Description: A presentation at the Actuarial Research Conference in August 2006 in Montreal. This paper discusses the Basel VaR Value at Risk test of a bank's VaR model. It proposes an alternative, Quality Control of Risk Measures QCRM Hypothesis test. The alternative is more likely to reject an incorrect VaR model.

Description: In this article, the author examines the black holes that arise every day in the form of pressures such as: competitive, top line growth, staff expertise, and regulatory to name a few.

Description: List of recent publications that may be of interest to readers of Risk Management newsletter.

Description: Demonstrating that incentive maximization could lead to failure using game theory. This is illustrated by the optimum strategy for the Prisoner Dilemma single period, multi period and infinite period that could be mutually destructive or beneficial.

Description: The author recommends the use of "minimally destructive scenarios" as part of an ORSA process, in order to deal with cognitive bias that can occur in risk decision-making. Part of the essay collection "Risk Metrics for Decision Making and ORSA"

Description: Some of the uncertainties related to catastrophe models are explored, leading to the suggestion that the actuary is well suited to understand and use these in the context of an ORSA exercise. Part of the essay collection "Risk Metrics for Decision Making and ORSA"

Description: When using models a company can develop blind spots to risks. This article explains how to recognize the weaknesses in the models by recognizing the markets response to the innovation within the insurance product. Part of the essay collection "Risk Metrics for Decision Making and ORSA"

Description: This article explores reasons for plan sponsors to consider lump-sum payouts. The author suggests for plan sponsors looking to reduce risk, the factors outlined in the article suggest that sponsors may benefit from considering risk-transfer opportunities much sooner than they may have anticipated.

Description: Building on the Part 1 article, Introduction to the Representative Scenarios Method, this article describes testing the methodology with respect to four product types, fixed indexed annuities with GLIBs, level term life insurance, universal life with secondary guarantees, and variable annuities with GLWBs. This Part 2 article describes testing results, refinements to the RSM methodology, and next steps.

Description: An insurance product’s return on required equity demonstrates how successfully its results are covering the company’s basic capital. Using some simplified assumptions, it is possible to calculate this return ratio and decompose it without a full projection of liabilities.