This dissertation consists of three essays in Applied Econometrics that seek a better understanding of different aspects of risk and risk management tools. The first essay is about mortality risk in Virginia coal regions. With a focus on the mortality of non-malignant respiratory diseases (NMRD), I estimate the impact of living in a coal county and find that coal-mining county residency significantly increases the probability of dying from NMRD. This statistical association is accentuated by surface coal mining, high smoking rates, lower health insurance coverage, and a shortage of doctors. The second essay evaluates the cost of a price risk management tool called futures hedging. A variety of measures illustrate considerable changes in hedging costs over time. Quantile regression results show that substantial price volatility and high margin requirements are the main factors driving high hedging costs from 2007 to 2013. The third paper investigates a health risk management tool, a public health insurance program in China called New Cooperative Medical Scheme (NCMS). I apply contract theory to characterize local governments' selective incentives in NCMS benefit designs. Empirical analysis of China Health and Nutrition Survey data indicate challenges of financial sustainability of this scheme in poor regions. The NCMS plan tends to under-cover the services that are moderately predictable and negatively correlated with plan profits, such as outpatient treatments. Preventive services are generally over-provided, perhaps due to the incentive to attract healthy participants.