Description: The selection of the economic capital calculation approach becomes more of a modeling decision. Now let us pause here and think about the arbitrage-free assumption at the beginning. At any time, there can be only one price on any asset. If the company considers the price calculated above as the fair price for its products, then it must hold true that the same price has to be arrived at if the company uses a real-world pricing approach instead of a risk-neutral approach. This gives us a very good basis to calibrate the appro- priate economic capital.

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

Description: Companies need to learn to plan for uncertainty by taking into consideration downturns, not just an environment of moderation and occasional booms.

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: High level overview of JRMS research activity.

Description: This article describes methodologies for detection and deterrence of Medicare fraud. It also describes the validation of PRIDIT for fraud detection in Medicare.

Description: Abstract: The U.K. Pension Protection Fund (PPF) was established in April 2005 to protect the pensions of members of U.K. private sector defined benefit pension schemes that have insufficient assets and whose corporate sponsor fails. The Fund takes over the pension scheme assets and assumes responsibility for the payment of compensation to the former members of the scheme. The PPF is funded by a levy on the population of eligible schemes. To improve its ERM framework, the PPF has undertaken a reverse stress testing exercise. This analysis provided the organization with new insights into its risk profile, the scenarios leading to the PPF’s potential “failure,” and interactions between these scenarios. This paper discusses the principles and objectives of reverse stress testing in the special case of the PPF and then illustrates the application of complex system science techniques for the purpose of reverse stress testing.

Description: Presentation from the Actuarial Research Conference describing risk management at a leading Canadian Bank.

Description: An exploration of Canada’s federal regulator of financial institutions (OSFI) and its more formal assessment of the actuarial function of insurers.

Description: The letter from the editor discusses some recent loss events driven by model error and provides an overview of the articles in this issue of Risk Management.