Research

I joined the Baylor University faculty during Summer 2000 as Professor of Finance and Insurance, and was appointed to the Frank S. Groner Memorial Chair of Finance during Fall 2002. During the Spring 2006 semester, I held an Adjunct Professor appointment at the University of Pennsylvania’s Wharton School, and I subsequently held a Visiting Scholar appointment there from 2007-2013. Currently, in addition to my faculty position at Baylor, I am also a Research Fellow at Baylor’s Baugh Center for Entrepreneurship & Free Enterprise.

Prior to my current appointments at Baylor, I held faculty appointments in the business schools at Pennsylvania State University (1984-1989), University of Texas at Austin (1989-1996), and Louisiana State University (1998-2000). In total, I have published more than 20 papers in the most respected journals and books in my field and have collectively been cited by my academic peers more than 1,300 times (source: scholar.google.com). I am the recipient of several prestigious research awards, including the American Risk and Insurance Association’s Robert I. Mehr Award (2003) and Baylor University’s University Research Award (2008).

My research addresses how contracts, firms and markets can be designed to allow for the efficient allocation, management, and pricing of risk. Traditional approaches to risk management typically focus upon the analysis of a specific type of operating or financial risk without considering how such risks interact. My research reflects more of an integrated approach to the study of risk management. In recent years, integrated risk management has become increasingly popular in professional as well as academic circles. This change in approach and philosophy has been motivated significantly by the convergence of insurance and financial markets, along with the ever-increasing frequency and severity of natural and man-made catastrophes.

My research is both prescriptive and descriptive, in that I do both theoretical and empirical work. The research techniques that I employ are derived primarily from the fields of financial economics and econometrics. My research has focused primarily upon various topics which can be categorized as follows: 1) insurance pricing and related issues, 2) theory of the insurance firm, 3) reinsurance demand and market equilibrium, and 4) risk management. I have also published work in other fields such as financial econometrics and utility theory.

Category 1: Insurance Pricing and Related Issues

Published papers

Manuscripts

Research impact

  • “Price Regulation in Property-Liability Insurance: A Contingent Claims Approach” was reprinted in Foundations of Insurance Economics, Georges Dionne and Scott Harrington, editors (Norwell, MA: Kluwer Academic Publishers, 1991), pp. 572-591. This paper has been cited 242 times and continues to serve as an important source for research on the theory of insurance pricing. In his Nobel Prize lecture entitled “Applications of Option-Pricing Theory: Twenty-Five Years Later” (published in The American Economic Review, 88:3 (June), 323-349), Robert C. Merton cites this paper for its application of options theory to the pricing of insurance contracts.
  • “Property-Liability Insurance Pricing Models: An Empirical Evaluation” was reprinted in Volume 1 of the Casualty Actuarial Society’s 1990 Discussion Paper Program, and as Chapter 8 in Managing the Insolvency Risk of Insurance Companies, Richard Derrig and J. D. Cummins, editors (Norwell, MA: Kluwer Academic Publishers, 1991), pp. 209-247). This paper has been cited 58 times.
  • “An Exposition of the Implications of Limited Liability and Asymmetric Taxes for Property-Liability Insurance ” was awarded the 1992 Journal of Risk and Insurance Outstanding Article Award. This paper has been cited 25 times.
  • “Insurance Cycles: Interest Rates and the Capacity Constraint Model” has been cited 102 times.
  • “Rainfall or Rainmaking? Lawyers, Courts, and the Price of Mold Insurance in Texas” has been cited 2 times.

Category 2: The Theory of the Insurance Firm

Published papers

Research impact

  • “On the Application of Finance Theory to the Insurance Firm” was reprinted as Chapter 8 in Financial Models of Insurance Solvency, Richard Derrig and J. D. Cummins, editors (Norwell, MA: Kluwer Academic Publishers, 1989), pp. 243-265). This paper has been cited 46 times.
  • “Incentive Contracting and the Role of Participation Rights in Stock Insurance Companies” was awarded the 1995 Journal of Risk and Insurance Outstanding Article Award. This paper has been cited 34 times.
  • “The Role of Electronic Commerce in Financial Services Integration” has been cited 6 times.
  • “On the Implications of the Internet for Insurance Markets and Institutions” has been cited 28 times.

Category 3: Reinsurance Demand and Market Equilibrium

Published papers

Manuscripts

  • “On the Demand for Reinsurance: Evidence from the Global Property-Liability Insurance Industry” (with Muhammed Altuntas and Jannes Rauch), 2016.

Research impact

  • “Reinsurance, Taxes and Efficiency: A Contingent Claims Model of Insurance Market Equilibrium” has been cited 46 times.
  • “Economic and Financial Perspectives on the Demand for Reinsurance” has been cited 7 times.
  • “The Demand For Reinsurance: Theory and Empirical Tests” has been cited 97 times.
  • “Adverse Selection in Reinsurance Markets” has been cited 10 times.

Category 4: Corporate Risk Management

Published papers

Manuscripts

  • Insurance Company Capital Structure Swaps and Shareholder Wealth, with James I. Hilliard, 2016.

Research impact

  • “Risk Management: The Unifying Framework for Business Scholarship and Pedagogy” has been cited 10 times.
  • “Moral Hazard, Adverse Selection, and Tort Liability
  • “On Corporate Insurance” has been cited 32 times.
  • “The Underinvestment Problem, Bond Covenants and Insurance” received the 1993 Journal of Risk and Insurance Outstanding Article Award and the 2003 Robert I. Mehr Award recognizing the Journal of Risk and Insurance article published in 1993 with the greatest ten-year impact in the field of risk management and insurance. It has been cited 65 times.

Category 5: Other Work

Published papers

Manuscripts

Research impact

  • “A New Stochastically Flexible Event Methodology with Application to Proposition 103” has been cited 58 times.
  • “A Reexamination of the Relationship between Utility Functions, Risk Preference and Moment Orderings by Rational Risk-Averse Investors” has been cited 43 times.
  • “A Pedagogic Note on the Derivation of the Black-Scholes Option Pricing Formula” has been cited 11 times.
  • “Derivation and Comparative Statics of the Black-Scholes Call and Put Option Pricing Equation” has been cited 10 times.

Editorial Board Appointments

Recognition of research contributions also comes in the form of appointments to the editorial boards of major academic journals. I have been an associate editor of the Journal of Risk and Insurance since 1998 and of the Geneva Risk and Insurance Review since 2002. The Journal of Risk and Insurance is considered to be the best North American journal in my field, and Geneva Risk and Insurance Review is the best European journal.

(last updated: June 18, 2016)

Print Friendly