Description: This article analyzes the events leading to low interest rates and recommends careful asset/liability management and risk analysis to address future challenges with interest rates.

Description: This article summarizes Mr. Ohman’s discussion on C-3 Risk at the SOA 1981 Annual Meeting, which will appear in its entirety in the Record, Vol. 7, No. 4.

Description: This article deals with enterprise risk management and how the techniques contained within the discipline can help prevent unforeseen large mistakes in strategy, product design, and product management

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: Investment Fallacies: Simulation of Long-Term Stock Returns: Fat-Tails and Mean Reversion

Description: Recurrence relations arise naturally in life contingencies for 2 reasons - the aggregate law of mortality, which relates the distribution of the future life times of 2 insureds, if one of them and the other is that most life insurance products can be constructed as a portfolio of 2 basic product types. We use the above simple idea and the extra freedom provided by the fractional age distribution to reveal a structure behind some common recursions. The structure has obvious pedagogical value. More interestingly, a software based on it has been implemented which facilitates actuarial computing.

Description: In this note, the asymptotic behavior of the probability of ruin is derived by means of infinitesimal generators and Laplace transforms. Using these same tools, it is shown that the probability of ruin has an algebraic decay rate if the insurance company invests its capital in a risky asset with a price which follows a geometric Brownian motion. The latter result is shown to be valid not only for exponentially distributed claim amounts, as in Frolova et al. 2002, but, more generally, for any claim amount distribution that has a moment generating function defined in a neighborhood of the origin.

Description: Recently, there has been growing interest among insurance and investment experts to focus on the use of a tail conditional expectation as a measure of risk, since it shares properties that are considered desirable and applicable in a variety of situations. This paper examines above risk measure in the case of a multivariate gamma portfolio. We demonstrate the explicit formulas for tail conditional expectation and based on it capital allocation when the proposed multivariate model consists of dependent and independent gamma marginals

Description: This paper examines claim transaction data as experienced in the Canadian pet insurance industry. The current practice is to use an exposure unit approach to estimate the pure premium cost. This approach is applied in this paper in order to reveal certain cost patterns in accident, illness and death benefit costs.

Description: This article provides an overview of the financial results of managed care plans over time using a collection of the NAIC financial statements.