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CEAR/Huebner Summer Risk Institute

The CEAR/Huebner Summer Risk Institute exposes Ph.D. students and interested faculty in risk and uncertainty to relevant cutting-edge models, tools, and theory. Our audience is primarily comprised of faculty and Ph.D. students interested in the economics of risk who are located at colleges and universities that do not have access to specialized seminars and courses in these areas. Lectures are conducted by leading scholars in the fields of risk and uncertainty located at Georgia State University and elsewhere.

Sponsors and Funding

The institute is sponsored by Georgia State University’s Center for the Economic Analysis of Risk (CEAR) and the S.S. Huebner Foundation for Insurance Education., located in the J. Mack Robinson College of Business at Georgia State University.

Location

The workshop will be held in the CEAR Seminar Room, which is located on the 11th floor of the J. Mack Robinson College of Business at Georgia State University. Please use the street level entrance on Broad Street.


The fourth annual CEAR/Huebner Summer Risk Institute will be held July 25-26, 2017 in Atlanta. The institute is sponsored by Georgia State University’s Center for the Economic Analysis of Risk (CEAR) and the S.S. Huebner Foundation for Insurance Education.

When

July 25-26, 2017

Where

Georgia State University
CEAR Seminar Room
35 Broad St, 11th floor (#1121)
Atlanta, GA 30303

How to Attend

Interested scholars are welcome to register without cost, space permitting.
Register to attend 

Limited financial support may be available for interested doctoral students to cover some costs of attendance (e.g. hotel and meals while attending, no airfare or travel assistance is available).

Contact Us

Program Questions
Stephen Shore
sshore@gsu.edu
Participation and Logistics Questions
cear@gsu.edu

Schedule

Tuesday, July 25
Time Activity
10:00 a.m. - 12:00 p.m. “Estimating Risk Preferences Using Market Data: Challenges and New Methods”
Levon Barseghyan (Cornell University)

12:00 - 1:00 p.m.

Lunch (provided)

1:00 - 3:00 p.m. “Polynomial Jump-Diffusion Models”
Damir Filipović (Swiss Finance Institute & Ecole Polytechnique Fédérale de Lausanne)

3:00 - 3:15 p.m.

Coffee Break (provided)

3:15 - 4:30 p.m.

TBD

4:30 - 5:45 p.m.

TBD

6:00 - TBD

Conference dinner for speakers and invited guests

Wednesday, July 26
Time Activity

8:30 - 9:45 a.m.

[optional] TBD

9:45 - 10:00 a.m. [optional] Coffee and light breakfast (provided)
10:00 a.m. - 12:00 p.m. “Estimating Risk Preferences Using Market Data: Challenges and New Methods”
Levon Barseghyan (Cornell University)

12:00 - 1:00 p.m.

Lunch (provided)

1:00 - 3:00 p.m. “Polynomial Jump-Diffusion Models”
Damir Filipović (Swiss Finance Institute & Ecole Polytechnique Fédérale de Lausanne)

3:00 - 3:15 p.m.

Coffee Break (provided)

3:15 - 4:30 p.m. “Aversion to risk of regret and preference for positively skewed risks”
Christian Gollier (Toulouse School of Economics)

4:30 p.m.

Conference adjourns

Lecturers

Levon Barseghyan (Cornell University, Department of Economics)

Topic
Estimating Risk Preferences Using Market Data: Challenges and New Methods
Abstract
We start by briefly reviewing a number of models of risk preferences including both expected utility (EU) theory and prominent non-EU models that have been estimated using field data. We then study how and when such models can be (separately) identified. In particular, we examine the role of various assumptions about underlying fundamentals in driving identification and assess how these assumptions affect inference. We then detail easy-to-implement partial identification methods that build on revealed preference argument to conduct inference at the individual level. In particular, these methods allow us to (i) classify households into various decision types (e.g. EU versus non-EU); (ii) measure how well a given model of risk preferences fits observed patterns of choices and recover its parameterizations that best fit the data; and (iii) investigate potential sources for sub-optimal behavior (such as choices of dominating options). We conclude by discussing state-of-the-art identification and inference techniques for a general model that features (i) different preference types, (ii) unobserved heterogeneity in risk attitudes within types, and (iii) unobserved heterogeneity in attention levels, whereby each market participant may pay attention only to a subset of options available to her.

