Hua Chen

University of Hawaii at Manoa

2404 Maile Way, E-602e

Honolulu, HI 96822

United States

SCHOLARLY PAPERS

21

DOWNLOADS
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SSRN RANKINGS

Top 25,866

in Total Papers Downloads

2,698

SSRN CITATIONS
Rank 11,119

SSRN RANKINGS

Top 11,119

in Total Papers Citations

50

CROSSREF CITATIONS

59

Scholarly Papers (21)

1.

Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

North American Actuarial Journal, Forthcoming
Number of pages: 49 Posted: 17 Jan 2013 Last Revised: 01 Apr 2014
University of Kent, University of Hawaii at Manoa, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 427 (93,953)
Citation 13

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Reverse Mortgage, Home Reversion, Vector Autoregressive Models, Stochastic Discount Factors, Risk-Based Capital

2.

Systemic Risk and the Inter-Connectedness between Banks and Insurers: An Econometric Analysis

Journal of Risk and Insurance, Forthcoming, Fox School of Business Research Paper No. 14-023
Number of pages: 46 Posted: 03 Feb 2012 Last Revised: 05 Sep 2014
University of Hawaii at Manoa, Temple University - Risk Management & Insurance & Actuarial Science, Temple University - Department of Risk, Insurance, and Healthcare and Temple University
Downloads 400 (101,291)
Citation 24

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Insurance, banks, systemic risk, probability of default, Granger causality, inter-connectedness

3.

Does ERM Improve Firm Value? Evidence from Listed Chinese Nonfinancial SOEs

Fox School of Business Research Paper No. 15-068
Number of pages: 47 Posted: 17 Dec 2014 Last Revised: 16 Dec 2016
Jing Ai, Hua Chen and Zhao Yang
University of Hawaii at Manoa - Shidler College of Business, University of Hawaii at Manoa and University of International Business and Economics (UIBE)
Downloads 240 (174,429)
Citation 4

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enterprise risk management (ERM), firm value, nonfinancial firms, state owned enterprises, propensity score matching

4.

The Reinsurance Network Among U.S. Property-Casualty Insurers: Microstructure, Insolvency Risk, and Contagion

Journal of Risk and Insurance, 87(2): 253-284, June 2020
Number of pages: 66 Posted: 08 Feb 2015 Last Revised: 11 May 2020
University of Hawaii at Manoa, Temple University - Risk Management & Insurance & Actuarial Science, Lingnan University and Temple University
Downloads 198 (207,985)

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Reinsurance, network analysis, insolvency, contagion, systemic risk, property-casualty insurance

5.

To Borrow or Insure? Long Term Care Costs and the Impact of Housing

Insurance: Mathematics and Economics, 85:15-34, March 2019
Number of pages: 39 Posted: 22 Dec 2015 Last Revised: 11 May 2020
SCOR Global Life, University of Hawaii at Manoa and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 177 (229,474)
Citation 2

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life-cycle model, longevity risk, long-term care insurance, residential house, reverse mortgage

6.

Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G-SIIs v.s. Non G-SIIs

the Journal of Risk and Insurance, 87(2): 285-318, June 2020
Number of pages: 55 Posted: 13 Sep 2017 Last Revised: 11 May 2020
Hua Chen and Tao Sun
University of Hawaii at Manoa and Lingnan University
Downloads 137 (282,874)

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systemic risk, tail risk contagion, network analysis, single-index models with variable selection, the global insurance industry

7.

Insurance Contracting with the Coexistence of Adverse Selection and Moral Hazard

Number of pages: 40 Posted: 27 Mar 2011 Last Revised: 01 Apr 2014
Zhiqiang Yan and Hua Chen
Western Illinois University - Department of Marketing and Finance and University of Hawaii at Manoa
Downloads 132 (290,892)

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Insurance Contract, Adverse Selection, Moral Hazard

8.

