Patrick L. Brockett

University of Texas at Austin - Department of Information, Risk and Operations Management

CBA 5.202

Austin, TX 78712

United States

SCHOLARLY PAPERS

20

DOWNLOADS
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CITATIONS
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39

Scholarly Papers (20)

Enterprise Risk Management Through Strategic Allocation of Capital

Journal of Risk and Insurance, Forthcoming
Number of pages: 35 Posted: 15 May 2011 Last Revised: 24 May 2011
Jing Ai, Patrick L. Brockett, William W. Cooper and Linda L. Golden
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - McCombs School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 236 (104,908)
Citation 1

Abstract:

Enterprise Risk Management Through Strategic Allocation of Capital

Journal of Risk and Insurance, Vol. 79, Issue 1, pp. 29-56, 2012
Number of pages: 27 Posted: 24 Feb 2012
Jing Ai, Patrick L. Brockett, William W. Cooper and Linda L. Golden
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - McCombs School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 2 (554,355)
Citation 1

Abstract:

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 235 (105,367)
Citation 3

Abstract:

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
Downloads 0
Citation 3

Abstract:

3.

Optimal Enterprise Risk Management and Decision Making with Shared and Dependent Risks

Number of pages: 46 Posted: 12 Nov 2013
Jing Ai, Patrick L. Brockett and Tianyang Wang
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management and Colorado State University - Department of Finance & Real Estate
Downloads 99 (172,746)

Abstract:

Enterprise Risk Management(ERM), Capital Budgeting, Risk Dependency, Copula Modeling, Decisions under Uncertainty

A Robust Unsupervised Method for Fraud Rate Estimation

Journal of Risk and Insurance, Forthcoming
Number of pages: 34 Posted: 15 May 2011 Last Revised: 20 Aug 2012
Jing Ai, Patrick L. Brockett, Linda L. Golden and Montserrat Guillén
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Red McCombs School of Business and University of Barcelona, Department of Econometrics, Riskcenter-IREA
Downloads 79 (256,605)

Abstract:

fraud rate, fraud detection, insurance fraud, unsupervised learning, PRIDIT, PRIDIT-FRE, audit

A Robust Unsupervised Method for Fraud Rate Estimation

Journal of Risk and Insurance, Vol. 80, Issue 1, pp. 121-143, 2013
Number of pages: 23 Posted: 26 Feb 2013
Jing Ai, Patrick L. Brockett, Linda L. Golden and Montserrat Guillén
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Red McCombs School of Business and affiliation not provided to SSRN
Downloads 1 (564,477)

Abstract:

5.

Assessing Consumer Fraud Risk in Insurance Claims: An Unsupervised Learning Technique Using Discrete and Continuous Predictor Variables

North American Actuarial Journal, Vol. 13, No. 4, pp. 438-458, 2009
Number of pages: 41 Posted: 15 May 2011 Last Revised: 20 Aug 2012
Jing Ai, Patrick L. Brockett and Linda L. Golden
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - Red McCombs School of Business
Downloads 40 (283,895)

Abstract:

Unsupervised classification, Latent variable model, RIDIT analysis, Insurance fraud detection, Missing Dependent Variable

6.

Fraud Classification Using Principal Component Analysis of RIDITs

Journal of Risk & Insurance, Vol. 69, pp. 341-371, 2002
Number of pages: 31 Posted: 21 Mar 2003
University of Texas at Austin - Department of Information, Risk and Operations Management, Automobile Insurers Bureau of Massachusetts, University of Texas at Austin - Red McCombs School of Business, Tulane University - Department of Mathematics and University of Texas at Austin - Red McCombs School of Business
Downloads 31 (382,171)
Citation 11

Abstract:

7.

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 30 (290,874)

Abstract:

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

8.

Biological and Psychobehavioral Correlates of Credit Scores and Automobile Insurance Losses: Toward an Explication of Why Credit Scoring Works

Journal of Risk & Insurance, Vol. 74, No. 1, pp. 23-63, March 2007
Number of pages: 41 Posted: 04 Mar 2007
Patrick L. Brockett and Linda L. Golden
University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - Red McCombs School of Business
Downloads 26 (403,541)
Citation 2

Abstract:

9.