Damir Filipović (Swiss Finance Institute & Ecole Polytechnique Fédérale de Lausanne)

Topic
Polynomial Models in Finance
Abstract
Financial asset pricing and portfolio management rely on dynamic stochastic models. In this course, I introduce a large class of financial models based on polynomial jump-diffusions. These are defined as jump-diffusions whose generators map polynomials to polynomials of the same or lower degree. Polynomial jump- diffusions admit closed form conditional moments, which renders them computation- ally tractable.

I show that the polynomial property of a jump-diffusion is preserved under exponentiation and subordination. These transformations allow us to easily construct polynomial jump-diffusions from simple building blocks. They also allow us to efficiently specify non-linearities in financial models, which renders them flexible in capturing many of the empirical features of financial time series. I revisit affine jump-diffusions and qualify them as special cases of polynomial jump-diffusions. The affine property is not invariant under exponentiation or subordination, which may explain why these transformations are not widely applied in affine financial models.
I present a generic method for derivatives pricing in polynomial jump-diffusion models. This method builds on the expansion of the likelihood ratio function with respect to an orthonormal basis of polynomials in some conveniently weighted L2 space. I contrast this to the Fourier transform analysis in affine models. We study applications to interest rate, credit risk, and stochastic volatility models.

This course builds on the papers (Ackerer and Filipović 2015), (Ackerer, Filipović, and Pulido 2015), (Filipović, Gourier, and Mancini 2016), (Filipović and Larsson 2016), (Filipović and Larsson 2017), (Filipović, Larsson, and Trolle 2014).


Christian Gollier (Toulouse School of Economics)

Topic
Aversion to risk of regret and preference for positively skewed risks

Internet Access

Georgia State guests log in as normal. Non Georgia State-affiliated should log in to the network with the following details:

Network
GSU –or– CatChat2x
Username
Huebner17
Password (case-sensitive)
CEARsri17

Directions

MARTA Subway

35 Broad Street is located one block northwest of the Five Points MARTA rail station in downtown Atlanta; the station is located at the intersection of all metro lines. One-way rail rides cost $2.50, and multiple-day passes are also available for purchase. Tickets can be easily purchased from vending machines at all MARTA stations. This is by far the easiest method, and is on a direct line to the Hartsfield–Jackson Atlanta International Airport.

Driving

From Interstate 75/85 (the connector) going NORTH:
Take exit 248B for Edgewood Ave toward Auburn Ave / John Wesley Dobbs Ave. Turn left at Edgewood Ave SE and proceed 0.6 miles. Turn left onto Park Pl. SE / Pryor St. SE. At the FIRST cross street, turn right onto Decatur St. SE. Continue onto Marietta St. NW. The next intersection is Broad St., which is where our facility is located. There is no street parking available nearby; however, there are pay lots and garages nearby. Costs range from $5 to $10 depending on the lot/garage used.

From Interstate 75/85 (the connector) going SOUTH:
Take exit 248D for John Wesley Dobbs Ave toward Jesse Hill Dr. Use the right lane to keep right at the fork and stay on Exit 248D. Turn right onto John Wesley Dobbs Ave NE, and proceed for 0.2 miles. Turn left onto Courtland St. NE, and continue for 0.2 miles. Turn right onto Edgewood Ave SE and proceed 0.3 miles. Turn left onto Park Pl. SE / Pryor St. SE. At the FIRST cross street, turn right onto Decatur St. SE. Continue onto Marietta St. NW. The next intersection is Broad St., which is where our facility is located. There is no street parking available nearby; however, there are pay lots and garages nearby. Costs range from $5 to $10 depending on the lot/garage used.

Parking (one option)

The covered Lanier Public Parking lot is located at 150 Carnegie Way, Atlanta, GA 30303. The lot is about five blocks away from the workshop site.
View the lot's location on Google Maps 

Lodging

We recommend lodging at The Ellis Hotel, which is within walking distance from the workshop.
View the Ellis Hotel on Google Maps 

View the Ellis Hotel's website 


The third annual CEAR/Huebner Summer Risk Institute will be held July 20th to July 22nd, 2016 in Atlanta. The institute is sponsored by Georgia State University’s Center for the Economic Analysis of Risk (CEAR) and the S.S. Huebner Foundation for Insurance Education.

