Description: Results of a Survey of JRMS members re claims changes due to COVID

Description: The direct and indirect effects of the pandemic have impacted many actuaries’ work since the spring of 2020. This article addresses three considerations actuaries should account for when using risk evaluation models which are focused on projecting remote, highly unlikely losses: model effectiveness, asset risk, and insurance (mortality and mortality) risk.

Description: Summarizes the Section's sponsored 2011 Annual Meeting sessions: business meeting, receptions and 3 programs - 'IFRS: The Future of Accounting for Insurance and its Implications', 'Where Enterprise Risk Management Meets Capital Management' and 'Managing Longevity and Mortality Risks and their Global Activities', plus some non-technical sessions on successful retirement.

Description: The Society's Task Force to Study Risk of Loss from Changes in the Interest Rate Environment C-3 Risk Task Force was formed in March 1981 with the charge to quantify C-3 risk. The Task Force made a preliminary report as part of a panel discussion on C-3 risk at the Society's October 1981 meeting in Atlanta. This presentation provides an update on the progress to date and its future plans.

Description: In this article the author discusses creating a common language for ORSA, capital and stress.

Description: As an alternative to the widely-used 'return on economic capital' RAROC, this paper proposes a performance measure consistent with standard valuation models, and discusses its implications for prudential regulation. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: This monograph was presented at the 2011 Enterprise Risk Management Symposium, held March 14-16 in Chicago. The author, writing from a property-liability insurance perspective, notes that capital allocation is a theoretical exercise because all of a firm’s capital could be depleted to cover a significant loss arising from any one segment. However, firms do need to allocate capital for pricing, risk management and performance evaluation. In this paper, the cost of capital in financial markets is incorporated into the Ruhm-Mango-Kreps algorithm to yield one allocation that reflects the true cost of capital an insurer would face.

Description: Risk management and capital budgeting are two critical components of the corporate decision process. They often need to be considered jointly at the corporate level because of their natural interaction through the dependent risk exposures and other synergetic relationships within an intricate corporate structure in a dynamic business environment. . This paper develops an integrated framework that aligns these two important corporate strategies across business divisions to optimize the streamlined enterprise strategic goal in a multi-period setting. The proposed integrated framework can serve as a practical guideline for corporate executives to optimally coordinate capital budgeting and risk management at the enterprise level.

Description: Reinsurance reduces the required capital of the primary insurer but increases that of the reinsurer. Capital is costly. All capital costs, including that of the insurer and the reinsurer, are ultimately borne by primary policyholders. Reducing the total capital of insurers and reinsurers brings down the total capital cost and the total primary policy premium. A reinsurance arrangement is considered optimal—if it minimizes the total required capital. This optimal reinsurance is an attracting equilibrium under price competition. Evidence suggests an inverse relationship between the total required capital and the correlation between the losses held by different insurers and reinsurers. Examples are constructed to examine this and other properties of the optimal reinsurance.

Description: A discussion of the need to connect the interrelated requirements of reserve requirements, capital requirements, risk management, IASB requirements and so forth.