This page provides a research bibliography of the "Insurance Finance" academic literature. Topics include financial pricing models, capital allocation, reinsurance, corporate risk management, underwriting cycles, insurance distribution, insurance fraud, and insurance securitization. This is an updated version of a reading list which I used for a Spring 2006 PhD seminar course at the Wharton School called "Markets for Risk Management".

Survey articles from the Handbook of Insurance are available for many of the topics listed below; all such articles are prefixed by an asterisk (*). For students interested in learning more about insurance economics, Henri Loubergé's survey article entitled "Developments in Risk and Insurance Economics: The Past 25 Years" is an excellent place to start; I also highly recommend Alex Muermann's and Harris Schlesinger's "Insurance Economics" reading lists.


Financial Pricing Models

  1. * Cummins, J. David and Richard D. Phillips, 2000, “Applications of Financial Pricing Models in Property-Liability Insurance,” in Georges Dionne, editor, Handbook of Insurance ( Boston: Kluwer Academic Publishers), Chapter 19.

  2. Cummins, J. David, 1988, “Risk Based Premiums for Insurance Guaranty Funds,” Journal of Finance 43, No. 4 (December): 823-839.

  3. Cummins, J. David, 1990, “Multi-Period Discounted Cash Flow Ratemaking Models,” Journal of Risk and Insurance, Vol. 47, No. 1 (March): 79-109.

  4. Cummins, J. David, 1991, “Statistical and Financial Models of Insurance Pricing and the Insurance Firm,” Journal of Risk and Insurance, Vol. 58, No. 2 (June), pp. 261-302.

  5. Cummins, J. David, and Richard D. Phillips, 2005, “Estimating the Costs of Equity Capital for Property-Liability Insurers,” Journal of Risk and Insurance, Vol. 72, No. 3 (September): 441-478.

  6. Derrig, Richard A. and Elisha Orr, 2004, “Equity Risk Premium: Expectations Great and Small,” North American Actuarial Journal, Vol. 8, No. 1 (January): 45-69.

  7. Doherty, Neil A. and James R. Garven, 1986, “Price Regulation in Property-Liability Insurance: A Contingent Claims Approach,” Journal of Finance, Vol. 41, No. 5, December 1986, pp. 1031-1050.

  8. Garven, James R., 1987, “On the Application of Finance Theory to the Insurance Firm,” Journal of Financial Services Research, Vol. 1, No. 1, (September): 57-76.

  9. Garven, James R., 1992, “An Exposition of the Implications of Limited Liability and Asymmetric Taxes for Property-Liability Insurance,” Journal of Risk and Insurance, Vol. 59, No. 1 (March): 34-56.

  10. Phillips, Richard D., Cummins, J. David and Franklin Allen, 1998, “Financial Pricing of Insurance in the Multiple-Line Insurance Company,” Journal of Risk and Insurance, Vol. 65, No. 4: 597-636.

  11. Derrig, Richard A., 1994, “Theoretical Considerations of the Effect of Federal Income Taxes on Investment Income in Property-Liability Ratemaking,” Journal of Risk and Insurance, Vol. 61, No. 4 (December): 691-709.

  12. Taylor, Greg, 1994, “Fair Premium Rating Methods and the Relations between Them,” Journal of Risk and Insurance, Vol. 61, No. 4 (December): 592-615.


Capital Allocation

  1. Butsic, Robert, 1999, “Capital Allocation for Property-Liability Insurers: A Catastrophe Reinsurance Application,” Casualty Actuarial Society 1999 Spring Forum, Reinsurance Call Papers, Casualty Actuarial Society.

  2. Cummins, J. David, Yijia Lin, and Richard D. Phillips, 2006, “An Empirical Investigation of the Pricing of Financially Intermediated Risks with Costly External Finance,” Working Paper, Georgia State University.

  3. Gründl, Helmut and Hato Schmeiser, 2007, “Capital Allocation for Insurance Companies - What Good is It?,” Journal of Risk and Insurance, Vol. 74, No. 2 (June):301-317.

  4. Merton, Robert C. and André Perold, 1993, “Theory of Risk Capital in Financial Firms,” Journal of Applied Corporate Finance, Vol. 6, No. 3 (Fall): 16-32.

