Risk Management Research Reports

If you’re looking for research projects and reports on risk management topics, you’ve come to the right place. The SOA offers research, authored by an individual or a team of authors, for download in just a few clicks. Most reports are in PDF format.

 

2021

• Managing Investment Risks of Insurance Contractual Designs
  May
  The Society of Actuaries’ Committee on Finance Research and Joint Risk Management Section Research Committee are pleased to make available a research report developing a framework for quantifying and analyzing various forms of contractual designs.
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• 14th Annual Survey of Emerging Risks Key Findings
  January
  This report summarizes the major findings from the 14th Annual Survey of Emerging Risks.

2020

• Society of Actuaries Research Brief: Impact of COVID-19, June 12, 2020
  June 
  This Society of Actuaries Research Brief has been constructed to highlight some of the key features of the COVID-19 epidemic and contemplate the risks for the actuarial profession to consider in their work.
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• Future Long-Term Care in Canada
  May
  The Casualty Actuarial Society, Canadian Institute of Actuaries, and the Society of Actuaries' Joint Risk Management Section and the Joint Risk Management Research Committee are pleased to make available a new report demonstrating how ERM can be used for informing decision makers on the future of long-term care in Canada.
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• Macroeconomics-Based Economic Scenario Generation
  April
  

  The Society of Actuaries Financial Reporting Section and the Joint Risk Management Research Committee are pleased to make available new research introducing actuaries and others to dynamic stochastic general equilibrium (DSGE) models, a type of macroeconomic model.  

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• Negative Interest Rates
  March 
  View the new study examining negative interest rates and the insurance industry.
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• Systemic Risk in China’s Insurance Industry
  March 
  This report looks at identifying drivers of systemic risk in China’s insurance industry and develops a measurement method for systemic risk as well as systemic risk dependence between the insurance industry and other industries.
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• 13th Annual Survey Of Emerging Risks 
  March 
  The Casualty Actuarial Society, Canadian Institute of Actuaries, and the Society of Actuaries' Joint Risk Management Section is pleased to make available the full report from 13th annual emerging risk survey.
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• Policyholder Behavior in the Tail Joint Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2019 Survey Results
  March
  As part of its work, the PBITT working group issued its annual survey to gather the range of assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits.
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2019

• A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited
  December
  Sponsored by the Society of Actuaries Research Expanding Boundaries Pool, this report examines an encompassing method to allocating economic capital in insurance conglomerates.
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• 2019 Universal Life with Secondary Guarantees Survey: Survey of Assumptions for Policyholder Behavior in the Tail
  December 
  The PBITT Working Group presents a summary of the 2019 UL with Secondary Guarantees Survey.
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• 12th Annual Survey Of Emerging Risks 
  October 
  The Casualty Actuarial Society, Canadian Institute of Actuaries, and the Society of Actuaries' Joint Risk Management Section is pleased to make available the full report from the 2018 Emerging Risks Survey, the twelfth in the series.
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• 2019 ERM Monograph
  August
  In a collaborative effort, the Joint Risk Management Section, the Canadian Institute of Actuaries (CIA), the Casualty Actuarial Society (CAS), the Society of Actuaries (SOA), and The Actuarial Foundation are pleased to present papers from the 2019 ERM Symposium Call for Papers.
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• Copula Models of Economic Capital for Life Insurance Companies
  June 
  This report examines the use of a copula approach to build a predictive model to estimate the amount of economic capital a life insurance company needs to protect itself against an adverse movement in interest rates, mortality, and other risk drivers.
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• Policyholder Behavior in the Tail Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2018 Survey Results
  January
  The Joint Risk Management Section is trying to develop better estimates of policyholder behavior in the tail (PBITT). The mission of the PBITT working group is to examine and ultimately give guidance to actuaries on how to set policyholder assumptions in extreme scenarios.
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• Machine-Learning Methods for Insurance Applications-A Survey
  January
  The Society of Actuaries is pleased to make available a research report that provides a literature survey of methodologies applying machine learning to insurance claim modeling.