Detailed information about the Institute can be found below. Interested scholars are welcome to register without cost, space permitting. Limited financial support may be available for doctoral students to cover some costs of attendance (e.g. hotel and meals while attending, no airfare or travel assistance is available.)

Register Interest to Attend 

When:

July 20-22, 2016

Where:

Georgia State University
CEAR Seminar Room
35 Broad St, 11th floor (#1121)
Atlanta, GA 30303

Schedule:

Download preliminary program
Wednesday, July 20th
noon-1:00pm Catered Lunch
1:00-3:00pm Lecture 1 by Luigi Pistaferri
3:00-3:30pm Coffee Break
3:30-4:45pm Presentation by Anand Sathiyamurthy
4:45-6:00pm Ph.D. Student Roundtable
6:30pm Unhosted Dinner

Thursday, July 21st
9:30-10:00am Coffee/Breakfast
10:00am-noon Lecture 1 by Ken Froot
Noon-1:00pm Catered Lunch
1:00-3:00pm Lecture 2 by Luigi Pistaferri
3:00-3:30pm Coffee Break
3:30-5:30pm Lecture by Anna-Maria Lusardi
6:00pm Workshop Dinner at the Ellis Hotel

Friday, July 22nd
9:30-10:00am Coffee/Breakfast
10:00am-noon Lecture 2 by Ken Froot
Noon-1:15pm Presentation by Mogens Steffensen
1:15-2:15pm Catered Lunch
2:15pm Closing Remarks / Institute Adjourns


Lecturers:

Luigi Pistaferri (Stanford University, Department of Economics)
July 20-21, 2016; 1:00-3:00pm
Topic: Background human capital risk and consumption inequality
ABSTRACT
These lectures will consider the relationship between wage, income, consumption and wealth inequality in the presence of uninsurable labor market risks. The relationship between these various concepts depends partly on how much insurance (private and public) is available to households. The extent of background (i.e., uninsurable and unavoidable) human capital risk is one the main determinants of self-insurance choices. The lectures will discuss recent (empirical and theoretical) literature linking human capital risk, saving and labor supply choices, and inequality measurement.


Ken Froot (Harvard Business School)
July 21-22, 2016; 10:00am-noon
Lecture 1: A cat reinsurer's requiem? Four conjectures on the evolving equilibrium of catastrophe risk sharing
We will explore the issues that confront the major forms of cat-risk intermediation: reinsurance, securities and the players that underwrite and invest in each. We argue that, while the cat risk marketplace has changed considerably over the last two decades, much further change is in store.

Lecture 2: Paying for, Preventing and Responding to Pandemics
This lecture will explore the issues associated with mitigating the risks of pandemics that could affect humans or other species, including food stocks. The role of the private versus public sector in financing as well as coordinating will be discussed.


Anna-Maria Lusardi (George Washington University)
July 21, 2016; 3:30pm-5:30pm
Topic: Measuring financial and risk literacy
ABSTRACT
The lecture will explain and discuss the methodology used in measuring financial and, especially, risk literacy, and how these measures are used to conduct both theoretical and empirical work. Both financial and risk literacy aim to assess knowledge of the fundamental concepts at the basis of financial decision-making. In addition, the lecture will cover the empirical evidence on financial and risk literacy both in the United States and around the world using data from the US National Financial Capability Study and the S&P Global Financial Literacy Survey.


Mogens Steffensen (University of Copenhagen)
July 22, 2016; 12:00pm-1:15pm
Topic: On the Separation of Preferences for Risk and Substitution
ABSTRACT
We formalize a global objective under separation of preferences for risk and intertemporal substitution. We discuss its connection with stochastic differential utility (time-continuous recursive utility) which is based on local separation. For a Merton market the optimal decisions with respect to consumption and investment coincide. We consider two more general markets and characterize the solutions for these markets. In one case we study an incomplete market by adding an extra state process. In another case, we study the effects from an uncertain lifetime and access to life insurance. The latter gives new insight in how, possibly, an endogenous demand for hump-shaped consumption can arise even with 'fair' pricing of insurance. Finally, we discuss briefly how frictions in the insurance market may, or may not, alter the conclusions.