  5. Myers, Stewart C. and James A. Read, Jr., 2001, “Capital Allocation for Insurance Companies,” Journal of Risk and Insurance, Vol. 68, No. 4 (December): 545-580.

  6. Sherris, Michael, 2006, “Solvency, Capital Allocation, and Fair Rate of Return in Insurance,” Journal of Risk and Insurance, Vol. 73, No. 1 (March): 71-96.

  7. Zanjani, George, 2002, “Pricing and Capital Allocation in Catastrophe Insurance,” Journal of Financial Economics, Vol. 65, Issue 2 (August): 283-305.


Reinsurance

  1. Adiel, Ron, 1996, “Reinsurance and the Management of Regulatory Ratios and Taxes in the Property-Casualty Insurance Industry,” Journal of Accounting and Economics, Vol. 22, Issues 1-3 (August-December): 207-40.

  2. Doherty, Neil A. and Kent Smetters, 2005, “Moral Hazard in Reinsurance Markets,” Journal of Risk and Insurance, Vol. 72, No. 3 (September): 375-391.

  3. Garven, James R., and Henri Loubergé, 1996, “Reinsurance, Taxes, and Efficiency: A Contingent Claims Model of Insurance Market Equilibrium,” Journal of Financial Intermediation, Vol. 5, Issue 1 (January): 74-93.

  4. Garven, James R. and Joan Lamm-Tennant, 2003, “The Demand for Reinsurance: Theory and Empirical Tests,” Insurance and Risk Management, Vol. 7, No. 3 (July): 217-238.

  5. Guy Carpenter, 2005, “The World Catastrophe Reinsurance Market,” North America & Asia.

  6. Jean-Baptiste, E. L. and A. M. Santomero, 2000, “The Design of Private Reinsurance Contracts,” Journal of Financial Intermediation 9, 274-297.

  7. Mayers, David and Clifford W. Smith, Jr., 1990, “On the Corporate Demand for Insurance: Evidence from the Reinsurance Market,” Journal of Business, Vol. 63, No. 1, Part 1 (January): 19-40.

  8. Plantin, Guillaume, 2006, “Does Reinsurance Need Reinsurers,” Journal of Risk and Insurance, 2006, Vol. 73, No. 1 (March): 153-168.


Corporate Risk Management

  1. * Cummins, J. David, Phillips, Richard D. and Stephen D. Smith, 2000, “Financial Risk Management in the Insurance Industry,” in Georges Dionne, editor, Handbook of Insurance (Boston: Kluwer Academic Publishers), Chapter 17.

  2. * MacMinn, Richard D. and James R. Garven, 2000, “On Corporate Insurance,” in Georges Dionne, editor, Handbook of Insurance (Boston: Kluwer Academic Publishers), Chapter 16.

  3. Allayannis, George, and James P. Weston, 2001, “The Use of Foreign Currency Derivatives and Firm Market Value,” Review of Financial Studies 14(1): 243-276.

  4. Bauer, Wolfgang; Ryser, Marc, 2004, “Risk Management Strategies for Banks,” Journal of Banking and Finance, 28(2): 331-352.

  5. Core, John, 1997, “On the Corporate Demand for Directors' and Officers' Insurance,” Journal of Risk and Insurance, Vol. 64, No. 1 (March): 63-87.

  6. Cummins, J. David, Phillips, Richard D., and Stephen D. Smith, 2001, “Derivatives and Corporate Risk Management: Participation and Volume Decisions in the Insurance Industry,” Journal of Risk and Insurance, Vol. 68, No. 1 (March): 51-91.

  7. Doherty, Neil A., Garven, James R. and Sven Sinclair, 2007, “Noise Hedging and Executive Compensation,” Working paper, University of Pennsylvania.

  8. Doherty, Neil A., 2000, “Why is Risk Costly to Firms?,” Chapter 7 from Integrated Risk Management: Techniques and Strategies for Managing Corporate Risk, McGraw-Hill Professional Publishing.  

  9. Fehle, Frank and Sergey Tsyplakov, 2005, “Dynamic Risk Management: Theory and Evidence,” Journal of Financial Economics, Vol. 78, Issue 1, (October): 3-47.

  10. Froot, Kenneth A., 2007, “Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers,” Journal of Risk and Insurance, Vol. 74, No. 2 (June):273-299.

