Research Output 1983 2019

7 Citations (Scopus)

A Cautionary Note on Natural Hedging of Longevity Risk

Zhu, N. & Bauer, D., 2014, In : North American Actuarial Journal. 18, 1, p. 104-115 12 p.

Research output: Contribution to journalArticle

Hedging
Mortality
Mortality Rate
Factor Models
Insurance
29 Citations (Scopus)

Adjustable and fixed rate mortgages as a screening mechanism for default risk

Posey, L. L. & Yavas, A., Jan 1 2001, In : Journal of Urban Economics. 49, 1, p. 54-79 26 p.

Research output: Contribution to journalArticle

asymmetric information
Default risk
Mortgage rates
Screening
rate
25 Citations (Scopus)

Agglomeration bonus in small and large local networks: A laboratory examination of spatial coordination

Banerjee, S., Kwasnica, A. M. & Shortle, J. S., Dec 1 2012, In : Ecological Economics. 84, p. 142-152 11 p.

Research output: Contribution to journalArticle

agglomeration
landowner
group size
land use
laboratory
13 Citations (Scopus)
Finite-time Ruin Probability
Portfolio Optimization
Ruin Probability
Autoregressive Process
Proportion
24 Citations (Scopus)

Aligning business and information technology domains: Strategic planning in hospitals

Henderson, J. C. & Thomas, J. B., 1992, In : Hospital and Health Services Administration. 37, 1, p. 71-87 17 p.

Research output: Contribution to journalArticle

Technology
Information Management
Strategic Planning
Strategic planning
Strategic alignment
5 Citations (Scopus)

A limit distribution of credit portfolio losses with low default probabilities

Shi, X., Tang, Q. & Yuan, Z., Mar 1 2017, In : Insurance: Mathematics and Economics. 73, p. 156-167 12 p.

Research output: Contribution to journalArticle

Limit Distribution
Multivariate Regular Variation
Multivariate Extremes
Tail Dependence
Extreme Value Theory
1 Citation (Scopus)

An asymptotic characterization of hidden tail credit risk with actuarial applications

Yuan, Z., Jul 1 2017, In : European Actuarial Journal. 7, 1, p. 165-192 28 p.

Research output: Contribution to journalArticle

Credit Risk
Tail
Risk Factors
Asymptotic Independence
Archimedean Copula
18 Citations (Scopus)

An empirical analysis of home equity loan and line performance

Agarwal, S., Ambrose, B. W., Chomsisengphet, S. & Liu, C., Oct 1 2006, In : Journal of Financial Intermediation. 15, 4, p. 444-469 26 p.

Research output: Contribution to journalArticle

Equity
Empirical analysis
Loans
Household
Lending
123 Citations (Scopus)

A new and improved design for multiobject iterative auctions

Kwasnica, A. M., Ledyard, J. O., Porter, D. & DeMartini, C., Mar 1 2005, In : Management Science. 51, 3, p. 419-434 16 p.

Research output: Contribution to journalArticle

Multi-object auctions
Auction design
Auctions
Resource allocation
Resources

A new and improved design for multi-object iterative auctions

Kwasnica, A. M., Ledyard, J. O., Porter, D. P. & DeMartini, C., Oct 26 2017, Handbook of Spectrum Auction Design. Cambridge University Press, p. 391-417 27 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

56 Citations (Scopus)

A new historical database for the NYSE 1815 to 1925: Performance and predictability

Goetzmann, W. N., Ibbotson, R. G. & Peng, L., Jan 1 2001, In : Journal of Financial Markets. 4, 1, p. 1-32 32 p.

Research output: Contribution to journalArticle

New York Stock Exchange
Predictability
Data base
Stock prices
Dividends
16 Citations (Scopus)

A New Spin on the Jumbo/Conforming Loan Rate Differential

Ambrose, B. W., Buttimer, R. & Thibodeau, T., Dec 1 2001, In : Journal of Real Estate Finance and Economics. 23, 3, p. 309-335 27 p.