Anand Sathiyamurthy (SunTrust Bank)
July 20, 2016; 3:30pm-4:45pm
Topic: Credit risk analytics in the age of big data
ABSTRACT
Availability of new and near real-time data from unconventional sources is changing credit risk analytics. This talk is a perspective from trenches on emerging trends and future of credit risk analytics and modeling – for example, influence of behavioral economics and social physics. Credit adjudication practices around the globe will be examined. This talk will also explore how credit risk model infrastructure is changing and how it will impact the industry’s ability to serve borrowers.


The second annual institute will be held July 27th to July 29th, 2015 in Atlanta. The institute is sponsored by Georgia State University’s Center for the Economic Analysis of Risk (CEAR) and the S.S. Huebner Foundation for Insurance Education.

Download Program

When:

July 27 to 29, 2015

Where:

Georgia State University
CEAR Seminar Room
35 Broad St, 11th floor (#1121)
Atlanta, GA 30303

Schedule:

Monday, July 27th
1:00-3:00pm  Lecture 1 by John Quiggin
3:00-3:30pm  Coffee Break
3:30-4:45pm  Seminar by Georges Dionne
4:45-6:45pm  Seminar by Daniel Bauer

Tuesday, July 28th
9:30-10:00am  Coffee/Breakfast
10:00-12:00pm  Lecture 1 by Liran Einav
12:00-1:00pm  Catered Lunch
1:00-3:00pm  Lecture 2 by John Quiggin
3:00-3:30pm  Coffee Break
3:30-4:45pm  Presentation by Yiling Deng
4:45-6:00pm  Ph.D. Student Roundtable
6:30pm  Workshop Dinner at the Ellis Hotel

Wednesday, July 29th
9:30-10:00am  Coffee/Breakfast
10:00-12:00pm  Lecture 2 by Liran Einav
12:00pm  Institute Adjourns

Information for Prospective Attendees:

Call for Participants is now closed.


Lecturers:

John Quiggin (University of Queensland)
Topic: Choice under uncertainty with differential awareness
July 27-28

ABSTRACT
A wide variety of models of choice under uncertainty have been developed since the pioneering work of von Neumann and Morgenstern (1944). With very exceptions, these models involve a choice situation where all possible actions, states of nature and consequences are known (in fact, are common knowledge). In the last decade, however, this assumption has been challenged by models in which decision-makers have incomplete awareness of states, acts and consequences, and must reason in the presence of “unknown unknowns”. These talks will describe the development of the literature on bounded and differential awareness, and consider applications such as the Precautionary Principle in environmental economics and the use of liquidated damages in contract.


Liran Einav (Stanford University)
Topic: Measuring the importance of adverse selection in insurance markets
July 28-29; 10:00am-noon

ABSTRACT
Concerns about adverse selection are widely appreciated in the operation, regulation, and research of insurance markets. Yet, until recently, it was not so obvious how to move from the question of “Is adverse selection a problem [in a given market]?” to “Is adverse selection an *important* problem [in a given market]?” In these two lectures, I will cover recent developments on this topic, with focus on empirical applications in the context of annuities, auto insurance, and health insurance markets.

When:

July 28-31, 2014

Where:

Georgia State University
CEAR Seminar Room
35 Broad St, 11th floor
Atlanta, GA 30303

Schedule:

Monday, July 28th
9:30-10:00 coffee/breakfast
10:00-noon Lecture 1: Affordable Care Act and Labor Market by Hanming Fang
Noon-1:00 lunch
1:00-2:30 Seminar: The Affliction of Choice in Health Insurance: Evidence from Employee Open Enrollment by Justin Sydnor

Tuesday, July 29th
9:30-10:00 coffee/breakfast
10:00-noon Lecture 2: Affordable Care Act and Labor Market by Hanming Fang
6:00 Conference Dinner (Ellis Hotel)

Wednesday, July 30th
9:30-10:00 coffee/breakfast
10:00-noon Lecture 1 by Christian Gollier
Noon-1:00 lunch
1:00-2:30 Seminar: Behavioral Tools for Evaluating Insurance Products by Glenn Harrison

Thursday, July 31st
9:30-10:00 coffee/breakfast
10:00-noon Lecture 2 by Christian Gollier
Noon Institute adjourns

Lecturers:

Hanming Fang
Professor of Economics, University of Pennsylvania
Topic: Health insurance reform and the labor market
July 28-29, 10:00 a.m. - 12:00 p.m.

