Description: The CAS is pleased to present its Research Paper, “Users’ Guide to Economic Scenario Generation in Property-Casualty Insurance”. Although there are cases in the literature about the use of economic scenario generators (ESGs) in the property casualty industry, they are far more commonly used for life insurance companies. Our hope is that this paper will serve as a comprehensive guide to the implementation of ESGs in the non-life space and spark interest in research into new applications of ESGs.

Description: In this article, the author discusses the capital shortfall an insurer faces because of the longevity risk on immediate annuities.

Description: The author calls for a re-examination of potential new avenues for growth for the actuarial profession, both in new areas and traditional areas.

Description: Evan and Brad interview Larry Moews, Chief Actuary and Risk Officer of SCOR. The discussion focuses on Larry's insights and experiences in Risk Management.

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: In this article, industry experts who have gone through the journey of establishing and executing a mature actuarial model risk management function share their tips and tricks through three case studies that convey commonly faced issues

Description: The letter from the editor discusses some recent loss events driven by model error and provides an overview of the articles in this issue of Risk Management.

Description: The focus of this article is that while Economic Capital can be a valuable component of the ERM process for insurance companies, an over-emphasis on EC, to the point of neglect of other steps in the ERM process, can reduce the effectiveness of an ERM program.

Description: The mismatch between how interest rate impacts the value of assets and liabilities could have material negative impact to companies’ earnings and surplus. To quantify and mitigate the impact of such mismatches, companies have used matching a combination of duration and convexity. I will review these measurement techniques and their limitations.

Description: Update of the activities being carried out by the Joint Risk Management Section