Multi-Population Mortality Models: A Factor Copula Approach

Insurance: Mathematics and Economics, Forthcoming, Fox School of Business Research Paper No. 15-052
Number of pages: 42 Posted: 31 Dec 2014 Last Revised: 16 Dec 2016
Hua Chen, Richard D. MacMinn and Tao Sun
University of Hawaii at Manoa, National Chengchi University and Independent
Downloads 125 (303,140)
Citation 6

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Multi-population mortality model, factor copulas, maximum entropy principle, mortality/longevity risk pricing and hedging

9.

A Family of Mortality Jump Models Applied to U.S. Data

Asia-Pacific Journal of Risk and Insurance, Forthcoming
Number of pages: 24 Posted: 18 Aug 2011 Last Revised: 01 Apr 2014
Hua Chen
University of Hawaii at Manoa
Downloads 116 (319,743)
Citation 3

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Mortality Models, Asymmetric Jumps

10.

Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing

Insurance: Mathematics and Economics, Vol. 46, No. 1, 2010
Number of pages: 41 Posted: 24 Apr 2014
Hua Chen and J David Cummins
University of Hawaii at Manoa and Temple University - Risk Management & Insurance & Actuarial Science
Downloads 111 (329,895)
Citation 3

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securitization; longevity risk; extreme value theory; bond spreads

11.

Is the Home Equity Conversion Mortgage in the United States Sustainable? Evidence from Pricing Mortgage Insurance Premiums and Non-Recourse Provisions Using the Conditional Esscher Transform

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010
Number of pages: 49 Posted: 24 Apr 2014
Hua Chen, Samuel H. Cox and Shaun Wang
University of Hawaii at Manoa, University of Manitoba - Asper School of Business and Georgia State University's Robinson College of Business
Downloads 107 (338,280)
Citation 6

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Home Equity Conversion Mortgage (HECM); Non-Recourse Provision; Mortality Modeling; Conditional Esscher Transform

12.

Information Risk and the Cost of Equity Capital Revisited: Evidence from the U.S. Property-Casualty Insurance Industry

Fox School of Business Research Paper No. 17-034
Number of pages: 56 Posted: 02 Oct 2017 Last Revised: 02 May 2018
Hua Chen, Yingrui Lu and Mary A. Weiss
University of Hawaii at Manoa, Temple University - Department of Risk, Insurance and Healthcare Management and Temple University
Downloads 98 (358,339)
Citation 2

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Cost of Equity Capital, Information Risk, Accruals Quality

The Pension Option in Labor Insurance and Its Effect on Household Saving and Consumption: Evidence from Taiwan

Journal of Risk and Insurance, Forthcoming
Number of pages: 43 Posted: 01 Jun 2012 Last Revised: 24 Apr 2014
Hua Chen, Wenyen Hsu and Mary A. Weiss
University of Hawaii at Manoa, Feng Chia University - Department of Risk Management and Insurance and Temple University
Downloads 94 (370,792)

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pension benefits, precautionary savings, difference-in-differences estimator

The Pension Option in Labor Insurance and its Effect on Household Saving and Consumption: Evidence from Taiwan

Journal of Risk and Insurance, Vol. 82, Issue 4, pp. 947-975, 2015
Number of pages: 29 Posted: 19 Jan 2016
Hua Chen, Wenyen Hsu and Mary A. Weiss
University of Hawaii at Manoa, Feng Chia University - Department of Risk Management and Insurance and Temple University
Downloads 0
Citation 1

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Living with Ambiguity: Pricing Mortality-Linked Securities with Smooth Ambiguity Preferences

Journal of Risk and Insurance, Forthcoming
Number of pages: 40 Posted: 18 Feb 2012 Last Revised: 01 Apr 2014
University of Hawaii at Manoa, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, Independent and Shanghai University of Finance and Economics
Downloads 87 (389,549)
Citation 1

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ambiguity, ambiguity aversion, mortality-linked securities

Living with Ambiguity: Pricing Mortality‐Linked Securities with Smooth Ambiguity Preferences

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 705-732, 2013
Number of pages: 28 Posted: 30 Aug 2013
University of Hawaii at Manoa, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, Independent and Shanghai University of Finance and Economics
Downloads 1 (893,266)

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15.

