Insurance Seminar on Economic Capital, Hong Kong, 2008. This session focused on the market risks in Variable Annuities with guaranteed minimum living and death benefits and UL products with secondary guarantees. The use of hedging to address those risks was examined. Agenda: 1. Hedging Economic Risk. 2. Fair Value. 3. Using Hedging when calculating Economic Capital.

Insurance Seminar on Economic Capital, Hong Kong, 2008. This session reviews the evolution of the marketplace leading up to the current product designs in the VA/EIA markets in North America. It also covers risk management of guarantees in the VA/EIA markets and the current state of affairs, regulatory and accounting, in North America. Agenda: 1. Product and Market Trends – North America.. 2. Product and Market Trends – Global. 3. Rating Agency/Regulatory Developments. 4. Recent Trends with Risk Management. 5. Outlook.

This session at the SOA Life 2008 Spring Meeting discusses the aggregation of risks, the relative correlations among major categories of risk, and how to incorporate a correlation matrix into risk models.

The authors introduce an alternative to Tail Contribution Analysis TCA for analyzing business segments and strategies called Economic Profit Analysis EPA. They discuss EPA’s key feature, “volatility replication,” an intuitively appealing process of building investor expectations and capital market information into the risk-and-return measurements used to evaluate strategic decisions. Finally, they illustrate the benefit of using EPA in overcoming the problems of TCA and thereby providing concise reliable information for business decision making.

Here are two presentations from the 2010 ERM Symposium 4/12-4/15/2010 Concurrent Sessions Q-Quantification. This session will focus on the developments in the use of ECMs and stress and scenario testing from the perspective of a leading rating agency. We will explore the expectations of external reviewers when examining the quantitative risk management practices of companies with developed ERM programs. We will also discuss the key features of a robust model validation framework and an independent model validation process that may be used to satisfy external reviewers of the quality, completeness, and use of these highly sophisticated risk models.

The growing focus on enterprise risk management and market-consistent financial reporting requirements has led to the development of internal economic capital models for risk-based decision making. Regulators and rating agencies are increasingly requiring that companies demonstrate that the models are embedded in the organization and are being used to drive key decisions. This session will provide valuable insights into the benefits of embedding economic capital models and other risk-based concepts into the product development and pricing process. It will also highlight some of the practical considerations for companies that are considering or are in the early stages of implementation. From the 2012 SOA Annual Meeting.

This session will provide valuable insights into the benefits of embedding economic capital models and other risk-based concepts into the product development and pricing process. It will also highlight some of the practical considerations for companies that are considering or are in the early stages of implementation.

To provide incentive for active risk management, it is argued that a sound coherent distortion risk measure should preserve some higher degree stop-loss orders, at least the degree-three convex order. Such risk measures are called tail-preserving risk measures. It is shown that, under some common axioms and other plausible conditions, a tail-preserving coherent distortion risk measure identifies necessarily with the Wang right-tail measure or the expected value measure. This main result is applied to derive an optimal economic capital formula. From NAAJ, January 2004, Volume 8, Number 1.

This paper examines properties of risk measures that can be considered to be in line with some “best practice” rules in insurance, based on solvency margins. We show that so-called coherent risk measures lead to problems. In particular we consider an exponential risk measure related to a discrete ruin model, depending on the initial surplus, the desired ruin probability, and the risk distribution. There is a discussion of this paper between author and Eddy Van den Borre. From NAAJ, April 2003, Volume 7, Number 2.

Presentation at Economic Capital and Market-Consistent Embedded Value: Bringing it all Together meeting February 2009. Discussion of recent market trends and best practices in implementing EC - the CRO perspective.