The American Risk and Insurance Association (ARIA) has awarded the Casualty Actuarial Society Award to UNT Ryan College of Business Assistant Professor Jianren Xu.
 
“It is a great honor to earn this prestigious award. It is important to my career and I am proud to bring the award to UNT. The past award recipients are mostly from top-tier research institutions. I feel fortunate to have their company,” said Xu.  
 
A rare honor, Xu is not only the first recipient of the award at UNT, but also the first in the Dallas-Fort Worth region. In fact, the only other university in the state of Texas to win the award has been the University of Texas Austin.
 
The Casualty Actuarial Society Award is one of the top two awards for articles published in the Journal of Risk and Insurance (JRI) (a “Premier” journal designated by the college's journal list), and Xu’s paper was the only one to earn the honor by ARIA in 2021.
 
His award-winning research is titled, “Estimating the Cost of Equity Capital for Insurance Firms With Multiperiod Asset Pricing Models."
 
“Previous research on insurer cost of equity (COE) focuses on single-period asset pricing models. In reality, however, investment and consumption decisions are made over multiple periods, exposing firms to time-varying risks related to economic cycles and market volatility. We extend the literature by examining two multi-period models—the conditional CAPM (CCAPM) and the intertemporal CAPM (ICAPM),” said Xu.
 
“Using 29 years of data, we find that macroeconomic factors significantly influence and explain insurer stock returns. Insurers have countercyclical beta implying that their market risk increases during recessions. Further, insurers are sensitive to volatility risk (the risk of losses when volatility goes up), but not to insurance-specific risks, financial industry risks, liquidity risk, or coskewness after controlling for other economy-wide factors.”
 
The Casualty Actuarial Society Award, established in 1997, is made to the authors of a paper published by the American Risk and Insurance Association (ARIA) that provides the most valuable contribution to casualty actuarial science.