Description: In a well-designed enterprise risk management (ERM) program, the firm integrates risk management into the strategic planning process, addressing strategic risk, financial risk, operational risk and hazard risk under a single overarching process. This is particularly important to large financial firms, such as property and casualty (P&C) insurers, which face a diverse set of risks. In contrast to previous studies that document a significant product line and geographic diversification discount relative to more focused competitors, our analysis suggests that firms with effective ERM programs exhibit a performance premium. Using the Standard and Poor’s (S&P) ERM ratings from 2006 to 2012, we find that product line diversification has a significant positive effect on value for more diversified firms with well-implemented ERM programs, as compared to those with weak ERM.

Description: This is the abstract of a paper that builds on previous work concerned with measuring equity, and considers the problem of using observed claim data or other information to arrive at premiums which maximize equity. When these optimal premiums are used, it is shown that gathering more information or refining the risk classification must always increase equity.

Description: In many countries, insurers and banks are separately regulated. In some countries, banks and insurers are not allowed to be part of the same conglomerate and share capital. This raises questions about the efficient use of capital and return on equity to shareholders. This is the abstract of an empirical study that views economic capital from a solvency perspective with the focus on downside risk. The key question addressed is 'What efficiencies, if any, are gained by allowing banks and insurers of different types to merge and thus share capital.' We examine to what degree bank and insurer performances have been correlated historically, especially in the downside tail. This case study is based on Canadian banks, life insurers and property-casualty insurers.

Description: This abstract summarizes the background for a presentation at the Actuarial Research Conference that describes summer actuarial science programs for minority high school students and the role they have in the profession's diversity efforts. Expanding the number of such programs is explored.

Description: This abstract describes a paper that presents an analysis of the capital needs, needed return on capital, and optimal reinsurance retention for insurance companies, all within the context of the compound Poisson distribution.

Description: This abstract describes a paper that derives a simple explicit solution for an efficient portfolio with positive weights.

Description: This abstract describes a paper that implements a lifetime utility model including both GMDB options and term life insurance and allowing the policyholder to optimize both consumption and fund allocation decisions.

Description: This abstract describes a paper that generalizes the Poisson process to a renewal process, especially Erlang (n) renewal processes.

Description: This abstract describes a presentation that shows a study on a long-term disability insurance portfolio under stochastic interest rates.

Description: The abstract for the paper Data Sources, Quality and Analyses - Data Quality of Oldest-Old Population in Taiwan 2003 Census for Ages 89 and above.