Description: The editorial cautions that while the development of more sophisticated models may increase efficiency, it is important to consider the very real risk management costs associated with the increased complexity, efficiency and overconfidence in the predictive power of models.

Description: In this paper we give new general criteria for the weak convergence of one-dimensional distributions of generalized risk processes and describe the class of possible limit laws under an infinite growth of stochastic portfolio size and stochastic intensity of insurance payment.

Description: This paper introduces a rich stochastic modeling framework for understanding risks in multiple-decrement contracts. The example in the paper is a 20-year Term insurance contract. Not only are mortality and lapsation considered stochastic, but the parameters governing them are. For example, mortality risk is composed of four risk elements, including error generated in the underwriting process, volatility around the best estimate, catastrophic events that impact mortality, and the trend in mortality improvement or deterioration. When stochastically modeled, the relative contribution and risk profile of each risk element can be evaluated. Generating stochastic mortality results provides a distribution of results that an organization faces and the severity and incidence of the tail events.

Description: The direct and indirect effects of the pandemic have impacted many actuaries’ work since the spring of 2020. This article addresses three considerations actuaries should account for when using risk evaluation models which are focused on projecting remote, highly unlikely losses: model effectiveness, asset risk, and insurance (mortality and mortality) risk.

Description: Review of The Improbability Principle: Why Coincidences, Miracles, and Rare Events Happen Every Day, by prominent statistician David J. Hand.

Description: European insurance regulation pretends to capture and rely on the 1-year 1-in-200 VaR. But there cannot exist any scientific calibration of such measure. Why?

Description: This abstract describes a paper that considers a general risk model in which both the claim and income gain arrivals follow Poisson processes.

Description: This paper presents an algorithm for approximating the probability of ruin for a Poisson process - which is often used to model an aggregate claims process.

Description: This presentation from the 2011 46th Actuarial Research Conference is about the Haezendonck-Goovaerts risk measure for extreme risks.