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«Born: September 8, 1942, San Francisco Nationality: United States of America Current position Dr. L. A. H. Warren Chair Professor of Actuarial ...»

Samuel H. Cox

University of Manitoba

Asper School of Business

Warren Center for Actuarial Studies & Research

181 Freedman Crescent

Winnipeg, Manitoba R3T 5V4

Canada

Telephone: 204-474-8130

Fax: 204-474-7545

email: scox@cc.umanitoba.ca

URL: http://umanitoba.ca/faculties/management/faculty_staff/academic_

professors/cox_sam.html

Born: September 8, 1942, San Francisco

Nationality: United States of America

Current position

Dr. L. A. H. Warren Chair Professor of Actuarial Science, University of Manitoba Since July 1, 2007 Areas of specialization actuarial applications of financial economics, mortality risk management, securitization of insurance risks, financial engineering Appointments held Thomas P. Bowles, Jr. Chair of Actuarial Science 1994 - 2007 Department of Risk Management and Insurance, Georgia State University A. J. Pasant Chair in Life Insurance and Financial Services 1990 - 1994 Department of Finance, Michigan State University Professor of Actuarial Science and Finance 1987 - 1990 University of Nebraska-Lincoln Actuary 1986 - 1987 The Wyatt Company, Dallas, Texas Paul V. Montgomery Centennial Professor of Actuarial Science 1981 - 1986 Department of Finance, University of Texas at Austin Actuary 1979 - 1980 The Wyatt Company, Dallas, Texas Senior Actuarial Assistant 1978 - 1979 Pan-American Life Insurance Company, New Orleans, Louisiana Assistant Professor of Actuarial Science 1975 - 1978 University of Texas at Austin 1 Assistant Professor of Mathematics 1972 - 1975 University of Puerto Rico, Río Piedras, Puerto Rico Acting Assistant Professor of Mathematics 1971 - 1972 University of California at Los Angeles Infantry Officer 1969 - 1971 United States Army Education PhD in Mathematics, Louisiana State University 1968 BA and MS in Mathematics, Texas Christian University 1963, 1965 Professional designations Chartered Financial Analyst 2003 Chartered Property and Casualty Underwriter 1996 Fellow of the Society of Actuaries 1980 Awards Lin and Cox (2008) won the 2006 Asia-Pacific Risk and Insurance Association Harold D.

2006 Skipper Best Paper Award.

Brockett, Cox, Golany, Phillips, and Song (1995) won the Annual Prize for papers published in the Transactions of the Society of Actuaries during July 1995 to July 1996.

Brockett, Cox, and Witt (1986) won the American Risk and Insurance Association outstanding contribution award in 1987.

–  –  –

Yijia Lin and Samuel H. Cox. Securitization of catastrophe mortality risks. Insurance: Mathematics and Economics, 42(2):628–637, April 2008. This paper won the 2006 Asia-Pacific Risk and Insurance Association Harold D. Skipper Best Paper Award.

Samuel H. Cox and Yijia Lin. Natural hedging of life and annuity mortality risks. North American Actuarial Journal, 11(3):1 – 15, July 2007.

Samuel H. Cox, Yijia Lin, and Shaun Wang. Multivariate exponential tilting and pricing implications for mortality securitization. Journal of Risk and Insurance, 73(4):719–736, 2006.

2 Yijia Lin and Samuel H. Cox. Securitization of mortality risks in life annuities. Journal of Risk and Insurance, 72(2):227–252, 2005.

Samuel H. Cox, Hal W. Pedersen, and Joseph R. Fairchild. Valuation of structured risk management products. Insurance: Mathematics and Economics, 34(2):259 – 272, 2004.

Samuel H. Cox, Hal W. Pedersen, and Joseph R. Fairchild. Economic aspects of securitization of risk. ASTIN Bulletin, 30(1):157–193, 2000.

Samuel H. Cox and Hal W. Pedersen. Catastrophe risk bonds. North American Actuarial Journal, 4(4):56–82, 2000.

Samuel H. Cox, Edward L. Robbins, and Richard D. Phillips. Application of risk theory to interpretation of stochastic cash flow testing results. North American Actuarial Journal, 1 (2):85 – 95, 1997.

Patrick L. Brockett, Samuel H. Cox, and James Smith. Bounds on the price of catastrophe insurance options on future contracts. In Securitization of Insurance Risks. Society of Actuaries, 1996.

Samuel H. Cox and Arthur M. B. Hogan. Life insurer risk-based capital: An option pricing approach. Journal of Actuarial Practice, 3(1):5–23, 1995.

Patrick L. Brockett, Samuel H. Cox, Boaz Golany, Fred Y. Phillips, and Yun Song. Actuarial usage of grouped data: An approach to incorporate secondary data. Transactions of the Society of Actuaries, XLVII(1), 1995. This paper won the Society of Actuaries Annual Prize for papers published in the TSA during July 1995 to July 1996.

Samuel H. Cox and Robert Schwebach. Insurance futures and hedging insurance price risk.

Journal of Risk and Insurance, LIX(4):628–644, 1992.

P. D. Laporte, S. H. Cox, S. R. Linney, and L. Lombardi. Single premium deferred annuity persistency study. Transactions of the Society of Actuaries Reports, 1(1):281–332, 1992.