Research output: Contribution to journalArticle

loan
transaction
interest rate
pricing
assets
31 Citations (Scopus)

A note on hybrid mortgages

Ambrose, B. W., LaCour-Little, M. & Huszar, Z. R., Dec 1 2005, In : Real Estate Economics. 33, 4, p. 765-782 18 p.

Research output: Contribution to journalReview article

Mortgages
Adjustable rate mortgages
Payment
Prepayment
Schedule
13 Citations (Scopus)

Applications of forward mortality factor models in life insurance practice

Zhu, N. & Bauer, D., Oct 1 2011, In : Geneva Papers on Risk and Insurance: Issues and Practice. 36, 4, p. 567-594 28 p.

Research output: Contribution to journalArticle

Mortality
Life insurance
Insurer
Economic capital
Income
2 Citations (Scopus)

Architecture: A Missing Piece in Real-estate Studies of Sustainable Houses

Fadaei, S., Iulo, L. D. & Yoshida, J., Jan 1 2015, In : Procedia Engineering. 118, p. 813-818 6 p.

Research output: Contribution to journalConference article

Economics
Marketing
Costs
Life cycle
2 Citations (Scopus)

A reexamination of the "lemons" market when warranties are not prepurchase quality signals

Crocker, K. J., Jan 1 1986, In : Information Economics and Policy. 2, 2, p. 147-162 16 p.

Research output: Contribution to journalArticle

market
asymmetry
cost
Quality signal
Warranty
4 Citations (Scopus)

A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks

Chen, Y. & Yuan, Z., Mar 1 2017, In : Insurance: Mathematics and Economics. 73, p. 75-81 7 p.

Research output: Contribution to journalArticle

Finite-time Ruin Probability
Financial Risk
Ruin Probability
Insurance
Multivariate Regular Variation
1 Citation (Scopus)

Asymmetric information and the automobile loan market

Agarwal, S., Ambrose, B. W. & Chomsisengphet, S., Jan 1 2007, Household Credit Usage: Personal Debt and Mortgages. Palgrave Macmillan, p. 93-116 24 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Automobile
Asymmetric information
Mortgages
Loans
Pricing
13 Citations (Scopus)

Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation

Tang, Q. & Yuan, Z., Jul 1 2013, In : North American Actuarial Journal. 17, 3, p. 253-271 19 p.

Research output: Contribution to journalArticle

Multivariate Regular Variation
Asymptotic Analysis
Archimedean Copula
Tail Behavior
Heavy Tails

Automobile Insurance and Driver Ability: Contract Choice as a Screening Mechanism

Posey, L. L. & Thistle, P. D., Sep 1 2017, In : GENEVA Risk and Insurance Review. 42, 2, p. 141-170 30 p.

Research output: Contribution to journalArticle

Contract choice
Tort
Automobile insurance
Screening
Pooling equilibrium
14 Citations (Scopus)

Availability Crises in Insurance Markets: Optimal Contracts with Asymmetric Information and Capacity Constraints

Doherty, N. A. & Posey, L. L., Jan 1 1997, In : Journal of Risk and Uncertainty. 15, 1, p. 55-80 26 p.

Research output: Contribution to journalArticle

Optimal contract
Capacity constraints
Insurance market
Asymmetric information
Equity
2 Citations (Scopus)

Background risk and the performance of insurance markets under adverse selection

Crocker, K. J. & Snow, A., Dec 1 2008, In : GENEVA Risk and Insurance Review. 33, 2, p. 137-160 24 p.

Research output: Contribution to journalArticle

Background risk
Adverse selection
Insurance market
Sequential equilibrium
Incentives
7 Citations (Scopus)

Bank and Nonbank Lenders and the Commercial Mortgage Market

Ambrose, B. W., Benjamin, J. D. & Chiniloy, P., Jan 1 2003, In : Journal of Real Estate Finance and Economics. 26, 1, p. 81-94 14 p.

