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 examines some new Bayesian models for loss reserving inspired by a consideration of some of the methods and techniques appearing in the traditional chain ladder literature. This includes a possibly order restricted hierarchical Bayesian model for the year over year development factors. The issues of reserve variability and ranges of reasonable reserve estimates are considered. A new Bornhuetter-Ferguson styled Bayesian method of estimate revision is also discussed. These Bayesian models can be implemented using Markov chain Monte Carlo MCMC methods in a variety of programming languages, and can serve as starting points for more advanced models. This paper describes their implementation in WinBUGS a specialized software program for MCMC simulations. Illustrative WinBUGS code is included.

Description: This paper discusses a problem in corporate finance, the problem of selecting from among a group of possible economic projects. This problem most certainly involves future contingent events and is a natural for consideration by actuaries interested in expanding into non-traditional practice areas.

Description: In the context of insurance economics, the PH-transform is justified through some basic postulates on market premiums. In this paper the PH-transform is applied to the present value random variable in life insurance and annuities. It provides an alternative to the commonly used equivalence principle in life insurance and annuities premium calculation. This research project is sponsored by a joint AERF/CKER Grant of the Society of Actuaries.