Description: “Non-traditional” guarantees refer to guarantees that are in addition to traditional mortality, expense, and interest guarantees. Examples of such types of guarantees are death and living benefits on variable annuity contracts and no-lapse guarantees on universal life or variable universal life products. The purpose of this paper is to offer practitioners an overview of the various issues concerning the pricing of these guarantees, the many other issues which need to be analyzed and addressed in the determination of risks and the management of the block of business, and the results of a company survey of practices. This paper is based on the working knowledge of the authors, a broad compilation of literature and the company survey results. At the end of most sections of the paper, we have provided a list of resources which we have selected as some of the best sources available for those practitioners interested in researching the subject matter further.

Description: This paper studies the statistical theory underlying minimum surplus required to protect a group insurer from the insurance, or C2, risk. Followed by 2 submitted discussion papers

Description: Research report describing the results of an Emerging Risks Survey conducted in 2016. The report, the tenth in a series, includes comparisons to the previous surveys.

Description: Research report describing the results of an Emerging Risks Survey conducted in 2013. The report includes comparisons to the five previous surveys as well as a survey sent to INARM members in April 2008.

Description: Sometimes, rare things happen and the least expected occurs. Indeed, some events occur once or twice in a lifetime leaving little room to learn from experiences. In financial markets, extreme events, no matter how rare, could have a profound impact on a company or even the whole country. Insurers are also not free from the impact of catastrophic large-scale extreme events. As a result, with pervasive economic and financial revolutions sweeping our world and potential devastative catastrophes, the increasing interest in tail risk management is fuelled by practical issues, including investment downside risk and insurance catastrophe risk. Thus, developing statistical techniques to model extreme investment and insurance losses is certainly a major task for risk managers. the purpose of our paper is to apply moment methods to estimate the joint events such as concurrent extreme investment loss and insurance loss. A novel aspect of this article is that it takes into account the correlation between different assets and insurance lines of business.

Description: Research report describing the results of an Emerging Risks Survey conducted in 2012. The report includes comparisons to the four previous surveys as well as a survey sent to INARM members in April 2008.

Description: This paper employs the theory of real option pricing to address problems in the area of operational risk management. Particularly, it develops a two-stage model to help firms determine the optimal triggers in the event of an influenza pandemic. The first stage proposes a regime-dependent epidemic model to simulate the spread of the virus, depending on whether the firm is active or inactive. The second stage views the reactivation decision as a call option and the suspension decision as a put option, and uses dynamic programming method to determine the optimal switching thresholds.

Description: In his original monograph on portfolio selection, Markowitz [1952] discusses the tradeoff between the mean and variance of a portfolio. Since then, especially recently, much attention has been focused on asymmetric distributions to minimize risks with given return goal for investors who have special skewness preferences. To address this issue, this paper extends Krokhmal et al. [2002]’s approach by adding CVaR-like constraints to the traditional portfolio optimization problem. The CVaR optimization technique has the advantage of reshaping either the left or right tail of a distribution while not significantly affecting the other. Specifically, this approach is used to manage the skewness of asset-liability portfolios of financial institutions. In addition, the CVaR-like constraints approach is compared with traditional Markowitz method and some other alternatives such as, the CVaR approach [directly optimize CVaR], the Boyle-Ding approach as well as the mean-absolute deviation [MAD] approach. Numerical analysis provides empirical support for the superiority of CVaR-like constraints approach in terms of skewness improvement of mean-variance portfolios.

Description: This paper outlines a method of parametric modeling that may be used to produce forecasts and forecast intervals that will convey a measure of the reliance that may be placed on the forecasts. Followed by 2 discussion papers submitted

Description: Paper discussing issues pertaining to setting and managing issue limits and reinsurance retention limits for life insurance.