  11. Froot, Kenneth A., Scharfstein, David S., and Jeremy C. Stein, 1993, “Risk Management: Coordinating Investment and Financing Policies,” Journal of Finance, Vol. 48, No. 5 (December): 1629-1658.

  12. Froot, Kenneth A., and Jeremy C. Stein, 1998, “Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach,” Journal of Financial Economics, Vol. 47, Issue 1 (January): 55-82.

  13. Garven, James R., 2007, “Risk Management: The Unifying Framework for Business Scholarship and Pedagogy,” Risk Management and Insurance Review, Vol. 10, No. 1 (March): pp. 1-12.

  14. Garven, James R. and Richard D. MacMinn, 1993, “The Underinvestment Problem, Bond Covenants and Insurance,” Journal of Risk and Insurance, Vol. 60, No. 4 (December): 635-646.

  15. Geczy, Christopher, Minton, Bernadette A., and Catherine Schrand, 1997, “Why Firms Use Currency Derivatives,” Journal of Finance: 52: 1323-1354.

  16. Graham, John R, and Daniel, Rogers A., 2002, “Do Firms Hedge in Response to Tax Incentives?” Journal of Finance 57(2): 815-839.

  17. Gron, Anne, and Andrew Winton, 2001, “Risk Overhang and Market Behavior,” Journal of Business, Vol. 74, No. 4 (October): 591-612.

  18. Leland, Hayne E., 1998, “Agency Costs, Risk Management, and Capital Structure,” Journal of Finance, Vol. 53, No. 4 (August): 1213-1243.

  19. Mayers, David and Clifford W. Smith, Jr., 1982, “On the Corporate Demand for Insurance,” Journal of Business, Vol. 55, No. 2 (April): 281-296.


Underwriting Cycles

  1. * Harrington, Scott E. and Greg Niehaus, 2000, “Volatility and Underwriting Cycles,” in Georges Dionne, editor, Handbook of Insurance (Boston: Kluwer Academic Publishers), Chapter 20.

  2. Cummins, J. David and J. Francois Outreville, 1987, “An International Analysis of Underwriting Cycles,” Journal Risk and Insurance, Vol. 54, No. 2 (June): 246-62.

  3. Cummins, J. David and Patricia M. Danzon, 1997, “Price, Financial Quality, and Capital Flows in Insurance Markets,” Journal of Financial Intermediation, Vol. 6, Issue 1 (January): 3-38.

  4. Doherty, Neil A., and James R. Garven, 1995, “Insurance Cycles: Interest Rates and the Capacity Constraint Model,” Journal of Business, Vol. 68, No. 3 (July): 383-404.

  5. Grace, Martin F., and Julie Hotchkiss, 1995, “External Impacts on the Property-Liability Insurance Cycle,” Journal of Risk and Insurance, Vol. 62, No. 4 (December): 738-754.

  6. Gron, Anne, 1994, “Capacity Constraints and Cycles in Property-Casualty Insurance Markets,” Rand Journal of Economics, Vol. 25, No. 1 (Spring): 110-127.

  7. Lamm-Tennant, Joan and Mary A. Weiss, 1997, “An Investigation of International Underwriting Cycles,” Journal of Risk and Insurance, Vol. 64, No. 3 (September): 415-439.

  8. Winter, Ralph A., 1994, “The Dynamics of Competitive Insurance Markets,” Journal of Financial Intermediation, 3:379-415.


Insurance Distribution

  1. * Regan, Laureen and Sharon Tennyson, 2000, “Insurance Distribution Systems,” in Georges Dionne, editor, Handbook of Insurance (Boston: Kluwer Academic Publishers), Chapter 22.

  2. Berger, Allen N., Cummins, J. David, and Mary A. Weiss, 1997, “The Coexistence of Alternative Product Distribution Systems: The Case of Property-Liability Insurance,” Journal of Business, Vol. 70, No. 4 (October): 515-546.

  3. Cummins, J. David and Neil A. Doherty, 2006, “The Economics of Insurance Intermediaries," Journal of Risk and Insurance, Vol. 73, No. 3 (September): 359-396.

  4. Doherty, Neil A. and Alexander Muermann, 2004, “Brokers and the Insurance of Non-Verifiable Losses,” Brookings-Wharton Papers on Financial Services, 193-215.

