Description: This abstract describes a paper that reverses the sequence of the Euler (or gradient) allocation technique by calculating the marginal costs of risk exposures for a profit maximizing financial institution with risk averse counterparties, and then identifying a closed-form solution for the risk measure whose gradient delivers the correct marginal costs.

Description: This abstract describes a presentation that shows the impact of relaxing constraints, in consideration of the discrepancies observed in the recent history of mortality improvement rates as a function of gender, income and data source.

Description: This is an abstract article about racial disparities in healthcare by Paul Johnson.

Description: We demonstrate an integrated enterprise risk management (ERM) solution to optimize the risk portfolio, identify natural hedges, create an optimal risk treatment plan, enhance risk culture, and facilitate risk reporting throughout the organization.

Description: Feature article discussing the due diligence actuaries should perform before agreeing to become a member of a board.

Description: This abstract describes a paper that studies a risk measure derived from ruin theory defined as the smallest initial capital needed to cope in expectation with the first occurrence of a ruin event.

Description: The abstract for the paper ERM and the Failure of Risk Management: An Asian Perspective.

Description: The abstract for a paper that focuses on default distributions and why they are important.

Description: The underlying premise of this paper is that enterprise risk management (ERM), as it continues to evolve as both a process and a collection of risk management techniques, can benefit from several different (but ultimately somewhat related) “megatrends.” The core of this paper concentrates on the impact on ERM of one of those megatrends: the emergence of a behavioral economics perspective, which is beginning to have a large impact on our understanding of the economy and on certain economic and business processes. The evolution and context of behavioral economics are described, and potential implications for the practice of ERM are discussed. The paper culminates with a variety of specific suggestions for ERM practice in response to findings from behavioral economics research, specifically a number of human cognitive dissonances inconsistent with traditional economic theory.

Description: This is the abstract of a paper that derives expressions for the moments of the distribution of the option payoff in a Black Scholes economy. These results are of interest from a purely statistical viewpoint. They may also be of interest given the current importance of value at risk calculations. The paper also derives formulae for the moments of barrier options and provides numerical examples.