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Cheng-Hsien Tsai

Cheng-Hsien Tsai Department of Risk Management and Insurance
Ph.D., Department of Risk Management and Insurance,
Georgia State University, U.S.A.
Email: ctsai@nccu.edu.tw
 

Education


  • Ph.D., 1998, Department of Risk Management and Insurance, J. Mack Robinson College of Business, Georgia State University, Atlanta, Georgia, USA.


Experience


  • Associate Professor, Department of Risk Management and Insurance, National Chengchi University, 1998-Present


Research Interests


  • Insurance Finance
  • Financial Management of Financial Institutions
 

Publications

A. Journal Papers


  • Ya-Wen Hwang, Chenghsien Tsai, 2014, The Longevity Risk of Life Insurance Policies Induced by Pricing Error, The IUP Journal of Financial Risk Management, Vol.11, No.1, pp.34-53.

  • Tsai, Chenghsien, 2012, The Impacts of Surrender Options on Reserve Durations, Risk Management and Insurance Review, Vol.15, No.2, pp.165-184.

  • Yu, Tzu-Yi, Chenghsien Tsai, Hsiao-Tzu Huang, Chuen-Lung Chen, 2011, Applying Simulation Optimization to Dynamic financial analysis for the Asset -Liability Management of a Property-Casualty Insurer, Applied Financial Economics,.

  • Tzu-Yi Yu, Chenghsien Tsai, Hsiao-Tzu Huang, 2010, Applying Simulation Optimization to the Asset Allocation of a Property-Casualty Insurer, European Journal of Operational Research, Vol.1, No.207, pp.499-507.

  • Chenghsien Tsai, Weiyu Kuo, Derek Mi-Hsiu Chiang, 2009, The Distributions of Policy Reserves Considering the Policy-year Structures of Surrender Rates and Expense Ratios, The Journal of Risk and Insurance, Vol.4, No.76, pp.909-931.

  • Chenghsien Tsai, 2009, The Term Structure of Reserve Durations and the Duration of Aggregate Reserves, Journal of Risk and Insurance, Vol.2, No.76, pp.419-441.

  • Chang, Shih-Chieh, Chang-Ye Tu, and Chenghsien Tsai, 2005, Pension Fund Management Using the Markov Chain Approximation, Asia Pacific Management Review, 10: 259-266

  • Chang, Shih-Chieh, Chenghsien Tsai, and Li-Chuan Hung, 2005, Incorporating Foreign Equities in the Optimal Asset Allocation of an Insurer with the Consideration for Background Risks: Models and Numerical Illustrations, Asia-Pacific Journal of Risk and Insurance, 1: 12-32

  • Kuo, Weiyu, Chenghsien Tsai, and Wei-Kuang Chen, 2003, An Empirical Study on the Lapse Rate: The Cointegration Approach, Journal of Risk and Insurance, 70, 3, 489-508

  • Tsai, Chenghsien, Wei-Kuang Chen, and Chris Chan, 2003, On the Distribution of Life Insurance Reserves in a Stochastic Mortality, Interest Rate, and Lapse Rate Environment, Review of Securities and Futures Markets, 15, 2, 1-30

  • Tsai, Chenghsien, Weiyu Kuo, and Mengyi Li, 2003, Value at Risk of Life Insurance Policy Reserves, Journal of Financial Studies, 11, 1, 41-65.

B. Conference Papers


  • Huang, Becky F.;Chenghsien Tsai, 2015.12, 'Natural Hedging of Mortality Risks and Product Design, 

  • Huang, Becky F., Chenghsien Tsai, 2015,'Embedding the Natural Hedging of Mortality/Longevity Risks into Product Design, World Risk and Insurance Economics Congress, Asia-Pacific Risk and Insurance Association, American Risk and Insurance Association, etc..

  • MacMinn, Richard D, Ko-Lun Kung, Weiyu Kuo, Chenghsien Tsai, 2014, Approximating Factor Models on Multi-Population Mortality Modeling, International Longevity Risk and Capital Markets Solutions Conference, Universidad Diego Portales.

