Description: Important tools used in property & casualty P&C insurance—predictive modeling and data mining—can be applied to more effectively model policyholder behavior risks in variable annuity VA contracts. In this article, a case study is used to demonstrate how a predictive modeling approach can improve upon traditional methods used to model VA lapse behavior.

Description: In this article, the author discusses the need to create a systemic risk regulator.

Description: In this article, the author discusses the capital shortfall an insurer faces because of the longevity risk on immediate annuities.

Description: In this article, the author discusses the risks involved with automobiles.

Description: This article focuses on how a risk appetite framework can help a company manage the “three-headed monster” and why a risk appetite framework is critical to effective business and risk management at both the corporate and product levels.

Description: September 2010 Issue of the Risk Management Section Newsletter.

Description: This article discusses how the industry as a whole is revisiting its risk management strategies in the wake of the financial crisis.

Description: This is the June 2010 issue of the Risk Management Section Newsletter.

Description: In this article the author compares ERM issues, strategies and scenarios to the process of driving to work on a four-lane highway.

Description: This article discusses the system in systemic risk and suggests management approaches for dealing with systemic events.

Description: Description of the increased gamma of the liabilities of a portfolio of variable annuities. Discussion of the sensitivity of gamma due to changes in policyholder behavior.

Description: This article focuses on risk mitigation strategies and intends to demonstrate how an organization, a financial institution in this case, realized significant positive impact on its bottom line by integrating risk management in its overall business development strategy.

Description: March 2010 Issue of the Risk Management Section Newsletter.

Description: Current risk management approaches for variable annuity business are not working very well in today's market turmoil.

Description: The management of The Guardian Life Insurance Company of America Guardian decided during 2006 to perform an economic capital EC analysis, with results to be delivered in the spring of 2007. A second generation EC analysis EC 2.0 was conducted from fall 2007 through spring 2008. This article describes EC 2.0.

Description: In this article, the author compares sailing to risk management.

Description: This article provides an overview of the commonly used structural credit risk modeling approach that is less familiar to the actuarial community.

Description: This article discusses Variable Annuities and the risks involved.

Description: June issue of the Joint Risk Management Newsletter

Description: This article serves as a Solvency II primer by first introducing the Solvency II framework and then identifying several implementation issues that are still being resolved.

Description: This article provides some insights into risk appetite and how it relates to ERM.

Description: This article addresses the key capital and risk management issues immediately confronting the industry.

Description: Various articles from past Risk Management issues translated into Spanish

Description: The problem facing risk distributors is that product pricing is sticky, whereas the market price of risk can be quite volatile. This disconnection can become particularly severe during market downturns. The problem facing risk insurers is maintaining market share in benign market conditions when the market price of risk is low. Strategies that are dynamic with respect to time are difficult in practice, since they require more capital in volatile markets.

Description: It is the belief of this author that the subprime mortgage mess was none other than a Ponzi scheme repackaged into 21st century financial engineering clothes. What makes this scheme particularly disastrous is that the 21st century Ponzi mortgages were packaged and sold to investors and then trillions of dollars of derivatives were constructed based on the underlying mortgages, magnifying the problem by orders of magnitude.

Description: The new ways of calculating capital requirements are relatively untested. We may be witnessing the results of such a test today. As of this writing, the global economy is almost surely entering a serious recession. One of the reasons for this appears to be inadequate capital provisioning. The failure of capital regimes to protect financial entities and, by extension, their customers has had unfortunate effects on the markets and economies of the world.

Description: Modern economies are based on the premise that all the main players look after themselves. The bankruptcy and limited liability laws gave property speculators and banks a put option on society so they could walk away from losses above their capital base, yet enjoy all the gains of such speculation. They acted in what they believed were their own interests. It seems that society – well aware of what was happening – did not effectively look after its own interest and now must pay the price.

Description: Property-liability insurers use reinsurance as a cost-efficient substitute for capital, but in a disruptive event, reinsurance prices and availability can change sharply.

Description: A collection of essays written on the current financial crisis, lessons learned and future implications.

Description: The liquidity crisis and the insufficient depth of the market led to a strong correlation crisis: many risks that could be considered as close to mutually independent in the classical regime suddenly became strongly positively dependent. More correlation crisis may happen in the future. We need to be more careful with black-box tools and to train what I would define as “quanlitative analysts” “Quanls” in the Enterprise Risk Management ERM process, that is risk managers who are able to lead interdisciplinary ERM studies from a jointly qualitative and quantitative point of view, with an emphasis on dynamics.

