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Risk Management Metrics Task Force
Fred Tavan, Leader
- to research risk management metrics used in making key business
decisions
- to document risk and risk metric definitions and the
application of risk metrics to business decisions
Initial Product and Process
- Definitions of Risks
Prepare a document that describes alternate definitions of
risk, the reasons for the alternate definitions and the
repercussions of utilizing the different definitions in
various decision making processes.
- Risk Metrics Definitions
For selected risk metrics, document the definition of each
metric. This definition will be both fully descriptive and
fully functional. The definition document will be
stand-alone complete as well as including references to
literature regarding the metric. Ultimately the document
could be used as an actionable reference guide for a
practitioner who wanted to apply the risk metric to an
insurance company situation. The definition will include
mathematical formulas as well as verbal descriptions of the
metric. Example(s) will be provided to show how the metric
can be applied in a life insurance company situation. The
definitions should be self-contained with references so
that the practitioner is not being presented with a
research project, but with a practical answer. References
should be included for the user who wants to follow the
full historical exposition of the metric.
- Applications of Risk Metrics
For each of a list of business problems, document the pros
and cons of using each of the risk metrics as the primary
measure of risk for that problem. This document will
reflect different definitions of risk as well.
- Cross References
Develop a full cross reference capability for the material
in the three above sections so that a user can start at any
of the three points and see the logical progression to the
other two in either order. For example, if someone comes
into a situation where there are existing capabilities to
calculate a particular risk metric, they can use the cross
reference to see which risk definitions and business
decisions are best supported by that metric.
Documents & Links
Preliminary work
products:
The subgroup has prepared the following documents in pursuit of
its goal to document risk metric definitions and applications
within the industry. These are intended to be working documents
and comments to the subgroup are welcome. The documents and
contents should not be considered to be an endorsement by, or a
position of the Society of Actuaries.
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