  • Hsieh, Ming-Hua, Weiyu Kuo, Yu-Ching Li, Chenghsien Tsai, 2014, Generating Economics Scenarios for the Long-Term Solvency Assessment of Life Insurance Companies: The Orthogonal ARMA-GARCH Approach, American Risk and Insurance Association Annual Meeting, American Risk and Insurance Association.

  • Hsieh, Ming-Hua, Jin-Lung Peng, Chenghsien Tsai, Jennifer L. Wang, 2013, Explaining the Rate Spreads on Life Settlements, American Risk and Insurance Association Annual Meeting, American Risk and Insurance Association.

  • Wang, Jennifer L., Ming-Hua Hsieh, Chenghsien Tsai, 2012, Using Life Settlements to Hedge the Mortality Risk of Life Insurers: an Asset-Liability Management Approach, American Risk and Insurance Association Annual Meeting, American Risk and Insurance Association.

  • Wang, Jennifer L., Ming-Hua Hsieh, Chenghsien Tsai, 2011, Using Life Settlements to Hedge the Mortality Risk of Life Insurers: an Asset-Liability Management Approach, the Seventh International Longevity Risk and Capital Markets Solutions Conference, Pensions Institute.

  • Chan, Fang-Shu Linus, Chenghsien Tsai, Cary Chi-Liang Tsai, 2011, Applying the Linear Hazard Transform to the Fitting, Prediction, and Hedging of Mortality Improvements, the Seventh International Longevity Risk and Capital Markets Solutions Conference, Pensions Institute.

  • Tsai, Chenghsien, Jui-Lin Eva Sung, and Fang Shu Chan, 2006, An Empirical Study on the Solvency Prediction of Simulation Analysis, Scenario Analysis, and Risk-Based Capital, The Sixth Risk Management and Insurance Seminar (National Chengchi University, Taipei, Taiwan)

  • Tsai, Chenghsien, Weiyu Kuo, and Derek Mi-Hsiu Chiang, 2005, The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios, The First World Risk and Insurance Economics Congress (Salt Lake City, USA) (Harold D. Skipper Best Paper Award for Global Insurance)

  • Chang, Shih-Chieh, Chenghsien Tsai, and Ya-Wen Hwang, 2005, Hedging Labor Income and Inflation Uncertainties through Capital Market in Defined Contribution Pension Schemes, The First World Risk and Insurance Economics Congress (Salt Lake City, USA)

  • Chang, Shih-Chieh, Chenghsien Tsai, and Li-Chuan Hung, 2004, Incorporating Foreign Equities in Optimal Portfolio Selection for Insurers, The Ninth Memorial Seminar to Professor Gu-Shuo Liang (National Taiwan University, Taipei, Taiwan)

  • Tsai, Chenghsien, 2004, The Impact of Surrender Options on the Durations of Policy Reserves, FAPARMO and RMST International Risk and Insurance Management Conference (Taipei, Taiwan)

  • Tsai, Chenghsien and Jui-Lin Eva Sung, 2003, An Empirical Study on the Solvency Prediction of Simulation Analysis, Scenario Analysis, and Risk-Based Capital, International Conference on Innovative Information Technology Policy and E-Society (National Chengchi University, Taipei, Taiwan)

  • Tsai, Chenghsien, Ching-Syang Jack Yue, and Yuan-Chih Pan, 2003, The Impact of Correlation on the Effectiveness of Risk-Based Capital, The Seventh Annual Conference of the Asia-Pacific Risk and Insurance Association (Bangkok, Thailand)

  • Chan, Fang Shu, Weiyu Kuo, and Chenghsien Tsai, 2003, An Application of the Residual Income Valuation Model to the Price of Insurance Companies, The Seventh Annual Conference of the Asia-Pacific Risk and Insurance Association (Bangkok, Thailand)