Description: This study presents a new framework which can measure integrated marked risk and credit risk for portfolios consisting of various assets through continuous time horizons. In a simulation, the study shows that asset type, initial rating, time horizon and asset return distribution assumptions are all significant factors to influence the portfolio value distributions and hence the integrated VaRs. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: The article is devoted to risk management in the business process of materials supply for industrial enterprises. The goals of the business process are considered, and the risks of the failure to achieve goals are identified. Probabilities and influence of negative events are estimated. The risk treatment is considered on critical risks, including forming of insurance supplies of materials. The calculations of insurance supplies of materials, taking into account risks, are conducted on the basis of statistical information.

Description: This paper recommends the practical application of new portfolio risk/return measurements to achieved and back tested stock portfolio performance. This new risk measurement process addresses the issue of infinite variances empirically observed in most stock return distributions. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: This paper introduces a re-rating formula which calculates proposed rates directly by means of fully developed and trended loss costs and current class differentials. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: The author recommends the use of "minimally destructive scenarios" as part of an ORSA process, in order to deal with cognitive bias that can occur in risk decision-making. Part of the essay collection "Risk Metrics for Decision Making and ORSA"

Description: Risk governance is an important part of any risk management process, yet the insurance industry has not implemented the procedures and controls as extensively as banking. This session looks at the elements of risk governance and discusses their importance to the risk management process. Specific emphasis is placed on risk management organizational structures and how different organizational structures may facilitate effective risk management processes. Insurance and banking practices are contrasted. From the Record of the Society of Actuaries 2005, Volume 31, No. 1: 2005 New Orleans Life Spring Meeting, May 22-24, 2005, Session 83 OF.

Description: Research is a primary mission of the Financial Reporting Section and is the largest use of section dues. This scorecard will keep section members informed about research projects sponsored or co-sponsored by the section.

Description: A discussion of the possible effort required and impacts resulting from the implementation of C3 Phase II for establishing risk-based capital for variable annuities. This article will describe practical considerations gleaned from actual valuation calculations recently performed by a consulting firm.