Samuel H. Cox. Bounds on expected values of insurance payments and option prices.

Transactions of the Society of Actuaries, XLIII:231–260, 1991.

Patrick L. Brochett, Samuel H. Cox, and James H. Gerberman. A stochastic process model for venture capital decisions. In Proceedings of the American Statistical Association, Business and Economics Section. American Statistical Association, 1990.

Patrick L. Brockett and Samuel H. Cox. Discussion of Reitano’s Statistical Analysis of Banded Data. Transactions of the Society of Actuaries, XLII:413 – 415, 1990.





Samuel H. Cox. Comments on Fleming and Norton. The American Statistician, November

1989. Letters Section.

Patrick L. Brockett, Samuel H. Cox, and Robert C. Witt. Insurance versus self–insurance:

A risk management perspective. Journal of Risk and Insurance, 53(2):242 – 257, 1986. This paper won the American Risk and Insurance outstanding contribution award in 1987.

Samuel H. Cox and Cheng-Kun Kuo. Underwriting traders of financial futures. In I. B.

MacNeill and G. J. Umphrey, editors, Advances in the Statistical Sciences, volume 6, pages 219–229, 1987.

Patrick L. Brockett and Samuel H. Cox. Insurance calculations using incomplete information. Scandinavian Actuarial Journal, pages 94 – 108, 1985.

3 Patrick L. Brochett and Samuel H. Cox, Jr. Optimal ruin calculations using partial stochastic information. Transactions of the Society of Actuaries, XXXVI:49–62, 1984.

Patrick L. Brockett and Samuel H. Cox, Jr. Statistical adjustment of mortality tables to reflect known information. Transactions of the Society of Actuaries, 36:63–75, 1984.

Patrick L. Brockett, Samuel H. Cox, Jr., and Robert C. Witt. Self-insurance and the probability of financial regret. Journal of Risk and Insurance, 51:720–729, December 1984.

Samuel H. Cox, Jr. and John D. Martin. Abandoment value and capital budgeting under uncertainty. Journal of Economics and Business, 35:331 – 341, 1983.

S. H. Cox, Jr. The preparation theorem and the freeness of A[[x]]/I. Proceedings of the American Mathematical Society, 1976.

S. H. Cox, Jr. and David Rush. Finiteness in flat modules and algebras. Journal of Algebra, 32:44–50, 1974.

S. H. Cox, Jr. Commutative endomorphism rings. Pacific Journal of Mathematics, 45:87 – 91, 1973.

S. H. Cox, Jr. and David Rush. Endomorphisms of finite rank flat modules. Duke Mathematics Journal, 39:323 – 326, 1972.

S. H. Cox, Jr. and Robert L. Pendleton. Rings for which certain flat modules are projective.

Transactions of the American Mathematical Society, 160:139 – 156, 1970.

S. H. Cox, Jr. and Sam B. Nadler. Supremum norm differentiability. Annales Societatis Math.

Polonae, 1970. Series I.

S. H. Cox, Jr. Determinantal rank and flat modules. Proceedings of the American Mathematical Society, pages 104 – 106, 1969.

Book reviews and other articles Samuel H. Cox. Book review of Derivatives: The tools that changed finance by Phelim Boyle and Feidhlim Boyle. Risk Waters Group, London, 2001. North American Actuarial Journal, 7(2):145 – 146, 2003.

Samuel H. Cox. ‘98 Bowles Symposium. The Actuary, 32(8):8–9, October 1998.

Samuel H. Cox. Poland’s first actuaries. The Actuary, 26(1):10–11, January 1992.

Samuel H. Cox. Book review of Life Insurance Mathematics by Hans U. Gerber. Transactions of the Society of Actuaries, XLII:755 – 756, 1990.

Patrick L. Brockett and Samuel H. Cox. Book review of Stochastic Methods in Economics and Finance by Malliaris and Brock. Journal of the American Statistical Association, 80:236 – 237, 1984.

S. H. Cox, Jr. Joint life annuity formulations. The Actuary, 12(1):4–6, January 1978.

Samuel H. Cox. Book review of Differential Equations with Applications and Historical Notes by George F. Simmons. American Mathematical Monthly, 82:862 – 863, 1975.

–  –  –

Hans U. Gerber and Samuel H. Cox. Life Insurance Mathematics. Springer-Verlag, Berlin, third edition, 1997. Translator for the first edition: Walter Neuhaus.

–  –  –

At Georgia State University I taught graduate courses in actuarial mathematics, primarily 1994 - 2007 in the areas of non-life insurance loss modeling and financial engineering.

–  –  –

Conceptos y fundamentos de probabilidad y estadística para la modelación de riesgos catastróficos September 14, 2007 at the ASTIN Seminar in Ixtapa, México, presented in English.

–  –  –

Securitization of Mortality Risks at the Symposium on Finance and Insurance, Norwegian May 11, 2006 School of Economics and Business Administration, Bergen, Norway.

Securitization of Mortality Risks to the Department of Statistics, University of Toronto.

April 13, 2006

–  –  –

Longevity Risk, Rare Event Premia and Securitization with Yijia Lin at the American Risk and August 6, 2007 Insurance Association annual meeting, Quebec City.

–  –  –

7



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