Author Page for Samuel H. Cox

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)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

6.

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

Downloads 170 (175,892)

Citation 14

2

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)

Abstract:

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:

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)

Abstract:

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

Abstract:

9.

Mortality Portfolio Risk Management

Downloads 75 (317,013)

Citation 18

2

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)

Abstract:

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

Add to Cart

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Add to Cart

Abstract:

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

Add to Cart

Abstract:

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

Samuel H. Cox

University of Manitoba - Asper School of Business

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

18

2,930

22

199

Scholarly Papers (18)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

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

Abstract:

Abstract:

Abstract:

Abstract:

Mortality Portfolio Risk Management

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization

Abstract:

Modeling Mortality with Jumps: Applications to Mortality Securitization

Abstract:

Abstract: