Professor Emeritus of Insurance and Risk Management
Interest-sensitive stochastic valuation, investment strategies, asset/liability management for insurers, fixed income securities, annuities and life insurance policies
Analysis of basis risk in asset/liability management. Valuation of interest-sensitive cash flows. Annuities and life insurance valuation. Stable value funds performance measurement.
(with K. Dutta)
“Extracting Probabilistic Information from the Price of Interest Rate Options:
Tests of Distributional Assumptions.” Journal of Business (May 2005).
(with A. Santomero)
Financial Markets, Instruments and Institutions. McGraw-Hill, 2001.
(with C. Merrill)
Valuation of Interest-Sensitive Financial Instruments. Society of Actuaries, 2000.
(with A. Santomero)
"Financial Risk Management by Insurers: An Analysis of the Process." Journal of Risk and Insurance (June 1997).
(with C. Merrill)
"Economic Valuation Models for Insurers." North American Actuarial Journal (July 1998).
(with F. Fabozzi)
Investment Management for Insurers. Fabozzi Associates, 1999.
PhD, University of Florida, 1978; MBA, University of Florida, 1975; BA, Brigham Young University and George Mason University, 1973
Developing financial strategies for banks and insurers, Financial Strategies Division, Goldman, Sachs & Co. and Frank Russell Co.; Asset/liability management, various insurers and pension funds; Capital market development, World Bank; Bank and insurance insolvency analysis, various clients; Valuation software developer; Investment performance analysis; Life insurance and annuities performance
William G Whitney Award for Distinguished Teaching in the Associated Faculty; best feature article awards from American Risk and Insurance Association, North American Actuarial Journal, Association for Investment Management and Research; Huebner Foundation Postdoctoral Fellow, Fulbright Fellow
Wharton: 1985-present (Postdoctoral Fellow in Risk and Insurance Economics, 1884-85). Previous appointment: University of California, Berkeley (Postdoctoral Studies in Financial Theory, 1980-81)
Director of Insurance Economics Practice, Charles River Associates, 2006-present; Senior Financial Economist, The World Bank, 1995; Strategist, Frank Russell, Co., 1993-94; Senior Advisor, Goldman, Sachs Pension and Insurance Department, 1986-92; Expert witness on insurance and finance matters, 1990-present
