Description: Statistics were invented to describe heterogeneity and are now applied to tackle alea. It may not be appropriate. Let's clarify their field of relevance.

Description: This paper is Part 1 of a two-part submission. Part 2, “An Alternative Approach to Capital Allocation,” discusses using risk-replicating techniques that directly calculate the cost of capital. Such techniques can be used as a substitute for capital allocation. This paper expands upon current capital analysis by introducing a practical approach that considers the objectives of all stakeholders of an insurance company in setting appropriate capital targets.

Description: The selection of the economic capital calculation approach becomes more of a modeling decision. Now let us pause here and think about the arbitrage-free assumption at the beginning. At any time, there can be only one price on any asset. If the company considers the price calculated above as the fair price for its products, then it must hold true that the same price has to be arrived at if the company uses a real-world pricing approach instead of a risk-neutral approach. This gives us a very good basis to calibrate the appro- priate economic capital.

Description: For several years there has been discussion in the insurance industry of the need for additional capital sources to participate in insuring the financial risk posed by natural catastrophes. A number of methods for accessing the capital markets have been introduced and some insurers are using these to hedge exposure to catastrophe loss. This paper summarizes some of the discussion and describes some of the methods proposed. It then focuses on one of these methods, the use of catastrophe insurance options. Results of simulations are given which may serve as a guide to insurers interested in using these options as part of their risk management strategy and also as an indication to investors of the value of these instruments as a new component of an investment portfolio.

Description: Presented at October 1985 Annual Meeting. Discusses managing risks via product design and investment strategy, and overview of the market and the risks.

Description: This essay advocates for the consideration of risk in an interdisciplinary framework. An "effective resilience" metric is introduced as a way to reflect an organization's exposure and response to an adverse event, and to measure the ability of the organization to mitigate and recover from the resulting reduction in its operating level. Part of the essay collection "Risk Metrics for Decision Making and ORSA"

Description: Response to David Kausch’s comments on the paper.

Description: Increasing uncertainties and volatility in financial as well as real goods markets increasingly reveal that controlling systems based on deterministic and pseudo-exact values are insufficiently eligible to manage the business activities. This raises the question how management systems can be modified to generate the adequate management impulses in volatile periods. Risk management deals from identifying, evaluating and aggregating chances and risks, which again determine the potential fluctuation range of relevant performance indicators. Everyday corporate life shows that risk management is considered important; but the corresponding processes to identify, evaluate and report chances and risks are seldom part of established decision criteria. This “paradox” lets assume that risks are managed in various differing and unsystematic ways. The combination of traditional controlling methods and risk management is not primarily a methodological challenge. The behavior of the whole organization, practiced over a long-year period, has to be transferred into a new corporate culture of transparent dealing with chances and risks. This paper describes the necessary change management process, which has to come along with necessary methodological modifications.

Description: This article discusses incentive compensation metrics set to motivate performance, retain people, satisfy legal constraints and Say-on-pay and promote good risk management. Alignment discussion between actual metrics characteristics and the behavior they promote.

Description: This article advocates for a lower variable part in salary and increase focus on other mechanisms (goal setting, simpler product, management, culture and processes). The psychological aspect of belonging to the incentive compensation pool is more important that the financial aspect.