Markets for Risk Management
27 May - 17 June, 2013
Universität zu Köln
Instructor: Professor James R. Garven
Frank S. Groner Chair of Finance and Professor of Finance & Insurance, Baylor University
Gen Re Professor, Universität zu Köln
This course examines covers various topics of current interest in the academic field of risk management and insurance.
Many of the links on this website are password-protected. Visitors to this website who are interested in obtaining guest access should send email to James_Garven@baylor.edu requesting a username and password.
Lecture 1: Insurance Economics (27/5/2013)
Lecture 2: Financial Pricing Models and Capital Allocation, part 1 (29/5/2013)
- Garven, James R., 2012, "Binomial Option Pricing Model".
- Garven, James R., 2013, "Derivation and Comparative Statics of the Black-Scholes Call and Put Option Pricing Equations."
- 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.
- 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.
Lecture 3: Financial Pricing Models and Capital Allocation, part 2 (6/6/2013)
- 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.
- 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.
Lecture 4: Corporate Risk Management (13/6/2013)
- 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.
- 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.
Lecture 5: Corporate Risk Management and Reinsurance (17/6/2013)
- Doherty, Neil A., Garven, James R. and Sinclair, Sven, 2013, "Noise Hedging and Executive Compensation", Baylor University Working Paper.
- “The Demand For Reinsurance: Theory and Empirical Tests,” (with Joan Lamm-Tennant), Insurance and Risk Management, Vol. 7, No. 3 (July 2003), pp. 217-237.
- 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.