Description: Hear from the editor’s on the December 2018 issue of Risk Management published by the JRMS.

Description: This article discusses the impact of ERM on smaller insurance companies.

Description: Recently there have been several studies on the dividend payments prior to ruin in various risk models. By employing some new obtained results in the actuarial literature, this presentation analyzes the distribution of the total dividend payments in a risk model with multi-threshold dividend strategy, where the claim arrivals are modeled by a Markovian arrival process [MAP]. A piecewise integro-differential equation in matrix form is derived and solved analytically for the moments of present value of the total dividends prior to ruin. The presentation also discusses the differences between its method and other existing ones. An example with exponentially distributed claim amounts is illustrated numerically.

Description: Presented at September 1994 Valuation Actuary Symposium. Discusses analyzing and projecting financial risk in group health plans.

Description: Presented at October 1996 Annual Meeting. This session provides varying perspectives on corporate approaches to the macro management of risk. In this paper, areas such as risk identification, asset/liability management structure, and secular trend analysis will be discussed.

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: Essays advocating for incentive compensation linked to the level of risk in an organization.

Description: Read the August 2018 issue of Risk Management published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

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: This is the abstract of a paper that considers the pricing of equity-indexed annuities using risk measures and presents dynamic hedging strategies underlying these valuations. Since these products involve mortality as well as financial risks, the authors combine the actuarial and financial approaches to protect insurance companies against the unhedgeable mortality risk.