Hanming Fang's Presentation

ABSTRACT
Affordable Care Act (ACA) represents the most significant change (since the Medicare introduction) to the US health insurance marke t , where most of the working age population rely on their employers to obtain health insurance , and employer-provided health insurance premium accounts for more than 10 percent of workers' compensation. Previous research has documented many connections between the labor market and health insurance market, for example, larger firms offer higher wages and are also more likely to offer health insurance; workers in firms that offer health insurance have lower turnover rates and have better self-reported health. How would ACA, a large-scale reform on the health insurance market, affect the labor market equilibrium? We present and empirically implement an equilibrium labor market search model , extended from Burdett and Mortensen (1998), where risk averse workers facing medical expenditure shocks are matched with rms making health insurance coverage decisions. Our model delivers a rich set of predictions that can account for a wide variety of aforementioned phenomenon observed in the data including the correlations among fi rm sizes, wages, health insurance o ff er ing rates, turnover rates and workers' health compositions. We estimate our model by Generalized Method of Moments using a combination of micro data sources including Survey of Income and Program Participation (SIPP), Medical Expenditure Panel Survey (MEPS) and Robert Wood Johnson Foundation Employer Health Insurance Survey. We use our estimated model to evaluate the equilibrium impact of the AC A, including its impact on uninsured rate, firm size distribution, labor productivity, health and health expenditures . We also examine a variety of alternative policies to understand the roles of di ff erent components of the ACA in contributing to these equilibrium changes. We also discuss some ongoing work on the effect of ACA on firms' decisions regarding their technological choice s and whether to to include spousal benefits in their employe e insurance plans.


Christian Gollier
Professor, University of Toulouse
Topic: Valuing climate policies in an uncertain world
July 30-31, 10:00 a.m. - 12:00 p.m.

Christian Gollier's Presentation

ABSTRACT
Although it never makes the front pages, it a nevertheless a major concern, both in government and in business: what price do we assign to the future? Or, more precisely, how do we discount, that is, how do we determine what value to attribute now to the socio-economic impacts that an investment made today will bring in the long term? In this talk, I will focus on the application of climate change, and I will raise a fundamental question: are we too selfish, selecting large discount rates and therefore investing insufficiently for the well-being of future generations, or are we, on the contrary, too virtuous? Using a time-consistent expected utility framework, I will show how the uncertainty affecting economic growth should affect the socioeconomic value of long-term investment and green policies. I will show that the same arguments proposed in the literature to justify a decreasing term structure for the safe discount rate also apply to justify an increasing term structure for the systematic risk premium. I will apply these general results to the case of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la Weitzman (2007). Finally, I will discuss the evaluation of climate change policy in the light of the deep uncertainties affecting both its impacts on climate damages and the economic environment in which these damages will materialize.


Glenn Harrison
Professor, J. Mack Robinson College of Business, Georgia State University
Topic: Behavioral Tools for Evaluating Insurance Products
July 30, 1:00 - 2:30 p.m.

Glenn Harrison's Presentation


Justin Sydnor
Assistant Professor, Wisconsin School of Business
Topic: The Affliction of Choice in Health Insurance: Evidence from Employee Open Enrollment
July 28, 1:00 - 2:30 p.m.

Justin Sydnor's Presentation

ABSTRACT
There is a growing movement to offer individuals more choice in their health-insurance coverage. We see choices proliferating both in the public exchanges through the ACA and also in many employer-sponsored plans. At the same time there is growing concern, driven in large part by evidence from Medicare enrollment decisions of the elderly, that peoples' understanding of and engagement with health-insurance options may lead to poor choices. In this study we examine data from an employer who enacted a new health-insurance enrollment platform that allowed employees to select different cost sharing provisions across deductibles, out-of-pocket maximums, co-pays and co-insurance, resulting in a matrix of over 40 plan options. In a data set with over 50,000 employees, we find that the vast majority select into coverage combinations that are financially dominated by other plans, which is especially startling given that these plans had the same provider network and differed only on cost-sharing dimensions. Most employees could save between $500 and $1,000 per year by selecting into the optimal plan. We find that selection into dominated plans is more likely for women and older employees, though roughly similar across income levels within the company.


Participants and lecturers of the 2014 CEAR/Huebner Summer Risk Institute

Participants and lecturers of the 2014 CEAR/Huebner Summer Risk Institute