Description: This paper, part of the Society of Actuaries [SOA} ‘Research Projects – Finance/Investment,’ is presented by the SOA’s Committee on Finance Research. This research project, jointly sponsored by the SOA and the Casualty Actuarial Society [CAS], explores economic series and provides an Excel-based tool for generating future economic scenarios. In addition to the paper, which includes an excel workbook containing results of model simulations, there are the following appendices - Appendix A, a 26 page ‘user’s guide,’ Appendix B, a 91 page document entitled ‘Presentations of This Research,’ Appendix C, a zipped file containing hundreds of scenarios i.e., simulation paths of financial and economic variables, generated as output from the Financial Scenario Model, and Appendix D, the model itself in an Excel workbook.

Description: This paper represents a brief progress report on research, being sponsored by the Casualty Actuarial Society CAS and the Society of Actuaries SOA, in the area of modeling of economic series. In particular, research is being undertaken to provide a foundation for the actuarial community’s modeling of a variety of economic variables, including interest rates, equity returns, inflation, unemployment rates, and real estate price levels. The specific objectives of this research are to provide a summary of the literature in the area of economic scenario modeling, identify data sources and methodologies in this area useful to the actuarial profession, and produce working software for economic modeling, including appropriate documentation, to be made available to the general actuarial community in order to allow actuaries to use and build upon this research.

Description: This paper represents a brief progress report on research, being sponsored by the Casualty Actuarial Society and the Society of Actuaries, in the area of modeling of economic series. In particular, research is being undertaken to provide a foundation for the actuarial community’s modeling of a variety of economic variables, including interest rates, equity returns, inflation, unemployment rates, and real estate price levels. The specific objectives of this research are to provide a summary of the literature in the area of economic scenario modeling, identify data sources and methodologies in this area useful to the actuarial profession, and produce working software for economic modeling, including appropriate documentation, to be made available to the general actuarial community in order to allow actuaries to use and build upon this research. From Actuarial Research Clearing House 2004, Vol. 1.

Description: In May, 2001, the Casualty Actuarial Society (CAS) and the Society of Actuaries (SOA) jointly issued a request for proposals on the research topic “Modeling of Economic Series Coordinated with Interest Rate Scenarios.” The objectives of this request were to develop a research relationship with selected persons to investigate this topic; produce a literature review of work previously done in the area of economic scenario modeling; determine appropriate data sources and methodologies to enhance economic modeling efforts relevant to the actuarial profession; and produce a working model of economic series, coordinated with interest rates, that could be made public and used by actuaries via the CAS / SOA websites to project future economic scenarios. Categories of economic series to be modeled included interest rates, equity price levels, inflation rates, unemployment rates, and real estate price levels.

Description: The author suggests ways to strengthen a company's enterprise risk management process, including the development of an "effective resilience factor," a risk metric that reflects an organization’s exposure and response to an adverse event, and measures the ability of the organization to mitigate the reduction in its operating level.

Description: This paper suggests that risk is too complex to quantify with a single number, and offers a two-dimensional risk measure while introducing the concept of 'iso-risk' curves. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

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 about developing a model that will provide insight into the true inherent value of a property-liability insurance company from a market perspective.

Description: This is the abstract of a paper that demonstrates how to apply a variety of property-liability insurance financial pricing techniques to a single hypothetical, but representative, company. Both company and economic parameters are varied in order to examine the sensitivity of indicated underwriting profit margins from these techniques to different company situations and economic environments, and to highlight the differences between the techniques at a practical level.

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.