We study the implications of longevity shocks for corporate bond markets, corporate debt financing and investment through the lens of life insurers. Longevity shocks shift life insurers' demand for bonds of specific maturities. When longevity increases, life insurance companies increase their...

Weather risk affects agricultural production. Index insurance has been proposed to hedge against severe weather risk, but large basis risk and low demand accompany current piecewise-linear index insurance contracts. We propose embedding a neural network-based optimization scheme into an expected...

We study how the return of internal capital markets (ICMs) and the risk of ICMs differ across three alternative organizational forms: publicly-held stock insurers, privately-held stock insurers and mutual insurers. Because of the different combination of owner, manager and customer functions,...

This paper explores the impact of capital adequacy requirements on the investment behavior of insurance companies from a new perspective. We specifically investigate one important feature of Risk-Based Capital (RBC) system, the square root rule in aggregating risk categories. We show that the...

Time-to-build, time-to-produce, and inventory have important implications for asset prices and quantity dynamics in a general equilibrium model with recursive preferences. Time-to-build captures the delay in transforming new investments into productive capital, and time-to-produce captures the...

Uncertainty affects business cycles and asset prices. We estimate firm-level productivity and decompose total uncertainty risk measured as cross-sectional productivity dispersion into macro uncertainty (an aggregate component) and micro uncertainty (an idiosyncratic component). We find that...