Author Page for David F. Babbel

Real World Index Annuity Returns

Number of pages: 16 Posted: 07 Oct 2009 Last Revised: 06 Jan 2011

David F. Babbel, Geoffrey VanderPal and Jack Marrion

University of Pennsylvania - The Wharton School - Finance and Insurance Departments, Purdue University Global and affiliation not provided to SSRN

Downloads 4,617 (1,793)

Abstract:

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Stable Value Funds: Performance to Date

Number of pages: 51 Posted: 05 Jan 2011

David F. Babbel and Miguel Herce

University of Pennsylvania - The Wharton School - Finance and Insurance Departments and CRA International, Inc.

Downloads 999 (22,381)

Abstract:

3.

Default Risk and the Effective Duration of Bonds

World Bank Policy Research Working Paper No. 1511

Number of pages: 22 Posted: 20 Apr 2016

David F. Babbel and Craig B. Merrill

University of Pennsylvania - The Wharton School - Finance and Insurance Departments and Brigham Young University

Downloads 885 (26,708)

Abstract:

4.

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Downloads 851 ( 28,213)

Citation 11

2

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Number of pages: 28 Posted: 07 Mar 2010 Last Revised: 23 Oct 2012

Kabir Dutta and David F. Babbel

CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments

Downloads 850 (27,815)

Citation 4

Abstract:

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Journal of Risk and Insurance, Vol. 81, Issue 2, pp. 303-334, 2014

Number of pages: 32 Posted: 17 May 2014

Kabir Dutta and David F. Babbel

CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments

Downloads 1 (703,156)

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Abstract:

5.

The World Bank Primer on Reinsurance

World Bank Policy Research Working Paper No. 1512

Number of pages: 30 Posted: 20 Apr 2016

David F. Babbel and Donald A. McIsaac

University of Pennsylvania - The Wharton School - Finance and Insurance Departments and affiliation not provided to SSRN

Downloads 729 (34,936)

Abstract:

6.

Rational Decumulation

Wharton Financial Institutions Center Working Paper No. 06-14

Number of pages: 35 Posted: 18 Jul 2006

David F. Babbel and Craig B. Merrill

University of Pennsylvania - The Wharton School - Finance and Insurance Departments and Brigham Young University

Downloads 651 (40,735)

Citation 27

Abstract:

7.

A Closer Look at Stable Value Funds Performance

Wharton Financial Institutions Center Working Paper No. 07-21

Number of pages: 36 Posted: 14 Oct 2007

David F. Babbel and Miguel Herce

University of Pennsylvania - The Wharton School - Finance and Insurance Departments and CRA International, Inc.

Downloads 520 (54,523)

Citation 4

Abstract:

8.

Stable Value Funds: Performance from 1973 Through 2008

Number of pages: 46 Posted: 02 Sep 2009 Last Revised: 20 Sep 2009

David F. Babbel and Miguel Herce

University of Pennsylvania - The Wharton School - Finance and Insurance Departments and CRA International, Inc.

Downloads 311 (100,079)

Citation 1

Abstract:

9.

Generalized Put-Call Parity

Journal of Financial Engineering, Vol. 1, No. 3, pp. 243-263, 1993

Number of pages: 22 Posted: 02 Jan 2007 Last Revised: 21 Aug 2008

David F. Babbel and Larry Eisenberg

University of Pennsylvania - The Wharton School - Finance and Insurance Departments and New Jersey Institute of Technology

Downloads 271 (115,973)

Citation 1

Abstract:

10.

The Effect of Transaction Size on Off-the-Run Treasury Prices

Wharton Financial Institutions Center Working Paper No. 01-03

Number of pages: 29 Posted: 04 May 2001

David F. Babbel, Craig B. Merrill, Mark F. Meyer and Meiring De Villiers

University of Pennsylvania - The Wharton School - Finance and Insurance Departments, Brigham Young University, Princeton Economics Group, Inc. and University of New South Wales (UNSW) - Faculty of Law

Downloads 264 (119,170)

Citation 3

Abstract:

11.

