This digital collection includes faculty publications from the Department of Finance and Real Estate and publications from the Everitt Real Estate Center.
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Browsing Department of Finance and Real Estate by Author "Ai, Jing, author"
(Colorado State University. Libraries, 2016-05-25) Ai, Jing, author; Brockett, Patrick L., author; Wang, Tianyang, author; The Journal of Risk and Insurance, publisher
Dynamic enterprise risk management (ERM) entails holistic decision-making for critical corporate functions such as capital budgeting and risk management. The interplay across business divisions, however, is complicated due to their natural interactions through the shared and dependent risk exposures within an intricate corporate structure. This paper develops an integrated optimization framework via a copula-based decision tree interface to facilitate ERM decision making to meet the specified enterprise goal in a multi-period setting. We illustrate our model and provide managerial insights with a case study for a financial services company engaged in both banking and insurance businesses.
(Colorado State University. Libraries, 2016-08-16) Ai, Jing, author; Bajtelsmit, Vickie, author; Wang, Tianyang, author; Journal of Risk and Insurance, publisher
In a well‐designed enterprise risk management (ERM) program, the firm integrates risk management into the strategic planning process, addressing strategic, financial, operational, and hazard risks under a single overarching process. This is particularly important to large financial firms, such as property and casualty (P&C) insurers, which face a diverse set of risks. Using a sample of P&C insurers with S&P ERM quality ratings from 2006 to 2013, we find that the quality of a firm's ERM is a significant determinant of P&C insurer performance and that, for firms with high‐quality ERM programs, product line diversification has a significant positive effect on performance.
