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

Description: The editors provide highlights of the articles included in the August 2015 issue of Risk Management.

Description: This paper will show how the NAIC formula and others can be allocated by line of business by the use of partial derivatives of RBC.

Description: Key points of the conceptual framework of China’s new solvency system, the “China Risk Oriented Solvency System” (C-ROSS).

Description: Presented at May 1985 Spring Meeting. This session discussed: Hurdle rates, Internal rate of return, Payback, Net present value, Lease versus buy decisions, Build versus buy decisions, Application to computer hardware and software decisions, Project budgeting, Post-implementation audit.

Description: Presented at May 1985 Spring Meeting. Discusses: Target surplus formulas for specific product lines, Projecting product line surplus needs, How cost of capital is charged to product lines, Criteria to use in allocating capital to or withdrawing capital from specific product lines, Differing techniques appropriate for stock and mutual companies, Differing techniques appropriate for the United States and Canada, How capital allocation relates to regulatory requirements, How capital allocation relates to competition in other industries.

Description: This paper provides a novel approach to the valuation of the market value of economic surplus that is stable and immune from “market noise”.

Description: The purpose of this paper is to build a bridge between the traditional methods of looking at financial risk and insurance risk. The paper starts by explaining the concepts behind VaR models of economic capital used in banking. Differences between actuarial and financial views of risk are reviewed and explained. The paper concludes with proposing, developing, and parameterizing a true VaR model of insurance loss reserve risk, which combines several lines of business. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: Research projects in pension - Pension Risk Management: Derivatives, Fiduciary Duty and Process.

Description: In this paper, we formulate the Capital Allocation problem as an optimization problem in which we seek the mix of business that maximizes an insurance company’s Expected Net After Tax Income subject to a constraint on the Tail Value at Risk TVAR. Using the method of Lagrange multipliers, we demonstrate that the returns on the respective TVAR contributions, so-called RORAC, are equal across all lines of business when the mix of business is optimal. Although the discussions in this paper center on the TVAR, the conclusions hold true for any conditional expected value measure. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.