Description: Investment Fallacies: The Fallacy of the Fed Model

Description: This article discusses a good way for insurance companies to calibrate economic capital (tail risk level) that is consistent with the market opinion on its risk. It also establishes a bridge between a risk neutral evaluation and a real world evaluation.

Description: Description of new regulatory risk disclosure for private fund advisers.

Description: This article provides an analysis of Value at Risk VAR and its advantages and limitations as a tool for assessing and quantifying market risk. The article originally appeared in the August 1997 issue of Financial Engineering News and is reprinted with permission.

Description: Panelists at this session of the SOA 1998 Maui II Spring Meeting examine the basics of value-at-risk as an effective risk management concept and how it can be used to manage an investment portfolio.

Description: There are two major categories of risks that are unique in international business- currency exchange rate risk and country risk. Currency exchange rate risk includes transaction exposure, translation exposure, and economic exposure. Country risk contains political risk and economic risk. There are a few different methods to hedge currency exchange rate risk and country risk also discussed in the article. Before you decide to invest in a certain country’s market, ensure you understand the currency exchange rate and political risks associated with the investment by performing due diligence on the country’s economic, political and cultural condition.

Description: This article discusses risk transfer and how difficult it is to define and describe. For actuaries, the challenge is to develop an analytical framework under which the presence of insurance risk can be identified and assessed.

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: This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.

Description: Property and casualty insurers face risks in many key areas, such as operations, natural catastrophes and underwriting. Among the underwriting risks is the potential financial impact of adverse loss reserves development.This paper illustrates a model of loss reserve risk that will incorporate how risk evolves over time at annual time horizons.