2018

• 11th Annual Survey Of Emerging Risks
  October
  The Casualty Actuarial Society, Canadian Institute of Actuaries, and the Society of Actuaries' Joint Risk Management Section is pleased to make available results from the 2017 Emerging Risks Survey, the eleventh in the series.
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• 2018 Universal Life with Secondary Guarantees Survey: Survey of Assumptions for Policyholder in the Tail
  September
  The PBITT Working Group presents a summary of the 2018 UL with Secondary Guarantees Survey.
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• Applying Image Recognition to Insurance
  June
  This research report discusses the impact of image recognition on the insurance industry.
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• National Risk Management: A Practical ERM Approach for Federal Governments
  April
  The Canadian Institute of Actuaries, the Society of Actuaries and the Joint Risk Management Section of the Casualty Actuarial Society, Canadian Institute of Actuaries, and the Society of Actuaries are pleased to make available a whitepaper on the application of enterprise risk management at a federal government level.
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• Effective ERM Stakeholder Engagement
  March
  The Joint Risk Management Research Committee announces the release of a new report on enterprise risk management (ERM) stakeholder engagement. Authored by Kailan Shang, this report examines current practices and identifies challenges to achieving ERM stakeholder buy-in. It also offers strategies to help overcome these challenges and improve ERM stakeholder engagement.

• Actuarial Review of Insurer Insolvencies, Future Preventions
  January
  Sponsored by the Canadian Institute of Actuaries (CIA), Casualty Actuarial Society (CAS), and Society of Actuaries (SOA), this study looks at causes of insolvency and decisions made by management, regulators, and policyholders over the life cycle of the insolvency. This study is intended to educate insurance professionals on historical insurer impairments and insolvencies and possible future prevention indicators.

• Policyholder Behavior in the Tail Joint Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2017 Survey Results
  January
  As part of its work, the PBITT working group issued its annual survey to gather the range of assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits.

2017

• 10th Survey Of Emerging Risks
  October
  The Casualty Actuarial Society, Canadian Institute of Actuaries, and the Society of Actuaries' Joint Risk Management Section is pleased to make available a research report describing the results of the 2016 Emerging Risks Survey, the tenth in the series.
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• 2017 Universal Life with Secondary Guarantees Survey Summary
  July
  As part of its work, the PBITT working group issued a survey that gathered the range of assumptions actuaries use in pricing, reserving, and risk management of UL with Secondary Guarantees. This report summarizes the findings of the survey.
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• 2017 Enterprise Risk Management Symposium
  April
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• Parameter Uncertainty
  April
  Sponsored by the Casualty Actuarial Society (CAS), Canadian Institute of Actuaries (CIA), and the Society of Actuaries' (SOA) Joint Risk Management Section and the Joint Risk Management Research Committee, this study examines and describes parameter uncertainty.
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• Mitigating Extreme Risks through Securitization
  March
  Sponsored by the Society of Actuaries Research Expanding Boundaries Pool, this research report introduces readers to Insurance-linked securities (ILSs) emphasizing catastrophe bonds (CAT) and industry loss warranties (ILWs). The report also discusses the pricing of ILSs and issues in utilizing them as hedging tools.
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• Reviewing Systemic Risk in the Insurance Industry
  February

2016

• Policyholder Behavior in the Tail Joint Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2016 Survey Results
  October
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• Modeling the Unemployment Risk in Insurance Products
  October
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• 2015 Emerging Risks Survey
  September
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• Social Media Analysis of Catastrophic Responses: Twitter Data Analysis of Tornadoes  
  June
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• Policyholder Behavior in the Tail Risk Management Section Working Group UL with Secondary Guarantee 2015 Survey Results  
  April
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• 2016 Enterprise Risk Management Symposium
  April

2015

• 2014 Emerging Risks Survey
  December
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• Risk Implications of Unemployment and Underemployment
  December
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• Emerging Risks Survey Reports and Articles
  December
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• Life Insurance Regulatory Structures and Strategy: EU Compared to US
  September
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• ORSA Process Implementation for Internal Stakeholders   
  September
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• Policyholder Behavior in the Tail Joint Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2015 Survey Results   
  September
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• Extreme Events for Insurers: Correlation, Models and Mitigation Study  
  May
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• Front-Page Risks: Risks Commonly Occurring and Reported in the Canadian News
  April
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• 2015 Enterprise Risk Management Symposium
  April
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• Risk Assessment Applications of Fuzzy Logic
  March
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• Policyholder Behavior in the Tail Risk Management Section Working Group UL with Secondary Guarantee 2014 Survey Results  
  February
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• Regulatory Risk and North American Insurance Organizations: A Company Perspective
  February

