Description: Panelists discuss: [1] how they determine appropriate issuer and concentration limits in a below-investment-grade portfolio, [2] the best techniques for monitoring and managing exposures as they improve or deteriorate, and [3] opportunities for managing credit risk through synthetic structures and derivatives. From the 2002 Record of Society of Actuaries, Volume 28, No. 3. Session 55PD of the Boston Annual Meeting.

Description: In an effort to build a bridge between epidemiological and actuarial modeling, this paper analyzes possible financial arrangements made against expenses resulted from medical treatments given to insured patients. Based on classical compartment models, the first part of this paper designs insurance policies for susceptible participants facing the risk of infection and formulates the financial obligations of both parties using actuarial methodology. For practical purposes, the second part employs a variety of numerical methods for calculating premiums and reserves. The last part illustrates the methods by designing insurance products for the Great Plague in Eyam and the SARS Epidemic in Hong Kong.

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: 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: 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: 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: Presented at August 2011 46th Actuarial Research Conference. This paper focuses on mainly focus on the case in which the risk variable follows a distribution function from a max-domain of attraction.

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