Quantity-Adjusting Options and Forward Contracts

Journal of Financial Engineering , Vol. 2, No. 2, pp. 89-126, 1993

Number of pages: 20 Posted: 02 Jan 2007

David F. Babbel and Larry Eisenberg

University of Pennsylvania - The Wharton School - Finance and Insurance Departments and New Jersey Institute of Technology

Downloads 235 (134,270)

Citation 1

Abstract:

12.

Measuring the Tax Benefit of a Tax-Deferred Annuity

Journal of Financial Planning, Forthcoming

Number of pages: 22 Posted: 11 Oct 2008 Last Revised: 08 Sep 2009

David F. Babbel and Ravi Reddy

University of Pennsylvania - The Wharton School - Finance and Insurance Departments and affiliation not provided to SSRN

Downloads 213 (147,580)

Citation 2

Abstract:

13.

A Note on Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Number of pages: 10 Posted: 28 Sep 2010

David F. Babbel

University of Pennsylvania - The Wharton School - Finance and Insurance Departments

Downloads 190 (164,106)

Citation 1

Abstract:

14.

Technical Review Panel for the Pension Insurance Modeling System (PIMS)

Michigan Retirement Research Center Research Paper No. 2013-290, Simon School Working Paper No. FR 13-32

Number of pages: 265 Posted: 11 Jan 2014

Olivia S. Mitchell, Christopher Geczy, Robert Novy-Marx, Raimond Maurer, Donald E. Fuerst, Christopher Bone, Donald Segal, Martin G. Clarke, Frank J. Fabozzi, Deborah Lucas and David F. Babbel

University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School, Finance Department, Simon Business School, University of Rochester, Goethe University Frankfurt - Finance Department, Mercer Human Resource Consulting, Independent, Independent, Independent, EDHEC Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - The Wharton School - Finance and Insurance Departments

Downloads 127 (230,245)

Abstract:

15.

Statistical String Theory for Courts: If the Data Don't Fit . . . .

Wharton Financial Institutions Center Working Paper No. 08-27

Number of pages: 33 Posted: 31 Jul 2008

David F. Babbel, Vincent James Strickler and Ricki Dolan

University of Pennsylvania - The Wharton School - Finance and Insurance Departments, Utah State University - Department of Political Science and University of Texas at Austin

Downloads 96 (280,700)

Abstract:

16.

Evaluating Pension Insurance Pricing

Pension Research Council Working Paper, PRC WP2013-17

Number of pages: 35 Posted: 09 Oct 2013

David F. Babbel

University of Pennsylvania - The Wharton School - Finance and Insurance Departments

Downloads 33 (467,231)

Abstract:

17.

Risk Management by Insurers: An Analysis of the Process

WFIC Working Paper 96-16

Posted: 12 Jun 1998

David F. Babbel and Anthony M. Santomero

University of Pennsylvania - The Wharton School - Finance and Insurance Departments and University of Pennsylvania - The Wharton School

Abstract:

18.

The Relation between Capital Structure, Interest Rate Sensitivity, and Market Value in the Property-Liability Insurance Industry

JOURNAL OF RISK AND INSURANCE, Vol. 62 No. 4, December 1995

Posted: 26 May 1998

Kim B. Staking and David F. Babbel

Colorado State University - School of Business and University of Pennsylvania - The Wharton School - Finance and Insurance Departments

Abstract:

19.

Financial Risk Management by Insurers: An Analysis of the Process

J. OF RISK AND INSURANCE, Vol. 64 No. 2, June 1997

Posted: 02 Sep 1997

Anthony M. Santomero and David F. Babbel

University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School - Finance and Insurance Departments

David F. Babbel

University of Pennsylvania - The Wharton School - Finance and Insurance Departments

Professor

CRA International

Senior Advisor

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Scholarly Papers (19)

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Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

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