2014

• Policyholder Behavior in the Tail Joint Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2014 Survey Results    
  September
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• Regulatory Risk and North American Insurance Organizations
  August
•  
• Sustained Low Interest Rate Environment: Can it Continue? Why it Matters
  June
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• Model Validation for Insurance Enterprise Risk and Capital Models
  April
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• 2014 Enterprise Risk Management Symposium
  April
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• 2013 Emerging Risks Survey
  March
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• Policyholder Behavior in the Tail Risk Management Section Working Group UL with Secondary Guarantee 2013 Survey Results
  January

2013

• Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas
  December
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• Applying Fuzzy Logic to Risk Assessment and Decision-Making
  November
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• Natural Resource Sustainability Summit
  November
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• Policyholder Behavior in the Tail Joint Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2012 Survey Results
  September
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• 2012 Emerging Risks Survey
  May
•  
• 2013 Enterprise Risk Management Symposium
  April
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• When Black Swans Aren’t: Holistically Training Management to Better Recognize, Assess, and Respond to Extreme Events
  March
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• Comparative Failure Experience in the U.S. and Canadian Life Insurance and Banking Industries from 1980 to 2010
  March
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• Policyholder Behavior in the Tail Risk Management Section Working Group UL with Secondary Guarantee 2012 Survey Results
  March
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• Application of Actuarial Science to Systemic Risk
  February
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• Value Investing and Enterprise Risk Management: Two Sides of the Same Coin
  January

2012

• Determining the Impact of Climate Change on Insurance Risk and the Global Community Phase 1: Key Climate Indicators
  November
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• Development of a Network Model for Identification and Regulation of Systemic Risk in the Financial System
  October
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• 2011 Emerging Risks Survey
  April
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• Risk Appetite: Linkage with Strategic Planning
  April
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• 2012 Enterprise Risk Management Symposium
  April
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• Policyholder Behavior in the Tail Joint Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2011 Survey Results
  March
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• The Scope of Developing Optimization Models for Insurer's Operational Risk from Risk-Return Trade-Off Perspective
  February

2011

• Actuarial Methods for Valuing Illiquid Assets
  December
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• Policyholder Behavior in the Tail Risk Management Section Working Group UL with Secondary Guarantee 2011 Survey Results
  November
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• 2011 Enterprise Risk Management Symposium
  April
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• 2010 Emerging Risks Survey
  March
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• Policyholder Behavior in the Tail Joint Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2010 Survey Results
  January

2010

• A Study of International Solvency Regimes
  November
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• Determinants of Insurers' Reputational Risk
  October
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• Reflecting Risk in Pricing Survey Report
  September
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• Potential Impact of Pandemic Influenza on the U.S. Health Insurance Industry
  July
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• 2009 Emerging Risks Survey
  May
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• Exploration of Reputational Risk from the Perspective of a Variety of Stakeholders
  May
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• Policyholder Behavior in the Tail Risk Management Section Working Group UL with Secondary Guarantee 2009 Survey Results
  April
•  
• 2010 Enterprise Risk Management Symposium
  April
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• Enterprise Risk Management (ERM) Practice as Applied to Health Insurers, Self-Insured Plans, and Health Finance Professionals
  January

2009

• Policyholder Behavior in the Tail Joint Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2009 Survey Results
  October
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• The Financial Crisis and Lessons for Insurers
  September
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• Corporate Reputational Risk and ERM: An Analysis from the Perspective of Various Stakeholders
  May
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• 2009 Enterprise Risk Management Symposium
  April
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• Emerging Risks Survey
  January

2008

• Policyholder Behavior in the Tail Risk Management Section Working Group UL with Secondary Guarantee 2008 Survey Results
  November
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• Copula Phase Transitions Report
  September
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• Economic Capital: Correlation Matrices and Other Techniques–A Survey and Discussion
  September
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• Policyholder Behavior in the Tail Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2007 & 2008 Survey Results
  August
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• 2008 Enterprise Risk Management Symposium
  April

2007

• Risk Based Capital Covariance Project
  September
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• Application of Structural Equation Modeling to the Linkage of Risk Management, Capital Management and Financial Management for the Insurance Industry
  July
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• Risk Management Terminology
  June
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• Linkage of Risk Management, Capital Management and Financial Management
  April
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• 2007 Enterprise Risk Management Symposium
  April

2006

• Policyholder Behavior in the Tail Project–Annuity Lapse Modeling
  November
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• Enterprise Risk Management for Property–Casualty Insurance Companies
  August
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• 2006 Enterprise Risk Management Symposium
  April

2005

• Policyholder Behavior in the Tail Risk Management Section Working Group Variable Annuity Guaranteed Benefits Survey Results
  November