Description: Chairperson’s column discussing the state of the world today and how that influences investment strategies and describes to seminars the section sponsored to keep members apprised of changes.

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: Article Society Seminars by Adams in The Actuary, February 1979, Volume 13, Number 2

Description: Calculating the risk adjustment confidence level disclosure required by IFRS 17 if the risk adjustment itself is calculated using a cost of capital approach

Description: We consider a class of compound renewal risk process with claim waiting times have a discrete Km distribution. The classical compound binomial risk model is a special case when m = 1. Both recursive and explicit formulas are derived for the expected discounted penalty function due at ruin, for the surplus before ruin and the deficit at ruin. Many ruin related quantities can be analyzed through the penalty function, e.g., ruin probability, the p.g.f. of the time of ruin, joint and marginal distributions of the surplus before ruin and the deficit at ruin, claim causing ruin, as well as their moments. Detailed discussions are given in two special cases: claim sizes are rationally distributed, or the claim sizes distribution have a finite support.

Description: In this Chapter we present a novel way for estimating aggregated EC figures based on Bayesian copula estimation. Contrary to the classic approach of using a single inter-risk- correlation matrix we derive a probability distribution of possible correlation matrices that enables us to tackle the important issue of parameter uncertainty. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This paper shows how discrete multivariate analysis or multidimensional contingency table methods may be applied to data arising in actuarial work. A brief introduction to the theory is followed by two detailed examples of its application. Finally, the concluding remarks indicate how the procedure could be incorporated into a complete rate-making procedure. This work was performed for the U.S. Department of Housing and Urban Development.

Description: Economic capital is an embedded part of the banking risk management and regulatory framework. The insurance industry has relied on rating agency and regulatory formulas that have been criticized as overcapitalizing and not appropriately differentiating risk drivers in the capital formulation. The emergence of C-3 Phase I and C-3 Phase II have introduced an economic approach to capital in the insurance industry. This half-day seminar takes a detailed look at the subject of economic capital. From the Record of the Society of Actuaries 2005, Volume 31, No. 1: 2005 New Orleans Life Spring Meeting, May 22-24, 2005, Session 9 Seminar.

Description: This paper was published as chapter II of the 1987 Valuation Actuary Handbook. The authors discuss basic tools for analyzing cash flows, including duration, scenario testing and accumulation vs. present value approach. Discounting of cash flows is discussed including the limitations of using a level interest rate. The final section discusses discounting of interest sensitive cash flows, including a discussion of the disadvantages and advantages of duration analysis. The paper concludes that “duration analysis cannot replace traditional simulations analysis but should be seen by the valuation actuary as a valuable adjunct.”

Description: This material, Appendix II of the 1987 Valuation Actuary Handbook, is an appendix to Chapter II of the Handbook, ‘Methods of Analyzing cash Flows to Test for Reserve Adequacy.’ In this appendix, the authors provide more detail on what they call cash-flow based surplus, and how this concept can be used. It is defined as the amount of cash that could be removed and leave assets sufficient to mature all benefits on a true economic basis, i.e. ignoring statutory accounting requirements, under an assumed interest rate and experience scenario.