revised: 07 Dec 2014
Richard D. MacMinn and S. Hun Seog
National Chengchi University and Seoul National University - Business School
Downloads 104 (258,283)

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search, information asymmetry, distribution of price and quality, insurance

11.

Longevity Risks and Capital Markets: The 2010-2011 Update

Pension Institute Discussion Paper No. PI-1113
Number of pages: 14 Posted: 01 Dec 2011
City University London - Cass Business School, Haute Ecole de Gestion de Genève - University of Applied Sciences Western Switzerland (HES-SO), National Chengchi University and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 97 (270,628)
Citation 1

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12.

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 (334,802)
Citation 1

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

13.

Longevity Risk and Capital Markets: The 2015-16 Update

Pensions Institute, Working Paper No. 1704
Number of pages: 44 Posted: 26 Oct 2017
City University London - Cass Business School, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, National Chengchi University and University of Lyon 1 - Institute of Finance and Insurance Science (ISFA)
Downloads 61 (354,080)
Citation 3

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14.

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
Yijia Lin, Richard D. MacMinn and Ruilin Tian
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 (378,785)

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

Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model with the GAS Structure

Journal of Risk and Insurance, 84: 393-415, 2017
Number of pages: 24 Posted: 06 Feb 2017 Last Revised: 07 Jun 2017
Hua Chen, Richard D. MacMinn and Tao Sun
University of Hawai?i at M?noa, National Chengchi University and Lingnan University
Downloads 51 (391,761)
Citation 1

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Multi-population mortality model, factor copulas, generalized autoregressive score models, the Kortis bond

Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model with the Gas Structure

Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 393-415, 2017
Number of pages: 23 Posted: 14 Apr 2017
Hua Chen, Richard D. MacMinn and Tao Sun
University of Hawai?i at M?noa, National Chengchi University and Lingnan University
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16.

Longevity Bonds: Financial Engineering, Valuation, and Hedging

Journal of Risk & Insurance, Vol. 73, No. 4, pp. 647-672, December 2006
Number of pages: 26 Posted: 29 Nov 2006
David P. Blake, Kevin Dowd, Andrew J. G. Cairns and Richard D. MacMinn
City University London - Cass Business School, Nottingham University Business School (NUBS), Heriot-Watt University - Department of Actuarial Science & Statistics and National Chengchi University
Downloads 34 (449,606)
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17.

On the Meyer-Ormiston Theorem

Number of pages: 6 Posted: 16 Jan 2011
soonkoo hong and Richard D. MacMinn
Seoul National University of Technology and National Chengchi University
Downloads 19 (528,475)

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Deductible Insurance, Second Order Condition, Fair Premium

18.

Stock Options and the Corporate Demand for Insurance

Journal of Risk & Insurance, Vol. 73, No. 2, pp. 231-260, June 2006
Number of pages: 30 Posted: 30 May 2006
Li-Ming Han and Richard D. MacMinn
The Chinese University of Hong Kong (CUHK), Faculty of Business Administration, Department of Finance (Deceased) and National Chengchi University
Downloads 17 (540,249)
Citation 1
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19.

On the Failure (Success) of the Markets for Longevity Risk Transfer

Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 299-317, 2017
Number of pages: 19 Posted: 14 Apr 2017
Richard D. MacMinn and Patrick L. Brockett
National Chengchi University and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 3 (630,670)
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20.

Hedging Longevity Risk in Life Settlements Using Biomedical Research‐Backed Obligations

Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 439-458, 2017
Number of pages: 20 Posted: 14 Apr 2017
Richard D. MacMinn and Nan Zhu
National Chengchi University and Pennsylvania State University - Smeal College of Business
Downloads 2 (640,469)
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21.

Pension Risk Management in the Enterprise Risk Management Framework

Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 345-365, 2017
Number of pages: 21 Posted: 14 Apr 2017
Yijia Lin, Richard D. MacMinn, Ruilin Tian and Jifeng Yu
University of Nebraska at Lincoln, National Chengchi University, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of Nebraska at Lincoln
Downloads 1 (652,918)
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22.

The New Life Market

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 501-558, 2013
Number of pages: 58 Posted: 30 Aug 2013
City University London - Cass Business School, Heriot-Watt University - Department of Actuarial Science & Statistics, Pacific Global Advisors, City University London - Sir John Cass Business School and National Chengchi University
Downloads 1 (652,918)
Citation 1
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23.

Mossin’s Theorem Given Random Initial Wealth

Journal of Risk and Insurance, Vol. 78, Issue 2, pp. 309-324, 2011
Number of pages: 16 Posted: 20 May 2011
affiliation not provided to SSRN, Seoul National University of Technology - Department of Business Administration, National Chengchi University and University of Texas at Austin - Department of Information, Risk and Operations Management
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24.

Incorporating Longevity Risk and Medical Information into Life Settlement Pricing

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 799-826, 2013
Number of pages: 28 Posted: 30 Aug 2013
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Red McCombs School of Business, Red McCombs School of Business and National Chengchi University
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