We present a European call option that is defined on a pension annuity insurance contract. This option gives the holder of the contract the opportunity to buy a pension annuity benefit for a given (strike) price at the age of retirement or any other age. Thus instead of contributed monthly...

This research employed a two-sample t-test to examine the January effect in the U.S. insurance industry over the period 1980–1999. Results of the two-sample t-test indicate that the mean January returns are significantly higher than non-January returns, and January returns for smaller firms...

We analyze the impact of capacity constraints on IPO underpricing in the US property and liability (P&L) insurance industry. Our results show that insurer IPOs experience much less underpricing when insurers go public during capacity-constrained periods. Monte Carlo simulation shows that IPOs in...

Motivated by the increasing use of one-time charges in the US insurance industry, this paper examines the information content of explicit announcements of such charges in the US insurance industry over the period 1990 to 2001. We find that, as expected, market reaction tends to vary according to...

The present research compares two attitudinal models adapted from the Theory of Reasoned Action (TORA), which includes attitude and subjective norm components, and the Theory of Planned Behavior (TOPB), which includes TORA facets and also examines a decomposed perceived behavioral control...

Most ratemaking principles or models for insurance pricing in the literature do not seem to incorporate at least one of the following three elements: contingency of claims, investment income of insurers, and insolvency risk of insurers. As far as we know, Doherty-Garven (1986) appears to be the...

The issue of subsidence is important in many parts of the country. Whether caused by mines collapsing, oil pumping, or weather, property owners are faced with how to finance these losses, which are not typically covered in standard property policies. Several states have devised funding...

This paper examines the pricing of term life insurance based on the economic approach of profit maximization, and incorporating the financial approach of stochastic interest rates, investment returns, and the insolvency option, while also including actuarial modeling of mortality risk. Optimal...