Weather Derivatives and Weather Risk Management

Risk Management & Insurance Review, Vol. 8, No. 1, pp. 127-140, March 2005
Number of pages: 14 Posted: 14 Feb 2007
Patrick L. Brockett, Mulong Wang and Charles C. Yang
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin and Florida Atlantic University
Downloads 19 (438,424)
Citation 3

Abstract:

Portfolio Effects and Valuation of Weather Derivatives

The Financial Review, Vol. 41, No. 1, pp. 55-76, February 2006
Number of pages: 22 Posted: 20 Nov 2006
Patrick L. Brockett, Mulong Wang, Charles C. Yang and Hong Zou
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin, Florida Atlantic University and Lingnan University, Department of Finance and Insurance
Downloads 17 (470,719)
Citation 2

Abstract:

Portfolio Effects and Valuation of Weather Derivatives

Financial Review, Vol. 41, No. 1, February 2006
Posted: 10 Nov 2005
Patrick L. Brockett, Mulong Wang, Charles C. Yang and Hong Zou
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin, Florida Atlantic University and Lingnan University, Department of Finance and Insurance

Abstract:

weather derivatives, weather risk securitization, incomplete market pricing models, weather risk contract valuation, portfolio effects, indifference prices

11.

A Comparison of Neural Network, Statistical Methods, and Variable Choice for Life Insurers' Financial Distress Prediction

Journal of Risk & Insurance, Vol. 73, No. 3, pp. 397-419, September 2006
Number of pages: 23 Posted: 07 Sep 2006
Patrick L. Brockett, Linda L. Golden, Jaeho Jang and Charles C. Yang
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Red McCombs School of Business, Samsung and Florida Atlantic University
Downloads 14 (464,145)
Citation 4

Abstract:

12.

Financial Intermediary Versus Production Approach to Efficiency of Marketing Distribution Systems and Organizational Structure of Insurance Companies

Journal of Risk and Insurance, Vol. 72, No. 3, pp. 393-412, September 2005
Number of pages: 20 Posted: 31 Aug 2005
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - McCombs School of Business, University of Texas at Austin - Red McCombs School of Business, University of Texas at Austin - Department of Information, Risk and Operations Management and American Airlines - Department of Information Technology
Downloads 14 (464,145)
Citation 9

Abstract:

13.

A Comparison of HMO Efficiencies as a Function of Provider Autonomy

Journal of Risk and Insurance, Vol. 71, No. 1, pp. 1-19, March 2004
Number of pages: 19 Posted: 17 Mar 2004
University of Texas at Austin - Department of Information, Risk and Operations Management, National Taiwan University - Department of Health Management, University of Texas at Austin - Department of Information, Risk and Operations Management, Southern Methodist University (SMU) - Edwin L. Cox School of Business and Florida Atlantic University
Downloads 13 (474,409)
Citation 3

Abstract:

14.

Survival Analysis of a Household Portfolio of Insurance Policies: How Much Time Do You Have to Stop Total Customer Defection?

Journal of Risk & Insurance, Vol. 75, Issue 3, pp. 713-737, September 2008
Number of pages: 25 Posted: 05 Aug 2008
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Red McCombs School of Business, University of Barcelona, Department of Econometrics, Riskcenter-IREA, City University London - Cass Business School, affiliation not provided to SSRN and University of Barcelona
Downloads 3 (521,539)
Citation 1

Abstract:

15.

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
Soon Koo Hong, Keun Ock Lew, Richard D. MacMinn and Patrick L. Brockett
affiliation not provided to SSRN, affiliation not provided to SSRN, National Chengchi University and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 1 (536,520)

Abstract:

16.

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 0 (536,520)

Abstract:

17.

Health State Transitions and Longevity Effects on Retirees’ Optimal Annuitization

Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 319-343, 2017
Number of pages: 25 Posted: 14 Apr 2017
Jing Ai, Patrick L. Brockett, Linda L. Golden and Wei Zhu
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Red McCombs School of Business and University of International Business and Economics (UIBE)
Downloads 0 (536,520)

Abstract:

18.

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
Patrick L. Brockett, Shuo‐li Chuang, Yinglu Deng and Richard D. MacMinn
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
Downloads 0 (549,040)

Abstract:

19.

Modeling and Forecasting Mortality Rates

Insurance: Mathematics and Economics, Vol. 52, No. 2, 2013
Posted: 02 Dec 2011 Last Revised: 08 Aug 2013
University of Texas at Austin - Red McCombs School of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Department of Information, Risk and Operations Management and University of Texas at Austin - McCombs School of Business

Abstract:

Mortality Rates, Statistics, Time Series, Mortality Forecasting

20.

Event Study Methodology: A New and Stochastically Flexible Approach

Posted: 16 Apr 1998
Patrick L. Brockett, Hwei-Mei Chen and James R. Garven
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Department of Finance and Baylor University - Department of Finance, Insurance & Real Estate

Abstract: