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Archive Spring 2013: Updates – Enterprise Risk Management (ERM) Exam

March 18, 2013

  • Errata for “Modeling Tail Behavior with Extreme Value Theory,” Risk Management, September 2009, Page 17 (changes are in bold):

    Assume we are interested in the probability of a monthly return being less that -5% assuming it is less than -2.52%. This is equivalent to probability that the excess is greater than or equal to 2.48% (i.e. 5% - 2.52%) and can be found as 1 - G(2.48%) = 1 - .898 = .102. This is, of course, a conditional probability. The unconditional probability that a monthly return is less that -5% is .102 multiplied by the probability of being in this tail: .102*.04 or .004.

Feb. 06, 2013

  • The ERM case study has been updated for the Spring 2013 session.

  • Due to updates, recent events and to better align readings with the case study, the following changes have been made to the readings for the Spring 2013 session.

    (The Courseware study note, ERM-50-12, has not been updated to reflect these changes)

    Learning Objective 2 add:

    • ERM-602-12: Investment Management for Insurers, Babbel and Fabozzi, Chapter 11, The Four Faces of an Interest Model (included in the original study note set)
    • ASOP 46 Risk Evaluation in Enterprise Risk Management (final version) (updated link) http://www.actuarialstandardsboard.org/pdf/asop046_165.pdf

    Learning Objective 5 add:

    READING EXTENSIONS

    RETIREMENT BENEFITS add:

    • ERM-606-12: Fixed Income Securities, Tuckman, Second Edition, Chapter 7, Key Rate and Bucket Exposures (included in original study note set)

    INDIVIDUAL LIFE AND ANNUITIES no changes

    GROUP AND HEALTH add:

    • ERM-508-13: Pricing Long Term Care, pp. 9-22 (new, use this link)
    • ERM-509-13: PPACA MLR Regulations (new, use this link)

    INVESTMENT no changes

    GENERAL INSURANCE no changes

    GENERAL CORPORATE ERM add:

    • ERM-705-12: P&C RAROC: A Catalyst for the Improved Capital Management in the Property and Casualty Insurance Industry (included in original study note set)

    If you have any questions or need copies of any of these study notes please contact Aleshia Zionce at azionce@soa.org