Description: In a very general setting this paper describes a straightforward, non-parametric approach to aggregate "stand-alone" or marginal distributions with desired correlations without imposing additional assumptions on those marginals. We then develop two optimizations for the enterprise, one based on maximizing return on economic capital and the other based on a mean -semivariance efficient frontier from the investor point of view.

Description: This month’s global emerging risk is the fall in value of the U.S. dollar. The SOA’s 2010 Emerging Risks Survey found that 49 percent of corporate risk managers identify the fall in value of the U.S. dollar as the top emerging risk. This is a growing concern because of the brewing economic storms that could collide to have a big impact on the value of the U.S. dollar. From the Bubble Risk Bulletin – March 2011.

Description: This month’s global emerging risk is China’s inflation. The SOA’s 2010 Emerging Risks Survey found that 41 percent of corporate risk managers predicted a Chinese economic hard landing as the emerging risk that will have the greatest impact over the next few years and need to be considered for thoughtful preparation for potential global repercussions. From the Bubble Risk Bulletin, July /August 2011.

Description: Discussion of the economics of a possible H5N1 pandemic, and its impact on Life, Health, and Property and Casualty insurers, in terms of areas of risk, especially underwritng risk, operations risk, and market risk.

Description: The article is authored by the chair of the Joint Risk Management Section and provides an update of recent changes relevant to members of the council, as well as interested non-members.

Description: Chronicles the journey made by Allstate to enhance its process for managing risk and ultimately find ways to better exploit risk opportunities.

Description: An update on the activities of the JRMS

Description: This is the second part of a 2 part series on Real options analysis (ROA). This article looks into the limitations of using financial option theory when doing real options analysis with projects that are long-dated and uncertain, such as: 1. First-degree homogeneity, 2. Uncertainty must derive from Brownian motion, and 3. Risk neutrality.