Description: In this article, we will describe EY’s five-pillar approach that balances practicality with comprehensiveness, and how this applies to LTC model validation.

Description: Constant Proportion Portfolio Insurance (CPPI) performance is assessed on realistic assumptions and dynamic strategies to mitigate the so-called ”gap risk”.

Description: Read the August 2018 issue of Risk Management published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: The article explores the possibility of using the emerging technology for life insurers to build a monitor system for better risk and profitability management.

Description: April 2018 issue of The Modeling Platform by the Modeling Section. Practical information for actuaries, trends that impact section, section activities.

Description: Tools that should be in place to support a validation program and covers a case study of a validation of an Actuarial Guideline 43 (AG43) model.

Description: Read the French language version of the March 2018 issue of Risk Management published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: The standard for measuring retirement income adequacy has been the final earnings replacement rate (usually targeted at 70%). But - does it work?

Description: This is the second article in a two-part series examining the potential value to companies of implementing a company profitability and risk dashboard.

Description: Comments on Robert North’s paper, a real case study of disclosing MVL in a public employee retirement system.

Description: Read the December 2016 issue of The Modeling Platform published by the Modeling Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: Applications of Stress Testing

Description: Explains the method used to calculate Liquidity Cost Score and Price Impact Score. Describes the rationale for and applications of these methods.

Description: Read the August 2016 issue of Risk Management published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: In this article, the author explains what a CAT model is.

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: Metadata for entire issue

Description: Summary of Investment Council sponsored meetings as 2015 annual meeting

Description: In this article, the author examines how a seemingly impossible event becomes a harsh or startling reality.

Description: In this article, we provide practical guidance for understanding how to develop and apply an effective risk appetite statement.

Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: This article highlights some of OSFI’s expectations regarding the ORSA process, and provides general feedback and observations from OSFI’s reading of 2014 ORSA reports (including KMR) and discussions with insurers.

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

Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: Institutional investors seeking to hedge have no shortage of choices, and need the right framework to manage the different risks in portfolios as they arise. This article analyzes performance of different equity hedging strategies over the last 15 years, and lays out a potential hedging framework that takes into account types of risks being hedged, fundamental views, and current market pricing of protection.

Description: This article addresses the role of pension risk management in the context of corporate risk management and how pension risk management strategies might optimally be implemented to increase the probability that pension benefits can be financed from plan assess and that, when and if required, unexpected increases in corporate contributions can be made without financial discomfort to the firm.

Description: Article discussing the risk focused exam approach incorporated in the Financial Condition Examiners Handbook.

Description: The article describes a dynamic investment strategy for defined benefit pension funds to de-risk the plan by changing the asset mix based on the funded ratio.

Description: The editorial cautions that while the development of more sophisticated models may increase efficiency, it is important to consider the very real risk management costs associated with the increased complexity, efficiency and overconfidence in the predictive power of models.

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

Description: he co-editors introduce themselves and preview the articles in this issue.

Description: Introduction to option pricing using Black-Scholes. Discussion on the limitations of Black-Scholes and of its alternatives such as Heston. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.

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: ERM and Investment strategies for healthcare companies

Description: Target volatility, as an investment strategy, has been used by many funds not only as a way to smooth return but also as a way to manage risks of the VA guarantees. Contrary to existing research which favors volatility targeting over fixed allocation, this article shows that because of the existence of market jump risk, target volatility strategy does not necessarily offer an improved risk profile for VA writers. Further, target volatility coupled with leveraging can significantly increase tail risk for insurance companies.

Description: Introduction to option pricing, with special attention to issues in applying these tools to price equity-linked insurance products. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.

Description: To deal with future correlation crises, the author suggests the implementation of ‘’quanlitative analysts’’ (‘Quanls’) in the enterprise risk management (ERM) process: risk managers who are able to lead interdisciplinary ERM studies from a jointly qualitative and quantitative point of view, with an emphasis on dynamics.

Description: An overview of the articles in the August 2012 issue of Risk Management and a list of winners of the most recent call for papers, “Risk Metrics for Decision Making and ORSA.”

Description: A risk map is an effective and dynamic tool in helping companies develop a broader view of their risks.

Description: Feature article describing how traditional pension asset allocations contain so much risk that the details of the “liability benchmark” have been largely ignored.

Description: Feature article discussing hedging programs becoming a mainstay in the risk management arsenal of life insurers. It focuses on the significant stresses on variable annuity hedging programs.

Description: In this article, the author talks about how the actuarial profession can position itself as the natural choice for complex risk management work.

Description: A discussion of the theory underlying risk neutral investment scenarios

Description: ERM in the Brazilian market

Description: This article presents an FAQ on protected cell companies. From Reinsurance Section News, November 2007, Issue No. 61.

Description: The articles discusses how Principles-based approaches PBA to setting reserves and capital can be combined with Enterprise Risk Management to create a competitive advantage for an insurance company. Those companies can leverage these models by combining unique risks and strategies to measure and manage risk.

Description: This paper first derives the fair participation rate based on a fair value of the equity-indexed annuity EIA. Then using risk measures, a new participation rate is obtained, based on the tail loading of the hedging error distribution. Risk management strategies reducing risk related to the hedging error are also presented. A detailed numerical analysis is performed for a point-to-point EIA.

Description: This paper analyzes the optimal retention level with a portfolio of insurance risks, and premiums invested in risk-free and risky assets. Optimality is defined here as maximizing expected utility of terminal payout.

Description: Discussion of how non actuaries are taking on many of the enterprise risk management roles of insurance companies. Discusses changes actuaries need to make to re-assert their roles. Also discusses roles actuaries can play in enterprise risk management outside of the insurance and pension industries

Description: Discussion of Capital Market Modeling techniques

Description: A discussion of the value a reinsurer can provide beyond assistance through coinsurance with XXX compliance. There are recent signs that the use of coinsurance and the inherent shift of the burden of the reserves to the reinsurers are putting stress on the reinsurers’ capacity limitations. Reinsurers are able to shoulder only so much of the burden of the reserve strain caused by Regulation XXX. What reinsurers do best, and know best, though, is mortality risk. If your company is seeing signs from your reinsurers that this is the case, this article will present some thoughts to consider as to why sales of level term products may still be acceptable, even without the support of coinsurance programs.

Description: A New Perspective on Risk Management: Creating Value by Managing Risk by Francis P. Sabatini and Joseph Weiss from The Financial Reporter, December 2001, Issue No. 48.

Description: Panelists discuss different aspects of self-selection among Medicare options. From the Record of the Society of Actuaries, Vol. 24, No. 2.

Description: Panelists discuss the role of the valuation actuary in health insurance. From the Record of the Society of Actuaries, Vol. 24, No. 2.