Publications

/Publications
Publications 2018-05-31T14:54:10+00:00

Following are the publications (scholarly articles and working papers) in line with the Chair’s mission :

“If we can simulate it, we can insure it: An application to longevity risk management” Insurance: Mathematics and Economics 52: 35-45 (2013), Martin Boyer and Lars Stentoft (HEC Montréal and Copenhagen Business School).

“Yes we can (price derivatives on survivor indices)!”Risk Management and Insurance Review 20(1): 37-62 (2017), Martin Boyer and Lars Stentoft (Western University).

“Les modèles factoriels et la gestion du risque de longévité” Actualité Économique 91(4): 531-566 (2015), Martin Boyer, Christian Dorion (HEC Montréal) and Lars Stentoft (Western University).

“Measuring Longevity Risk for a Canadian Public Pension Fund” Risk Management and Insurance Review, 17(1): 37-59 (2014), Martin Boyer and Lars Stentoft (Western University, Copenhagen Business School) and Joanna Mezja (HEC Montréal).

“Pricing Survivor Forwards and Swaps in Incomplete Markets Using Simulation Techniques” In Longevity Risk Management for Institutional Investors (2012), Institutional Investors Journal (Fall 2012) pp. 69-87, Martin Boyer, Lars Stentoft (HEC Montréal, Copenhagen Business School) and Amélie Favaro (Mazars Frères).

“Directors’ and Officers’ Liability Insurance, Corporate Risk and Risk Taking:  New Panel Data Evidence on the Role of Directors’ and Officers’ Liability Insurance.” Journal of Risk and Insurance 82(4): 753–791 (2015), Martin Boyer and Sharon Tennyson (Cornell).

“The Structure of Reinsurance Contracts” Geneva Papers on Risk and Insurance: Issues and Practice 40: 474-492 (2015), Martin Boyer and Théodora Dupont-Courtade (Paris School of Economics).

“D&O Insurance and IPO Performance: what can we learn from insurers?” Journal of Financial Intermediation 23(4):504-540 (2014), Martin Boyer and Léa Stern (Syracuse University).

“Underwriting Apophenia and Cryptids: Are Cycles Statistical Figments of our Imagination?” Geneva Papers on Risk and Insurance: Issues and Practice 40: 232-255 (2014), Martin Boyer and Iqbal Owadally (City University London).

“Directors’ and Officers’ Insurance and Shareholders’ Protection” Journal of Financial Perspective, 2(1): 107-128 (2014), Martin Boyer.

“Insuring Catastrophes and the Role of Governments” Natural Hazards and Earth Science Systems 13: 2053-2063 (2013)Martin Boyer and Charles Nyce (Florida State University).

“An Industrial Organization Theory of Risk Sharing” North American Actuarial Journal 17(4): 283-296 (2013), Martin Boyer and Charles Nyce (Florida State University). Winner of the 2014 Brockett-Shapiro Best Paper Award

“Alleviating Managerial Disagreement through Financial Risk Management”. Quarterly Journal of Finance 3(2):9 (2013), Martin Boyer and Marcel Boyer (Université de Montréal) & René Garcia (EDHEC). Winner of the 2013 QJF Best Paper Award

“Are Underwriting Cycles Real and Forecastable?” Journal of Risk and Insurance 79: 995–1015 (2012), Martin Boyer, Éric Jacquier (HEC Montréal, MIT) and Simon van Norden (HEC Montréal). Winner of the 2012 Casualty Actuarial Society Best Paper Award on the Theory of Risk

“Is Corporate Governance Risk Valued? Evidence from Directors’ and Officers’ Insurance” Journal of Corporate Finance 18: 349-372 (2012), Martin Boyer and Léa Stern (Ohio State). Winner of the 2010 Bank of Canada Best Paper Award on the Canadian Financial System

Insurance Fraud in a Rothschild-Stiglitz World (Boyer, M. and R. Peter).

Portfolio Rebalancing Behavior under Operating Losses and Investment Limitations (Boyer, M., W.D. Reddic, E.P. Cowins).

The Market for Long-term Care Insurance in Canada. (Boyer, M., P. DeDonder, M-L Leroux, C-D Fluet, P-C. Michaud).

Earning Accruals in Complex Firms: The Case of Multi-Jurisdictional and Multi-Product Insurers (Boyer, M. and W. Reddic).

Long-Term Care Risk: Why Is the Market for Insurance so Small? (Boyer, M., P. DeDonder, M-L Leroux, C-D Fluet, P-C. Michaud).

Long-Term Care Risk Misperceptions (Boyer, M., P. DeDonder, M-L Leroux, C-D Fluet, P-C. Michaud).

The Association between Complexity and Managerial Discretion in the Property and Casualty Insurance Industry. (Boyer, M., E. Brewer, W. Reddic).

Do Insurers Deviate from the Industry Portfolio Asset Allocation Norm Under Investment Limitations? (Boyer, M. and W. Reddic).

Pensions, annuities, and long-term care insurance: On the impact of risk signaling (Boyer, M. and F. Glenzer).

Crowding out Long-Term Care Insurance through Social Security (Boyer, M. and F. Glenzer).

A Re-Examination of Adverse Selection Problems on the Annuity and Long-Term Care Insurance Markets (Boyer, M. and F. Glenzer).

EXAMPLE OF A SCIENTIFIC ARTICLE

Pensions, annuities, and long-term care insurance: On the impact of risk signalling (Boyer, M. and F. Glenzer)

We examine the interaction between the pension plan (a defined benefit (DB) plan or a defined contribution (DC) plan) and the purchase of long-term care insurance in a world where agents learn about their longevity over time. A defined benefit plan pools agents with different probabilities of living long, whereas in a defined contribution plan, agents choose their retirement income based on their risk type. We show that once agents learn about their risk type and decide on long-term care insurance coverage, they factor in the adequacy of their pension, which depends on the pension plan. In a DC plan, where agents purchase their annuity and long-term care insurance after learning about their risk type, the low risk agents signal their type on the annuity market which allows for a first-best allocation on the market for long-term care insurance. The pooling annuity in a DB plan, however, allows for no signalling and the long-term care insurance is much smaller. We are the first to show that besides an obvious effect of the pension plan in place on retirement income, there is an additional effect on the long-term care insurance market. We further show that the relative advantageousness of the DB plan depends, inter alia, on the level of information asymmetry in the market, on an agent’s degree of risk aversion, and on the probability of needing long-term care as well as its potential cost.