Description: 1997 Valuation Actuary Symposium, Session 17 discusses market value measures and its uses in asset liability management.

Description: This is Table 2 from a March 2011 presentation at the 2011 Enterprise Risk Management Symposium entitled Capital Allocation in the Property-Liability Insurance Industry.

Description: This paper reviews the Value At Risk concept, a financial risk management tool and discusses its application to insurance. Difficulties with this application are described and modifications suggested. An alternative tool, expressed as a risk adjustment to economic value, is suggested as an additional measure.

Description: The Committee on Finance Research makes available a research report exploring the mechanics and implementation of economic capital programs for life insurance companies. Discussion items include common methods for calculating economic capital advantages and disadvantages of each method.

Description: The management of The Guardian Life Insurance Company of America Guardian decided during 2006 to perform an economic capital EC analysis, with results to be delivered in the spring of 2007. A second generation EC analysis EC 2.0 was conducted from fall 2007 through spring 2008. This article describes EC 2.0.

Description: This article examines the emphasis that is currently being placed on assessing, monitoring and managing credit concentration risks.

Description: A table from an article in The Actuary Magazine entitled An Analysis of Risk Management Terminology - Your guide to speaking ERM with different industries.

Description: 2011 SOA Enterprise Risk Management Symposium, Chicago. In this paper, a multivariate quasi-negative binomial distribution is proposed to model frequency dependence among different risk types. The operational risk diversification effect is illustrated through frequency dependency modeled by the bivariate quasi-negative binomial distribution under a framework of Monte Carlo simulation.

Description: Economic risk analysis has two dimensions: time and frequency. Asset return varies by time because of economic cycles and economic structural changes. Risk is higher during economic recessions and smaller during economic expansions. In addition, different economic structures may exist at different time scales. Risk measures calculated based on daily, weekly, monthly and yearly historical data can be very different. The appropriate frequency depends on the time horizon of the analysis. Therefore, it is important to measure economic risk at both the time level and the frequency level. However, time series analysis and statistical analysis that have been widely adopted in economic risk analysis focus on only one of the two dimensions. In this paper, wavelet models are used to enhance both time‐invariant analysis and time‐variant analysis. Wavelet models can systematically analyze risk by time and frequency and provide richer information than time series models. Using wavelet models, risk measurement can easily be adjusted based on time horizon in a consistent way. Equity VaR estimation is selected to demonstrate the application of wavelet analysis in risk management.

Description: This article provides an introduction to group supervision and group capital and its importance in today's increasingly global insurance market. Additionally, the article examines the various methods used in practice for calculating group capital and the factors that companies should consider as they develop their group capital management strategy.