Research output: Contribution to journalArticle

loan
bank
market
interest rate
commitment
bankruptcy
reorganization
Bankruptcy
Reorganization
25 Citations (Scopus)

Beliefs and endogenous cognitive levels: An experimental study

Agranov, M., Potamites, E., Schotter, A. & Tergiman, C. J., Jul 1 2012, In : Games and Economic Behavior. 75, 2, p. 449-463 15 p.

Research output: Contribution to journalArticle

Experimental study
Sophistication

Benchmarking Local Commercial Real Estate Returns: Statistics Meets Economics

Peng, L., Jan 1 2018, (Accepted/In press) In : Real Estate Economics.

Research output: Contribution to journalArticle

Economics
Statistics
Benchmarking
Real estate returns
Commercial real estate
85 Citations (Scopus)

Better, faster, cheaper: An experimental analysis of a multiattribute reverse auction mechanism with restricted information feedback

Chen-Ritzo, C. H., Harrison, T. P., Kwasnica, A. M. & Thomas, D. J., Dec 1 2005, In : Management Science. 51, 12, p. 1753-1762 10 p.

Research output: Contribution to journalArticle

Experimental analysis
Auctions
Reverse auctions
Buyers
Procurement
1 Citation (Scopus)

Breaking down complex problems: the use of decision analysis.

Ketchen, D. J. & Thomas, J. B., Sep 1 1990, In : Health progress (Saint Louis, Mo.). 71, 7, p. 64-65, 67

Research output: Contribution to journalArticle

Organizational Decision Making
Governing Board
Hospital Administrators
Trustees
Decision Support Techniques

CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION

Tang, Q. & Yuan, Z., May 1 2019, In : ASTIN Bulletin. 49, 2, p. 457-490 34 p.

Research output: Contribution to journalArticle

Pricing
Catastrophe bonds
Catastrophe risk
Bond market
Interest rate risk
4 Citations (Scopus)
economic efficiency
intellectual property
Intellectual property
Economic efficiency
8 Citations (Scopus)

Coherent pricing of life settlements under asymmetric information

Zhu, N. & Bauer, D., Sep 2013, In : Journal of Risk and Insurance. 80, 3, p. 827-851 25 p.

Research output: Contribution to journalArticle

Discrepancy
Pricing
Life expectancy
Asymmetric information
Investment opportunities
33 Citations (Scopus)

Collusion and equilibrium selection in auctions

Kwasnica, A. M. & Sherstyuk, K., Jan 1 2007, In : Economic Journal. 117, 516, p. 120-145 26 p.

Research output: Contribution to journalArticle

Collusion
Equilibrium selection
Auctions
Bid
Communication
7 Citations (Scopus)
Education
Digital content
Owners
Fair use
49 Citations (Scopus)

Commercial Mortgage-Backed Securities: Prepayment and Default

Ambrose, B. W. & Sanders, A. B., Mar 1 2003, In : Journal of Real Estate Finance and Economics. 26, 2-3, p. 179-196 18 p.

Research output: Contribution to journalArticle

market
real estate
finance
loan
Mortgage-backed securities

Communication in bargaining games with unanimity

Agranov, M. & Tergiman, C. J., Jun 15 2019, In : Experimental Economics. 22, 2, p. 350-368 19 p.

Research output: Contribution to journalArticle

Unanimity
Communication
Bargaining games
Voting rules
Majority voting
15 Citations (Scopus)

Communication in multilateral bargaining

Agranov, M. & Tergiman, C. J., Jan 1 2014, In : Journal of Public Economics. 118, p. 75-85 11 p.

Research output: Contribution to journalArticle

Communication
Multilateral bargaining
Resources
Rent
Experimental tests
39 Citations (Scopus)

Comovement after joining an index: Spillovers of nonfundamental effects

Ambrose, B. W., Lee, D. W. & Peek, J., Mar 1 2007, In : Real Estate Economics. 35, 1, p. 57-90 34 p.

