Description: This paper reviews the main methodological questions underlying the theoretical pricing of catastrophe insurance futures. From Securitization of Insurance Risk: The 1995 Bowles Symposium, M-FI978-1.

Description: This paper presents an algorithm for valuing American options in a path simulation model. It demonstrates the accuracy by an example involving a put option on a non-dividend-paying stock for which the exact premium could be determined. It shows how the use of simulation models can be useful in valuing a broker-dealer's derivative book and analyzing the asset-liability condition of financial intermediaries.

Description: This paper describes a current approach to capital allocation, tail contribution analysis TCA, and then compares it to an alternate method called economic profit analysis, EPA. The advantages of EPA over TCA are then outlined. From 2006 Enterprise risk Management Symposium, M-AS06-1.

Description: Shareholders provide capital and receive the insurance profit. This paper demonstrates than an optimal capital level exists that generates the highest return for the shareholders of an insurance company. This result is derived using a risk capital model by Perold. The no-arbitrage argument, developed by Modigliani and Miller, is used throughout the paper and puts the discussion on a solid economic footing. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: This paper examines different objectives in managing credit concentration risk. The suitability of different measures and presentation techniques is discussed and illustrated in the context of a case study.

Description: Actuaries measure, model, and manage risks. Risk associated with the investment function is a major uncertainty faced by many insurance companies. Actuaries should have knowledge of the asset side of the balance sheet of an insurance company and how it relates to the liability side. From Securitization of Insurance Risk: The 1995 Bowles Symposium, M-FI97-1.

Description: This paper looks at the problem of valuing and managing the ALM risks associated with insurance liabilities that are too long to be matched by available investments. Two options were explored and the paper concludes by arguing that the Static Control Model leads to more useful ALM strategies for long liabilities.

Description: New tools for managing insurance risk have particularly emerged in the 1980s and 1990s, usually with roots in the financial markets. A strong motivating factor has been the record number of natural catastrophes and their impact in insured losses. New organization or joint ventures have been created to meet this demand. From Securitization of Insurance Risk: The 1995 Bowles Symposium, M-FI97-1.

Description: The concept of crosshedging gives us the key to the actuarial understanding of most new tools arising in the area of alternative risk transfer mechanisms. Securitization of insurance, which is the theme of this symposium can, as I see it, almost always be seen as an exercise in crosshedging. The 1995 Bowles Symposium, M-FI97-1.

Description: There is no right price for a piece of insurance. There is simply the transacted market price, which is high enough to bring forth sellers and low enough to induce buyers. From Securitization of Insurance Risk: The 1995 Bowles Symposium, M-FI97-1.