Description: This paper presents a value-at-risk platform for integration of assets and liabilities in a rigorous risk management framework. The model measures all major risks faced by a P&C company. The paper demonstrates how this new technology can be used to assist in maximizing capital efficiency and migrating from a risk management environment governed almost exclusively by ad-hoc rules of thumb to one governed by true risk management principles. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: 2011 SOA Enterprise Risk Management Symposium, Chicago. This is an abstract of the referenced article.

Description: This paper builds a model that quantifies the natural hedging benefits of a portfolio of both variable annuities and equity indexed annuities. The model is based on risk-neutral option pricing theory and risk-adjusted performance measure, RAPM. Through a double-tier simulation framework, an optimum product mixture of those two contracts is achieved that provides the best RAPM and therefore deploys capital the most efficiently. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: Insurance company issues that do not necessarily arise in banks are identified and utilized to develop insurer ERM modeling approaches that start from the work done for banks but respond to insurance-specific matters. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: 2011 SOA Enterprise Risk Management Symposium, Chicago. The stated purpose of this paper is to consider whether a more comprehensive and timely measurement framework for risk exposure is now needed and to examine one possible approach. This paper proposes a new approach to risk measurement that, along with capital measurement and more rigorous oversight, will allow banks an ability to manage risk.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This study investigates whether simulation-based models can be used to predict liquidity risk for banks, which must comply with Basel III by January 2015. The paper looks at the process of developing a measurement framework using Black-Scholes and Merton’s asset-based models to measure liquidity risk.

Description: Most, if not all, ERM frameworks recognize the added value that the quantification of risk brings to the overall risk management process. This paper discusses the need for the development of a quantification framework, which is a clear opportunity for the actuarial and mathematical communities. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: 2011 Enterprise Risk Management Symposium, Chicago. The authors' stated proposal is to keep formal compliance Key Performance Indicators to support Risk Management system implementation and to have a business plan based on risk assessment.

Description: The purpose of this paper is to outline a framework that measures 'decision' and to argue that such a measure is the rightful focus of the enterprise. The paper develops the principle of maximizing expected utility as a normative decision theory from its philosophical roots in order to motivate its proper usage i.e., to the enterprise's ultimate good. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This is the abstract of the entitled paper.