Samuel H. Cox

University of Manitoba - Asper School of Business

Dr. L.A.H. Warren Chair Professor of Actuarial Science

181 Freedman Crescent

Winnipeg, Manitoba R3T 5V4

Canada

SCHOLARLY PAPERS

18

DOWNLOADS

2,930

SSRN CITATIONS

22

CROSSREF CITATIONS

199

Scholarly Papers (18)

1.

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
Andreas Milidonis, Yijia Lin and Samuel H. Cox
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 584 (45,491)

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

2.

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 (47,061)

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Mortality, Hedging, Swaps, Annuity, Life Insurance

3.

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 530 (51,444)

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Mortality Risk, Longevity Risk, Modeling, Securitization

4.

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 (90,556)

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Securitization, Catastrophes, Mortality Risks

5.

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
Samuel H. Cox, Yijia Lin, Ruilin Tian and Luis Zuluaga
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 (168,017)

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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
Samuel H. Cox, Yijia Lin, Ruilin Tian and Jifeng Yu
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 (175,976)

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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
Samuel H. Cox, Yijia Lin, Ruilin Tian and Jifeng Yu
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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7.

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
Samuel H. Cox, Yijia Lin, Ruilin Tian and Luis Zuluaga
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 119 (234,597)

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Portfolio Management, CVaR

8.

Is the Home Equity Conversion Mortgage in the United States Sustainable? Evidence from Pricing Mortgage Insurance Premiums and Non-Recourse Provisions Using the Conditional Esscher Transform

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010
Number of pages: 49 Posted: 24 Apr 2014
Hua Chen, Samuel H. Cox and Shaun Wang
University of Hawai?i at M?noa, University of Manitoba - Asper School of Business and Georgia State University's Robinson College of Business
Downloads 92 (279,861)
Citation 3

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Home Equity Conversion Mortgage (HECM); Non-Recourse Provision; Mortality Modeling; Conditional Esscher Transform

9.
Downloads 75 (317,013)
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
Samuel H. Cox, Yijia Lin, Ruilin Tian and Luis Zuluaga
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 (322,870)

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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
Samuel H. Cox, Yijia Lin, Ruilin Tian and Luis Zuluaga
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 (684,913)
Citation 9
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10.

The Market Price of Risk for Affine Interest Rate Term Structures

6th International AFIR-Colloquium, pp. 913-924, Nuremberg, October 1-31, 1996
Number of pages: 12 Posted: 14 Sep 2009
Samuel H. Cox and Gennady Medvedev
University of Manitoba - Asper School of Business and Belarusian State University
Downloads 68 (334,646)

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Stochastic process, interest rate, bond price, yield to maturity, market price of risk

11.

Bounds on Tail Probabilities and Value at Risk Given Moment Information

Number of pages: 42 Posted: 02 Jun 2013 Last Revised: 26 Nov 2014
Ruilin Tian, Samuel H. Cox and Luis Zuluaga
North Dakota State University - Department of Accounting, Finance, and Information Systems, University of Manitoba - Asper School of Business and University of New Brunswick - Fredericton
Downloads 59 (359,744)

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Moment problem, Semidefinite programming, VaR, Maximum entropy

12.

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 57 (365,865)

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

13.

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 31 (462,872)

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

14.

Moment Problem and Its Application to Tail Risk Assessment

North American Actuarial Journal, Volume 21, Issue 2, pp. 242-266, 2017.
Number of pages: 40 Posted: 03 Apr 2018
Ruilin Tian, Samuel H. Cox and Luis Zuluaga
North Dakota State University - Department of Accounting, Finance, and Information Systems, University of Manitoba - Asper School of Business and University of New Brunswick - Fredericton
Downloads 25 (493,569)

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Moment Problem, Semiparametric Bounds, Semidefinite Programming (SDP), Value at Risk (VaR)

15.

An Option-Based Operational Risk Management Model for Pandemics

North American Actuarial Journal, Vol 13, Issue (1): 54-76
Number of pages: 40 Posted: 24 Apr 2014
Hua Chen and Samuel H. Cox
University of Hawai?i at M?noa and University of Manitoba - Asper School of Business
Downloads 25 (493,569)

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Real Option Valuation, Epidemic Risk, Operational Risk Management, Regime-Switching Model, Dynamic Programming

16.

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 (557,726)
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17.

Modeling Mortality with Jumps: Applications to Mortality Securitization

Journal of Risk and Insurance, Vol. 76, Issue 3, pp. 727-751, September 2009
Number of pages: 25 Posted: 13 Oct 2009
Hua Chen and Samuel H. Cox
University of Hawai?i at M?noa and University of Manitoba - Asper School of Business
Downloads 2 (640,107)
Citation 3
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18.

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