Description: Investment Fallacies: A real-world approach to Value at Risk

Description: This paper discusses the actuarial risk measures and uses a variety of estimation techniques such as nonparametric approach, parametric methods and robust procedures. From 39th Actuarial Research Conference, Iowa City, Iowa, August 5-7, 2004.

Description: background history of the insurance industry and the role of actuaries within it, followed by the current environment and anticipated future environment.

Description: This is a letter from F.G. Reynolds, University of Waterloo, to Mr. C. Smith, Cologne Life Reinsurance Co. As an assignment the author had the students in his Risk Theory class extend the method of Trobliger to three levels of risk. Both the data of Trobliger and the data of Thyrion, which can be found on pages 27 and 16 of Seal's Stochastic Theory of a Risk Business, were fitted.

Description: The main objective of this study is to analyze and control a surplus dependent risk process, where larger surpluses allow for a wider underwriting policy. We focus here mostly on the diffusion approximation of the risk process. The results are derived in two papers Brownian motion in Risk Theory, submitted for publication, and Surplus dependent risk processes defined by stochastic differential equations, in preparation. We only include here a long summary of these papers.

Description: We apply decision theory to develop a credibility formula that minimizes a loss function that is a linear combination of a squared-error term and a second-derivative term. The squared-error term measures the accuracy of the estimator, while the second-derivative term constrains the estimator to be close to linear.

Description: Presents a way to study C-1 risk 'default risk' for fixed-income assets in the context of asset/liability management. This approach utilizes cash flow projections and Monte Carlo sampling.

Description: Case Study is used to see how effectively an approach based on combining products can reduce C-3 'interest rate' risk.

Description: Analysis of consequences of investment risk taking by public pension plans.

Description: This survey of emerging risks attempts to track the risk manager population‘s thoughts about emerging risks across time. The top 4 emerging risks from this third iteration of the survey are: 1. US current account deficit/fall in US dollar. 2. Blow up in asset prices/excessive indebtedness. 3. Oil price shock/energy supply interruptions. 4. Chinese economic hard landing.