Extreme Events for Insurers: Correlation, Models and Mitigation Study
The Society of Actuaries’ Financial Reporting
Section and Committee on Life Insurance Research announce the release of a
paper that is intended to be a primer on extreme event modeling and mitigation
for practitioners. It covers the complete cycle of extreme event risk
management, from identifying experience data sources, to extreme event
detection, to modeling and dependence analysis and finally to monitoring and
mitigation. Authored by Kailan Shang and Marc Vincelli, this paper
explores extreme events from the perspective of a global insurance company,
with an emphasis on market risk, credit risk, insurance risk, liquidity risk
and business risk. Extreme risk concepts and models are introduced from a
practitioner’s perspective. This report is not intended to be
all-encompassing, but rather to focus on the key aspects of extreme risk
analysis and its application.
The input data and R programs underlying the numerical examples
are also provided for informational purposes only. The
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The Sponsors would like to thank the
companies that participated in the study and the following individuals that
served on the Project Oversight Group:
- Tom Edwalds, Chair
- James Berger
- Dennis Radliff
- Robert Reitano
- David Wylde
- Ronora Stryker, SOA Research Actuary
- Jan Schuh, SOA Sr. Research Administrator
If you have questions or comments on
this research, please contact Ronora Stryker, SOA Research Actuary, at firstname.lastname@example.org.