Description: This report predicts farm-level crop yield distributions in the absence of farm-level yield data.

Description: This presentation provides evidence that a decline in interest rates in the negative interest rate environment produces a much more serious consequence on life insurers than that in the positive interest rate environment.

Description: This abstract describes a paper that establishes the relationship among dimension reduction methods, the feature of discontinuity and the performance of QMC methods, with special interest in understanding why BB and PCA do not offer a consistent advantage in QMC.

Description: In this paper we investigate three investment-consumption problems for a risk averse investor: i an investment only problem that involves utility from only terminal wealth, ii an investment-consumption problem that involves utility from only consumption, and iii an extended investment-consumption problem that involves utility from both consumption and terminal wealth. We model these problems under a multiperiod setup that incorporates three types of uncertainties: the economic environment uncertainty, the asset return uncertainty, and the mortality uncertainty. By using dynamic programming, analytical expressions of the optimal investment consumption strategies to these problems are derived. Some economic implications on these results are also discussed.

Description: Full version of Risk Management, July 2006, Issue No. 8.

Description: This is the abstract on the paper on optimal reinsurance retentions under joint survivorship of both insurer and reinsurer.