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Essays In Retirement Security, Hungyee Fong May 2011

Essays In Retirement Security, Hungyee Fong

Publicly Accessible Penn Dissertations

The first chapter “Investment Patterns in Singapore’s Central Provident Fund System” investigates how plan participants in a national defined contribution system invest their pension accumulations. I find that only a small fraction of participants elects to invest in outside investment products like professionally-managed mutual funds. Simulation results using cost data from over 200 funds demonstrate that the minimum hurdle rate of return a fund must generate is about five percent a year. Accordingly, more policy attention can be devoted to lowering fund commission charges and rationalizing the investment menu offered to participants.

In the second chapter “Longevity Risk Management ...


Managing Catastrophic Risk By Alternative Risk Transfer Instruments, Chieh Ou Yang Aug 2010

Managing Catastrophic Risk By Alternative Risk Transfer Instruments, Chieh Ou Yang

Publicly Accessible Penn Dissertations

Chapter 1 analyzes hybrid-trigger CAT bonds, a new CAT bond deal that can reduce basis risk and eliminate moral hazard simultaneously. It is the first research that provides analytical evidence on the condition under which the hybrid trigger has lower basis risk. Simulation results support my analyses. Major findings in this study provide insights to insurers who would proactively manage the basis risk of CAT bonds. Chapter 2 examines whether the parimutuel mechanism can hedge risk-averse people against catastrophic losses. Two optimal stake choice models are constructed. In the first model where the stakes of other players are exogenous, the ...


Executive Incentives And Corporate Decisions: The Risk Management Channel, Jeremy O. Skog Dec 2009

Executive Incentives And Corporate Decisions: The Risk Management Channel, Jeremy O. Skog

Publicly Accessible Penn Dissertations

This paper provides evidence that insurance executives respond to their compensation incentives by adjusting observable risk-management policy variables – the reinsurance purchase decision, type of business conducted, and firm leverage. Executive incentives are modeled by the executive sensitivity of wealth to stock price (Delta) and stock volatility (Vega). Firms respond to increased executive incentives to bear risk by purchasing less reinsurance, but also conducting less business in long-tailed lines – a change which rewards the executive through increased market volatility. The cost of altering executive incentives to effect firm policy is much less than a similar change in firm structural variables.