Description: Wavelet models are used to analyze risk by time and frequency and provide richer information than time series models.

Description: From a session at the Spring regional meeting of the Society of Actuaries held in Atlanta, Georgia, May 24-25, 1999 Equity-indexed products require an asset strategy that matches the equity options embedded in the liability. The panel discusses the following: A. Two asset strategies 1. Purchasing equity options that match the liability options: Is this a perfect match or are there still unhedged risks? 2. Dynamic hedging using the mathematics of “the Greeks”: Is it self-insuring? B. Accounting issues with these strategies

Description: This article provides a very high level overview of accelerated underwriting programs and their history in the US marketplace. It then discusses setting up an actuarial control cycle for such products and some items related to risk management that are helpful in this setting. Pros and cons of retrospective studies, random holdouts, targeted holdouts and post issue analysis are discussed. A mathematical example of how to estimate the mortality impact of such programs from early emerging experience is provided.

Description: When companies engage in risk management activities, they can be seen as modifying their distributions of future outcomes. Often, this takes the form of trading off a sure cost for a decrease in some potential risk of loss. Companies may carry out these activities with several goals in mind, such as reduction in earnings volatility or preservation of capital. This paper will demonstrate a method for evaluating possible strategies by dividing the effects on costs and risks into three tranches: earnings, impact and estate. The tranches can be associated with different interests of the various stakeholders. This trifurcation analysis can help to explain the risk-reward trade-offs of different risk treatment alternatives and can aid in risk-related decisionmaking.

Description: We demonstrate an integrated enterprise risk management (ERM) solution to optimize the risk portfolio, identify natural hedges, create an optimal risk treatment plan, enhance risk culture, and facilitate risk reporting throughout the organization.

Description: This paper provides a description of a system using statistical spatial methods for measuring, analysis, and managing ERM losses. An example of its application to a delinquency rate in a residential mortgage portfolio analysis demonstrates how this methodology can help decrease a company’s exposure in high-risk areas and increase exposure in low-risk areas.

Description: Article is a detailed discussion of the Risk Management and Own Risk and Solvency Assessment (RMORSA) Model Act that was recently approved by the NAIC and is being adopted by legislatures across the country.

Description: Statistics were invented to describe heterogeneity and are now applied to tackle alea. It may not be appropriate. Let's clarify their field of relevance.

Description: Although rate structures where low-cost cohorts subsidize high cost cohorts may be justified from a actuarial, marketing, or legal standpoint, the subsidization creates risks which must be understood and monitored. This article presents the concept of subsidization signature to measure and interpret the effects of rate subsidization, and to assess the sustainability of rating structures and the sensitivity of business mix assumptions.

Description: This paper is Part 1 of a two-part submission. Part 2, “An Alternative Approach to Capital Allocation,” discusses using risk-replicating techniques that directly calculate the cost of capital. Such techniques can be used as a substitute for capital allocation. This paper expands upon current capital analysis by introducing a practical approach that considers the objectives of all stakeholders of an insurance company in setting appropriate capital targets.