Description: The author constructed the efficient frontier of new business sales by modeling the embedded value and economic capital against a universe of possible growth rates of the three lines of business in a typical three-year planning horizon. The ERM function can use the efficient frontier of new business to provide a more rigorous analysis of the impact of growth rates on the firm’s overall capital efficiency and value creation, hence forming a feedback loop with the businesses in the planning process to optimize the growth strategy.

Description: Management's goal is to continuously optimize the economic value of the firm, subject to regulatory constraints, with the use of financial valuation of the firm’s balance sheet. Both the assets and liabilities can be perceived as derivative securities. This chapter discusses a variety of financial economics issues with this common theme. From Asset-Liability Integration, M-FI02-1.

Description: In this note, we rearrange the statement and the proof of a theorem in Greville. The presentation appears to be more compact the materials, however, are not new.].

Description: Within this paper, we take an applied approach to examine the economics of ERM. We provide readers with a series of economically based warning signs that might signify significant changes in asset prices. These warning signs are based on the economic concepts of elasticity of demand, elasticity of supply and herd behavior. Our recommendations provide practical guidance to directors, executives and practitioners regarding ways in which they can mitigate risks in today’s volatile environment. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This paper introduces a new direction for evaluating numerically survival probabilities pointed out by H. Seal in his book ‘Survival Probabilities: The goal of Risk Theory’. Some of special cases can be considered as a weighted Poisson process with an infinitely divisible mixing distribution. This property is well known for the negative binomial case [gamma mixing distribution].

Description: This paper discusses the quality of healthcare verses the price of healthcare and puruses individuals and doctors making decisions for their own healthcare costs and services.

Description: The two-parameter Pareto distribution is a commonly used model in reliability and risk modeling. Minimum variance unbiased estimates of the parameters of Pareto distribution are not known. In this paper, we propose and investigate a method of estimation of the parameters of the Pareto distribution. This method is based on minimization of the Kolmogorov-Smirnov distance between the empirical cumulative distribution function [cdf] and the cdf of the Pareto distribution.

Description: The Strategic Risk Register System SRRS is proposed by the authors as a new approach to modeling and visualizing the interconnectivity of risks in an ERM context. SRRS has been successfully applied in practice, and a case study is deployed to demonstrate the methodology.

Description: The paper argues that Risks Evaluation at its core is a psychological process that can lead to the special type of chaos described in modern Chaos Theory. It will argue that quantification and scientific modeling does not exempt risk assessment from the potential for deep biases. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: An insurance company starts with an initial surplus, collects premium, pays claims to policyholders and pays dividends to stockholders. What remains is the following year’s surplus. The process continues. This paper describes how to calculate the distribution of surplus for any given year. With these distributions, one can make the calculations of premiums and dividends.