Chenghsien Tsai

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Empirical studies have shown that the risk-based capital (RBC) implemented in the insurance industries of the United States is ineffective in solvency prediction. This paper investigated how the correlation specification in obtaining Total RBC After Covariance affects the efficacy of RBC. We conducted simulations to compare the effectiveness and the(More)
Life settlements have attracted increasing attentions of investors and scholars. This paper extends the literature by conducting the first analysis of life settlements as a hedging vehicle for life insurers. We employ real-case data from Coventry to calibrate the parameters of the mortality rate models and consider the variations of the deviations from life(More)
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