Description: Feature article discussing quantitative impact studies, QIS5, on Solvency II.

Description: Economic risk analysis has two dimensions: time and frequency. Asset return varies by time because of economic cycles and economic structural changes. Risk is higher during economic recessions and smaller during economic expansions. In addition, different economic structures may exist at different time scales. Risk measures calculated based on daily, weekly, monthly and yearly historical data can be very different. The appropriate frequency depends on the time horizon of the analysis. Therefore, it is important to measure economic risk at both the time level and the frequency level. However, time series analysis and statistical analysis that have been widely adopted in economic risk analysis focus on only one of the two dimensions. In this paper, wavelet models are used to enhance both time‐invariant analysis and time‐variant analysis. Wavelet models can systematically analyze risk by time and frequency and provide richer information than time series models. Using wavelet models, risk measurement can easily be adjusted based on time horizon in a consistent way. Equity VaR estimation is selected to demonstrate the application of wavelet analysis in 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 describes how insurers can expand the reach of their efforts with regard to Economic Capital EC into the broader enterprise risk management process. Some experts contend that can be done by shifting the focus towards value. EC has the potential to shed new light on valuable opportunities for insurers.

Description: This article describes the impact of the global acceptance of the SOA’s Chartered Enterprise Risk Analyst credential.

Description: Risk management techniques do not include system science. System science requires that the uncertainty of the world is incorporated into the results. The articles explains the difference between risk and uncertainty. Learn how risk practices create an overoptimistic view of future outcomes.

Description: Summary of April 2020 Investment Section Town Hall and come additional commentary.

Description: This article is based on the author's discussions with many executives of insurance companies regarding the challenges and limitations in ERM at its current state of evolvement. The following areas need to be addressed and improved on, in the author's opinion, to 'take ERM to the next level': 1. Reconciling Risk Concerns of Creditors and Shareholders. 2. Managing of Operational Risk. 3. Execution Risks. 4. Producing Credible and Useful Risk Adjusted Performance Measures. 5. Aligning Performance Metrics with Management’s Performance Measurement Philosophy.

Description: This article talks about replicating portfolios, a basket of financial instruments designed to replicate, as closely as possible, the value and market sensitivity of a target portfolio of liabilities in different economic scenarios.

Description: There will be inflection points in the value of an instrument when interest rates change. These inflection points could materially impact the approximation of value change using ALM metrics. In this part of the seven-part series, I will highlight: • How to identify the inflection points; • the range of rate changes where ALM metrics may be relied upon i.e., the “validity” range, outside of which recalculation of the ALM metrics is required and the potential that one needs to rebalance the portfolio; • a technique to improve on the approximation of value change beyond the validity range; and • a technique to convert non-linear change on the yield curve to be used with duration and convexity.