Description: In this paper, we propose measures of the risk that the value of the liabilities becomes larger than the value of the assets, and this especially for insurance companies. We study probabilities of mismatching and a degree of mismatching in unsegmented and multidimensional models of the balance, in which we stress the influence of interest rates on the active and passive side of the balance.

Description: This report examines the use of a copula approach to build a predictive model to estimate the amount of economic capital a life insurance company needs to protect itself against an adverse movement in interest rates, mortality, and other risk drivers.

Description: A primer on extreme event modeling and mitigation for practitioners, it covers the complete cycle of extreme event risk management, from identifying experience data sources, to extreme event detection, to modeling and dependence analysis, and finally to monitoring and mitigation.

Description: This is the full research report for the thirteenth Emerging Risk Survey which summarizes the results of the survey.

Description: A research project with the Society of Actuaries on interest rate hedging on traditional life and health insurance.

Description: This report looks at identifying drivers of systemic risk to China’s insurance industry and develops a measurement method for systemic risk as well as systemic risk dependence between the insurance industry and other industries.

Description: Sponsored by the Society of Actuaries Research Expanding Boundaries Pool, this report examines an encompassing method to allocating economic capital in insurance conglomerates. Authored by Edward Furman, Yisub Kye, and Jianxi Su, the plan put forth unifies the centralized top-down and the detail-oriented bottom-up approaches

Description: The Committee on Finance Research makes available a research report exploring the mechanics and implementation of economic capital programs for life insurance companies. Discussion items include common methods for calculating economic capital advantages and disadvantages of each method.

Description: This report discusses management decision making practices and the need for actuaries to build the appropriate level of variability for management actions in stochastic models to achieve a more realistic range of future experience among the stochastic scenarios.

Description: This report looks at identifying drivers of systemic risk to China’s insurance industry and develops a measurement method for systemic risk as well as systemic risk dependence between the insurance industry and other industries.