Description: The abstract for the paper The Effects of Advanced Age Mortality Improvement on the Valuation of Variable Annuities with Guaranteed Death Benefits.

Description: This is the abstract for the paper on the determination of capital charges in a discounted cash flow model.

Description: This abstract is for a paper that takes actual claim data and develops some of the relationship using regression and non-parametric methods.

Description: This abstract describes a paper that reviews earlier research and identifies the major factors affecting the use of futures hedging by commodity producers.

Description: This is the abstract for the presentation on the distribution of the total dividend payments in the MAP risk model with multi-threshold dividend strategy.

Description: The abstract for the paper The Economic Capital and Risk Adjustment Performance for VA with Guarantees with an Example of GMAB.

Description: This paper evaluates the current practice of operational risk management in the insurance sector. Operational risk is nothing new in insurance, but, because of regulatory requirements, companies have initiated computation of risk capital for their operational losses. The current effort to manage operational risk is not a naturally evolving phenomenon, and operational risk, in the Basel Committee on Banking Supervision’s Basel II definition, is unlikely to be a significant cause of insurers’ failure. In addition, the current Basel II definition of operational risk is not suitable for the insurance sector. Consequently, the invention of models and tools based on the definition is incomplete and illusionary. My findings are based on the analysis of dozens of interviews with insurance industry professionals. I demonstrate the way operational risk is quantified in practice, show that the result obtained from this computation is of littl e use in managerial decision making and propose a set of policy recommendations illustrating the characteristics of operational risk in insurance. This study can be used as a platform for launching dialogues to initiate fresh thinking about operational risk in insurance beyond the current artificial and narrow boundaries.

Description: The costly, time-consuming and complicated process of enterprise risk management (ERM) can be improved in many companies and made less tedious for managers by using reasonable data and templates obtained from peer group entities. The models used to calculate economic capital (EC) often underestimate its value because they do not consider decision-maker perception about risk. We assume here that managers, as the decision-makers, have appropriate business understanding and they can provide substantial information about risk characteristics regarding all business processes. Therefore we are focused, in this paper, on collecting data from managers across the different businesses to derive the appropriate knowledge about risky events, the importance of particular types of risk, the relationship between the risk outcomes and the level of risk control in a particular industry. We conclude that the collected data has a high potential for use as a benc hmarking reference and analysis for improving ERM models for individual businesses.

Description: This abstract describes a paper that proposes a method to measure basis risk of extreme mortality CAT bonds.

Description: This abstract describes a paper that develops a risk-neutral valuation methodology that takes different tax structures into consideration and applies it to a simplified withdrawal guarantee as well as a representative empirical Variable Annuity contract.