Research output: Contribution to journalArticle

Spillover
Comovement
Market frictions
Real estate investment trusts
Investor sentiment
15 Citations (Scopus)

Competitive location and capacity decisions for firms serving time-sensitive customers

Kwasnica, A. M. & Stavrulaki, E., Oct 1 2008, In : Naval Research Logistics. 55, 7, 1 p.

Research output: Contribution to journalArticle

Competitive Location
Static analysis
Customers
Entire
Subgame Perfect Equilibrium

Computer implementation of probability distribution quantile estimation

Yu, X. C., Yuan, Z., Yu, C. & Yang, M., Dec 12 2005, 2005 International Conference on Machine Learning and Cybernetics, ICMLC 2005. p. 2783-2788 6 p.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Probability distributions
Normal distribution

Computer use in Western European hospitals.

Thomas, J. B. & Dorenfest, L., Dec 1986, In : Computers in healthcare. 7, 13, p. 42-44 3 p.

Research output: Contribution to journalArticle

Marketing of Health Services
27 Citations (Scopus)
Health insurance
Insurance contract
Insurance
Contracting
Limited commitment
5 Citations (Scopus)

Contract theory and mortgage foreclosure moratoria

Jaffe, A. J. & Sharp, J. M., Jan 1 1996, In : Journal of Real Estate Finance and Economics. 12, 1, p. 77-96 20 p.

Research output: Contribution to journalArticle

contract theory
foreclosure
constitutional history
economics
statute
13 Citations (Scopus)

Coordination in the presence of asset markets

Kogan, S., Kwasnica, A. M. & Weber, R. A., Apr 1 2011, In : American Economic Review. 101, 2, p. 927-947 21 p.

Research output: Contribution to journalArticle

Asset markets
19 Citations (Scopus)

Corporate real estate's impact on the takeover market

Ambrose, B. W., Dec 1 1990, In : The Journal of Real Estate Finance and Economics. 3, 4, p. 307-322 16 p.

Research output: Contribution to journalArticle

real estate
assets
market
ownership
firm
111 Citations (Scopus)

Corporate tax evasion with agency costs

Crocker, K. J. & Slemrod, J., Sep 1 2005, In : Journal of Public Economics. 89, 9-10, p. 1593-1610 18 p.

Research output: Contribution to journalArticle

Tax
Corporate tax
Agency costs
Tax evasion
Managers
43 Citations (Scopus)

Cost-benefit analysis of single-family foreclosure alternatives

Ambrose, B. W. & Capone, C. A., Jan 1 1996, In : Journal of Real Estate Finance and Economics. 13, 2, p. 105-120 16 p.

Research output: Contribution to journalArticle

foreclosure
cost-benefit analysis
deflation
interest rate
stochasticity
13 Citations (Scopus)

Credit availability and the structure of the homebuilding industry

Ambrose, B. W. & Peek, J., Dec 1 2008, In : Real Estate Economics. 36, 4, p. 659-692 34 p.

Research output: Contribution to journalArticle

Credit availability
Industry
Market share
Bank credit
Health
34 Citations (Scopus)

Credit lines and credit utilization

Agarwal, S., Ambrose, B. W. & Liu, C., Feb 1 2006, In : Journal of Money, Credit and Banking. 38, 1, p. 1-22 22 p.

Research output: Contribution to journalArticle

Credit
Empirical analysis
Competing risks model
Financial flexibility
Prediction
5 Citations (Scopus)

Credit Rationing, Income Exaggeration, and Adverse Selection in the Mortgage Market

Ambrose, B. W., Conklin, J. & Yoshida, J., Dec 1 2016, In : Journal of Finance. 71, 6, p. 2637-2686 50 p.

Research output: Contribution to journalArticle

Income
Adverse selection
Credit rationing
Mortgage market
Loans
17 Citations (Scopus)

Credit rationing in the U.S. mortgage market: Evidence from variation in FHA market shares

Ambrose, B. W., Pennington-Cross, A. & Yezer, A. M., Jan 1 2002, In : Journal of Urban Economics. 51, 2, p. 272-294 23 p.

Research output: Contribution to journalArticle

rationing
market share
credit
market
supply