  5. Doherty, Neil A. and Alexander Muermann, 2005, “Insuring the Uninsurable: Brokers and Incomplete Insurance Contracts,” University of Pennsylvania Working paper (October).

  6. Grossman, Sanford J. and Oliver D. Hart, 1986, “The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration,” Journal of Political Economy, Vol. 94, No. 4 (August): 691-719.

  7. Kim, Won-Joong, Mayers; David, and Clifford W. Smith, Jr., 1996, “On the Choice of Insurance Distribution Systems,” Journal of Risk and Insurance, Vol. 63, No. 2 (June): 207-227.

  8. Posey, Lisa, and Sharon Tennyson, 1998, “The Coexistence of Distribution Systems under Price Search: Theory and Some Evidence from Insurance,” Journal of Economic Behavior and Organization, Vol. 35, No. 1: 95-115.

  9. Posey, Lisa and Abdullah Yavas, 1994, “A Search Model of Marketing Systems in Property-Liability Insurance,” Journal of Risk and Insurance, Vol. 62, No. 4 (December): 666-689.

  10. Regan, Laureen, 1997, “Vertical Integration in the Property-Liability Insurance Industry: A Transaction Cost Approach,” Journal of Risk and Insurance, Vol. 64, No. 1 (March): 41-62.


Insurance Fraud

  1. * Picard, Pierre, 2000, “Economic Analysis of Insurance Fraud,” in Georges Dionne, editor, Handbook of Insurance (Boston: Kluwer Academic Publishers), Chapter 10.

  2. Brockett P.L., R . A. Derrig, L. Golden, A. Levine, and M. Alpert, “Fraud Classification Using Principal Component Analysis RIDIT’s,” Journal of Risk and Insurance, Vol. 69, No. 3 (September): 341-371.

  3. D’Arcy, Stephen P., Derrig, Richard A., and Herbert I. Weisberg, 2005, “The Economics of Insurance Fraud Investigation: Evidence of a Nash Equilibrium,” Working Paper, September.

  4. Derrig, Richard A., 2002, “Insurance Fraud,” Journal of Risk and Insurance, Vol. 69, No. 3 (September): 271-287.

  5. Derrig, Richard A. and Valerie Zicko, 2002, “Prosecuting Insurance Fraud,” Risk Management and Insurance Review, Vol. 5, Issue 2 (September): 77-104.

  6. Derrig, Richard A. and Krzysztof M. Ostaszewski, 1995, “Fuzzy Techniques of Pattern Recognition in Risk and Claim Classification,” Journal of Risk and Insurance, Vol. 62, No. 3 (September): 447-482. 

  7. Tennyson, Sharon and Pau Salas-Forn, 2002, “Claims Auditing in Automobile Insurance: Fraud Detection and Deterrence Objectives,” Journal of Risk and Insurance, Vol. 69, No. 3 (September): 289-308.


Insurance Securitization

  1. Doherty, Neil A. and Harris Schlesinger, 2002, “Insurance Contracts and Securitization,” Journal of Risk and Insurance, Vol. 69, No. 1 (March): 45-62.

  2. Cowley, Alex, and J. David Cummins, 2005, “Securitization of Life Insurance Assets and Liabilities,” Journal of Risk and Insurance, Vol. 72, No. 2 (June): 193-226.

  3. Cummins, J. David, Lalonde, David, and Richard D. Phillips, 2004, “The Basis Risk of Index-Linked Catastrophic Loss Securities,” Journal of Financial Economics, Volume 71, Issue 1 (January): 77-111.

  4. Iacobucci, Edward M., and Ralph A. Winter, 2005, “Asset Securitization and Asymmetric Information,” Journal of Legal Studies, Vol. 34, No. 1 (January): 161-206.

  5. Lane, Morton N., 2007, “Recapitalizing Reinsurers: A Never-Ending Story?,” Lane Financial LLC (January).

  6. Lane, Morton N., 2007, “Of Sidecars and Such,” Lane Financial LLC (January).

  7. Lane, Morton N. and Roger G. Beckwith, 2007, “That was the Year that was - The 2007 Review of the Insurance Securitization Market,” Lane Financial LLC (April).

  8. Thomas, Hugh, 2001, “Effects of Asset Securitization on Seller Claimants,” Journal of Financial Intermediation, Vol. 10, Issues 3-4 (July): 306-330.

 
 

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