Description: This paper provides a summary of the report, Back Testing of Investment Performance by Asset Class.

Description: Insurance is a technically demanding, risk-based, capital intensive business. It is therefore not surprising that the industry is fertile ground for the development of technical models used to measure and price risk and manage capital. This session presents the forces which have significantly influenced the evolution of risk and capital management techniques and organization in the insurance industry, including regulatory changes, financial market instability, enlightened self-interest and ultimately a focus on shareholder value creation. Combining over 20 years in the industry in risk and finance roles with a rigorous academic approach, the presenter will provide insights into the most important business questions which insurers face today and the technical tools and frameworks used to answer them.

Description: In this article, the author talks about how China’s insurance industry is entering a transitional period characterized by greater focus on risk management and governance.

Description: Risk adjustment is needed under IFRS 17 to reflect the compensation that a company requires for bearing the uncertainty about the amount and timing of the cash flows that arises from non-financial risk. Companies are also required to disclose the method and confidence level used for the calculation of the RA. However, IFRS 17 doesn’t specify a method and a confidence level, nor does it provide a list of specific risks that are considered to be non-financial risk. Companies need to define them based on their own preferences or existing practices. This article will introduce available approaches and discuss the confidence level approach with potential consideration stemming from industry preferences and illustrative examples.

Description: The article provides an update on the 2019 ERM Symposium with regard to date, location and content (General Sessions and Concurrent Sessions).

Description: A critical step in valuing a company for the purpose of financial reporting is the computation of the market value of economic surplus (MVES). This article provides a novel approach to the valuation of MVES that is stable and reasonably immune to “market noise.” Current approaches to the calculation of economic surplus of an insurance company generally define such surplus as the market value of the assets (MVA) supporting the liabilities less the market value of liabilities (MVL). While MVA is observable in the market, MVL is typically computed directly, without regard to the underlying supporting assets. Subtracting MVL from any value of assets that changes with market movements results in an unstable surplus. Consequently, a surplus that is not fully reflective of market sentiment has been rejected by many. This same approach is further used in the calculation of market consistent embedded value (MCEV) when a balance sheet approach is used .

Description: This discussion looks at the problems considered in drafting war-aviation clauses, plans for mitigating catastrophe hazard with respect to policyholders in the event of a major war, and steps which may be taken to minimize war disruptions of life insurance home office operations.

Description: This report summarizes the major findings from the 14th (2020) emerging risk survey.

Description: In a well-designed enterprise risk management (ERM) program, the firm integrates risk management into the strategic planning process, addressing strategic risk, financial risk, operational risk and hazard risk under a single overarching process. This is particularly important to large financial firms, such as property and casualty (P&C) insurers, which face a diverse set of risks. In contrast to previous studies that document a significant product line and geographic diversification discount relative to more focused competitors, our analysis suggests that firms with effective ERM programs exhibit a performance premium. Using the Standard and Poor’s (S&P) ERM ratings from 2006 to 2012, we find that product line diversification has a significant positive effect on value for more diversified firms with well-implemented ERM programs, as compared to those with weak ERM.

Description: The system of using securities exchanges and commodity futures contract exchanges is inadequate to the task. Neither can transfer the risks of derivative financial contracts to the capital markets. Regardless of the degree of regulation or the financial incentives, this system is insufficient. A new type of exchange is needed that copes with fast price changes – even from “long” to “short” – without inviting bankruptcy.