Optimal Demand for Insurance with Consumption Commitments

Asia-Pacific Journal of Risk and Insurance, Forthcoming
Number of pages: 30 Posted: 18 Feb 2012 Last Revised: 01 Apr 2014
Hua Chen and Reza S. Mahani
University of Hawaii at Manoa and Georgia Tech Finance/Scheller
Downloads 70 (436,579)

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Insurance Demand, Consumption Commitment, Risk Preferences

Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model with the GAS Structure

Journal of Risk and Insurance, 84: 393-415, 2017
Number of pages: 24 Posted: 06 Feb 2017 Last Revised: 07 Jun 2017
Hua Chen, Richard D. MacMinn and Tao Sun
University of Hawaii at Manoa, National Chengchi University and Lingnan University
Downloads 58 (487,093)
Citation 3

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Multi-population mortality model, factor copulas, generalized autoregressive score models, the Kortis bond

Mortality Dependence and Longevity Bond Pricing: A Dynamic Factor Copula Mortality Model with the Gas Structure

Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 393-415, 2017
Number of pages: 23 Posted: 14 Apr 2017
Hua Chen, Richard D. MacMinn and Tao Sun
University of Hawaii at Manoa, National Chengchi University and Lingnan University
Downloads 2 (877,872)

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17.

Medicaid Expansion and Medical Liability Costs

Journal of Risk and Insurance, forthcoming
Number of pages: 48 Posted: 04 Jun 2020 Last Revised: 31 Mar 2022
Temple University - Risk Management & Insurance & Actuarial Science, University of Hawaii at Manoa and Risk, Actuarial Science & Legal Studies
Downloads 51 (507,957)

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Medicaid Expansion, Affordable Care Act, Medical Liability, Tort Reform

18.

An Option-Based Operational Risk Management Model for Pandemics

North American Actuarial Journal, Vol 13, Issue (1): 54-76
Number of pages: 40 Posted: 24 Apr 2014
Hua Chen and Samuel H. Cox
University of Hawaii at Manoa and University of Manitoba - Asper School of Business
Downloads 29 (620,518)

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Real Option Valuation, Epidemic Risk, Operational Risk Management, Regime-Switching Model, Dynamic Programming

19.

A Unified Framework for Insurance Demand and Mortality Immunization

Number of pages: 49 Posted: 08 Jun 2020 Last Revised: 31 Mar 2022
Hua Chen, Jin Gao, Jin Gao and Wei Zhu
University of Hawaii at Manoa, Hong Kong Lingnan UniversityHong Kong Lingnan University and University of International Business and Economics (UIBE)
Downloads 19 (690,820)

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Life-Cycle Model, Mortality Immunization, Tâtonnement Pricing

20.

Hierarchical Mortality Forecasting with EVT Tails: An Application to Solvency Capital Requirement

Number of pages: 29 Posted: 01 Nov 2021 Last Revised: 01 Apr 2022
Han Li and Hua Chen
Macquarie University and University of Hawaii at Manoa
Downloads 16 (714,012)

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Seasonal ARIMA model; Extreme value theory; Hierarchical forecast reconciliation; Solvency capital requirement; COVID-19 pandemic

21.

Modeling Mortality with Jumps: Applications to Mortality Securitization

Journal of Risk and Insurance, Vol. 76, Issue 3, pp. 727-751, September 2009
Number of pages: 25 Posted: 13 Oct 2009
Hua Chen and Samuel H. Cox
University of Hawaii at Manoa and University of Manitoba - Asper School of Business
Downloads 3 (830,233)
Citation 5

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