Description: This study attempts to measure incidence rates, loss severity, and expected basis-point loss associated with credit risk events. The study identifies asset characteristics believed to influence credit risk and develops a process for gathering and evaluating intercompany credit risk data.

Description: Investment Fallacies: The Fallacy of the Fed Model

Description: Invest Fallacies: Active management overall performs different than passive management

Description: In this essay, we focus on the “Prospective Solvency Assessment” aspect of the NAIC’s ORSA. This places a spotlight on an insurer’s strategic decision making from a risk and capital management perspective. It requires those in senior management to describe actions they would take to address possible adverse changes in their risk and solvency position, i.e., what they would do to reduce risk, increase capital, and/or adjust the business strategy. We contend that by applying a slightly broader scope than the specific requirements of the NAIC’s ORSA, insurers can develop this into a valuable process to support risk-based decision making. In this essay, we initially consider how to determine which metrics to include in such a process and then discuss some important business requirements and practical challenges for implementing a calculation approach to support it. Part of the essay collection "Risk Metrics for Decision Making and ORSA"

Description: This is a simplified approach to calculating the variance of the whole life random variable in certain, very common circumstances.

Description: This is a summary of the presentation given during the ARC Conference. Its purpose was to give a brief introduction to subexponential behavior and to show that the family of subexponential distributions provides ideal characteristics to model insurance risks. Although the literature related to this topic accumulated quickly during the last years, a textbook explaining the applications of extreme value theory with intuition as well as insight was still to be written. Embrechts et al, {I 997} satisfies this need and most of the results presented here can be found in this new classic in the actuarial literature.

Description: This is a proof on Lidstone's theorem. It contains formulas for calculating policy dividends.

Description: This article discusses risk transfer and how difficult it is to define and describe. For actuaries, the challenge is to develop an analytical framework under which the presence of insurance risk can be identified and assessed.

Description: A discussion of how much risk public pension plans should take on.

Description: The costly, time-consuming and complicated process of enterprise risk management (ERM) can be improved in many companies and made less tedious for managers by using reasonable data and templates obtained from peer group entities. The models used to calculate economic capital (EC) often underestimate its value because they do not consider decision-maker perception about risk. We assume here that managers, as the decision-makers, have appropriate business understanding and they can provide substantial information about risk characteristics regarding all business processes. Therefore we are focused, in this paper, on collecting data from managers across the different businesses to derive the appropriate knowledge about risky events, the importance of particular types of risk, the relationship between the risk outcomes and the level of risk control in a particular industry. We conclude that the collected data has a high potential for use as a benc hmarking reference and analysis for improving ERM models for individual businesses.