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

  • University of Manitoba - Asper School of Business

SCHOLARLY PAPERS

18

DOWNLOADS

2,897

105

!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

Scholarly Papers (18)

Actions:
Email selected abstracts
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 581 (44,920)

Abstract:

Loading...

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 568 (46,269)

Abstract:

Loading...

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 526 (51,013)

Abstract:

Loading...

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 328 (89,882)

Abstract:

Loading...

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 (165,121)

Abstract:

Loading...

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

6.

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

Downloads 169 (173,762)

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 169 (173,893)

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

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 117 (233,503)

Abstract:

Loading...

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 84 (291,335)

Abstract:

Loading...

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

9.

Mortality Portfolio Risk Management

Downloads 75 (311,490)

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 (317,295)

Abstract:

Loading...

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 (670,851)
  • Add to Cart

Abstract:

Loading...

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 67 (331,467)

Abstract:

Loading...

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 58 (356,464)

Abstract:

Loading...

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 54 (368,849)

Abstract:

Loading...

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 26 (479,069)

Abstract:

Loading...

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

14.

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 (484,444)

Abstract:

Loading...

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

15.

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 24 (489,884)

Abstract:

Loading...

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

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 (547,136)
  • Add to Cart

Abstract:

Loading...

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 (626,453)
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

Securitization, Mortality, Annuities