Description: This report looks at identifying drivers of systemic risk to China’s insurance industry and develops a measurement method for systemic risk as well as systemic risk dependence between the insurance industry and other industries.

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.

Description: This study examines and describes parameter uncertainty. The paper provides structures to incorporate parameter uncertainty in quantifying risk.

Description: In order for an organization to benefit from artificial intelligence/machine learning (AI/ML) models, it requires the involvement of different business areas. During this webcast, professionals from data analytics, audit and risk areas will address challenges and provide solutions for working together to develop, implement, use and risk manage AI/ML tools. Throughout the discussion, the presenters will discuss: • Defining and exploring the challenges and objectives between data scientists, domain experts and control functions • Risk management – model risks and other risks • End-to-end model validation • Model performance vs. interpretability/understandability trade-offs • What to audit – auditor’s challenge and solutions

Description: Segregated Funds Seminar Illuminates Equity Guarantees Risks by G. Thomas Mitchell from The Financial Reporter, February 2000, Issue No. 41.

Description: This article departs from the usual GMWB pricing approach by assuming that the policyholder is always smart enough to act in his/her own best interest.

Description: This report discusses management decision making practices and the need for actuaries to build the appropriate level of variability for management actions in stochastic models to achieve a more realistic range of future experience among the stochastic scenarios.

Description: This research report examines readers to Insurance-linked securities (ILSs) emphasizing catastrophe bonds (CAT) and industry loss warranties (ILWs).

Description: 2011 ERM Symposium, Chicago. This is the abstract of the entitled paper.

Description: This is the second part of a 2 part series on Real options analysis (ROA). This article looks into the limitations of using financial option theory when doing real options analysis with projects that are long-dated and uncertain, such as: 1. First-degree homogeneity, 2. Uncertainty must derive from Brownian motion, and 3. Risk neutrality.