Description: Metadata for entire issue

Description: Presented at May 2005 Spring Meeting. Panelists discuss annuity risk management, with particular focus on RBC and the proposed Actuarial Guideline on reserving, and how this can be applied to new product development as well as in-force product management.

Description: Panelists discuss: [1] investment quality as a dynamic investment consideration, [2] the impact of securitization on investment quality, [3] measuring default risk, and [4] the interrelationship between C-1 risk and C-3 risk. From the 1988 Record of Society of Actuaries, Vol. 14, No. 4A.

Description: This paper demonstrates the use of Quantile Regression in the development and understanding of conditional value at risk (VaR) models for enterprise risk management.

Description: The behavior of extreme paths in the usual stochastic interest rate models is not nearly so plausible as the behavior of their expected values and variances. This paper proposes a new class of models that deliver more plausible extreme paths while preserving the usual expected value and variance behavior. Along the way we derive the closed form solution for the traditional mean-reverting lognormal process, including the drift compensation.

Description: This paper is intended to acquaint actuaries with a simple and practical application of the ruin function technique in the determination of the C-2 mortality risk reserve needed for individual life insurance business. Followed by 2 discussion papers submitted

Description: Presented at May 2005 Spring Meeting. Panelists discuss annuity risk management and how this can be applied to new product development, as well as in-force product management. Also discussed are the proposed C-3 Phase II capital determinations for various guarantees with and without a hedging program.

Description: Project portfolio risk management and risk analysis form one of the critical components of enterprise risk management. Organizations measure and analyze risks associated with projects, project portfolios, and programs. The important step of the process is quantitative risk analysis of project schedules using event chain methodology (ECM). ECM is a stochastic modeling technique for schedule risk analysis. All risks, including schedule and nonschedule-related risks, are assigned to a particular project and within this project to the particular activity or resource. Further, ECM allows one to model the relationship between project risks by defining risks that cause or trigger other risks. All risks and relationships between them will be presented on the project or portfolio Gantt charts using event chain diagrams. After risks are assigned to project and portfolio schedules, Monte Carlo simulation of the project schedule is performed. ECM simplifies complex risk analysis process.

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: Read the March 2017 issue of Small Talk published by Smaller Insurance Company Section. Practical information on trends that impact sections and activities.