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
Email: James_Garven@baylor.edu
Course Description
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.
Reading List
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.
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