Description: From a simple mathematical model of the underlying economics, I first predicted this crisis in July of 2004. An economic dynamic relating very low interest rates to the structure of the demand curve in the housing market made this outcome foreseeable, indeed inevitable. The current crisis had a mathematical cause. Essay on the collapse of the housing bubble.

Description: March issue of the Joint Risk Management Newsletter

Description: Author describes the challenges and risks facing Brazilian actuaries.

Description: Incoming section chairperson talks about the future of the section.

Description: Full French version of Risk Management, March 2007, Issue No. 2007.

Description: Full version of Risk Management, March 2007, Issue No. 10.

Description: The thrust of this article is that while ERM starts out as a compliance and corporate governance tool, well managed companies use ERM as a strategic tool that will help them increase shareholder value. To do so requires a synthesis of the actuarial techniques of insurance and the capital markets perspectives of corporate finance.

Description: Article from Risk Management Newsletter, July 2006, Issue 8, discusses the guaranteed minimal withdrawal benefit through the perspectives of four actuaries; the cash-aware actuary, the surplus-aware actuary, the volatility-aware actuary and the market-aware actuary.

Description: In this article, the author presents a case for using a Risk Return On Capital approach as a way to integrate desirable properties of the Economic Value Added approach and the Return On Risk-Adjusted Capital approach. The EVA approach has a shortcoming in that is does not reflect rating agency capital. The RORAC is computed as the ratio of expected total underwriting return to allocated risk capital, and represents the expected return for both benign and potentially consumptive usage of capital. The RROC approach measures returns after reflecting the mean rental cost of rating agency capital. Returns that are a reward for exposing capital to risk of loss are measured after reflecting the cost of carrying capital to support premium written and loss reserves.

Description: Full version of Risk Management, July 2006, Issue No. 8.

Description: This article discusses the pending book entitled 'Dynamic Risk Modeling Handbook.' The proposed scope and outline of the book is reviewed. This is a revision of the 'DFA Handbook' which was published in 1995.

Description: This article describes an initiative of the Chief Risk Officer Forum to perform a study to benchmark internal models, so as to discuss the admissibility of these models for regulatory purposes in the context of Solvency II. The results of and reactions to that study are discussed.

Description: Full version of Risk Management, March 2006, Issue No. 7.

Description: This article provides an excerpt of the results of a survey on policyholder behavior in the tail with respect to variable annuity guaranteed benefits. GMIB is specifically addressed.

Description: Article from Risk Management Newsletter, March 2006, No. 7 on the growing Risk Management Section. Year 2005 was a year of emarkable growth for the joint CAS/SOA Risk Management Section, as casualty actuaries joined in force. More than 500 members of the CAS have joined the section, bringing the total section membership to about 3,000.

Description: Article from Risk Management Newsletter, November 2005, Issue 6 is an update on the continuing education activities of the Risk Management Section.

Description: Competition for space in distribution channels has resulted in a proliferation of exotic options embedded in variable annuity products. This article discusses how this has created a need which can be addressed, in part, by hedging variable annuity guarantees with long-dated equity derivatives.

Description: Full version of Risk Management, November 2005, Issue No. 6.

Description: In this article, the author describes the skills needed for the Chief Risk Officer and he offers why actuaries may, or may not, be best suited to fill the role.

Description: Full version of Risk Management, July 2005, Issue No. 5.

Description: Article from Risk Management Newsletter, July 2005, Issue 5 that highlights a new frontier for actuaries unfolding in the insurance industry called Enterprise Risk Management.

Description: Full version of Risk Management, March 2005, Issue No. 4.

Description: This article discusses the problems created by the options in unit-linked annuities in the UK, variable annuities in the US and segregated fund contracts in Canada. Methodology for valuing the guaranteed annuity option is presented.

Description: This article discusses the impact of rising interest rates on annuity writers and life insurers and the risk management challenges it presents. Falling interest rates were addressed as well.

Description: Full version of Risk Management, November 2004, Issue No. 3.

Description: This article provides a brief summary of the 2004 ERM Symposium.

Description: Full version of Risk Management Newsletter, July 2004, Issue No. 2.

Description: This is the complete version of the Risk Management Newsletter, March 2004, Issue No. 1.

Description: This article discusses various approaches and processes that are involved with the risk management of financial conglomerates.

Description: This article discusses the growing exposure of ERM and where it's headed in the future. The author predicts that the ERM discipline will go deeper to reflect better the realities in our enterprises and that the science of ERM will leap forward through combining analytical skills and business knowledge, and through blending the insights of financial economics with the tools of management science.