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 paper provides a summary of the report, Back Testing of Investment Performance by Asset Class.

Description: This article summarizes the results of the eleventh annual survey of emerging risks.

Description: This research report that provides a literature survey of methodologies applying machine learning to insurance claim modeling.

Description: Risk adjustment is needed under IFRS 17 to reflect the compensation that a company requires for bearing the uncertainty about the amount and timing of the cash flows that arises from non-financial risk. Companies are also required to disclose the method and confidence level used for the calculation of the RA. However, IFRS 17 doesn’t specify a method and a confidence level, nor does it provide a list of specific risks that are considered to be non-financial risk. Companies need to define them based on their own preferences or existing practices. This article will introduce available approaches and discuss the confidence level approach with potential consideration stemming from industry preferences and illustrative examples.

Description: The article provides an update on the 2019 ERM Symposium with regard to date, location and content (General Sessions and Concurrent Sessions).

Description: A critical step in valuing a company for the purpose of financial reporting is the computation of the market value of economic surplus (MVES). This article provides a novel approach to the valuation of MVES that is stable and reasonably immune to “market noise.” Current approaches to the calculation of economic surplus of an insurance company generally define such surplus as the market value of the assets (MVA) supporting the liabilities less the market value of liabilities (MVL). While MVA is observable in the market, MVL is typically computed directly, without regard to the underlying supporting assets. Subtracting MVL from any value of assets that changes with market movements results in an unstable surplus. Consequently, a surplus that is not fully reflective of market sentiment has been rejected by many. This same approach is further used in the calculation of market consistent embedded value (MCEV) when a balance sheet approach is used .

Description: This article discusses the Own Risk and Solvency Assessment ORSA Guideline that is being developed by the NAIC Group Solvency Issues working group as part of the Solvency Modernization Initatitve SMI. It looks at the purpose of the ORSA, the three sections of the NAIC ORSA and issues with current U.S. ORSA draft.

Description: In this session 36OF of the New York Annual Meeting panelists discuss and compare the risk management practices used by insurers and by banks. From the Record of the Society of Actuaries, Vol. 24, No. 3.

Description: Presenter discusses some techniques for minimizing and controlling the damage to defined-benefit pension surpluses caused by market forces. From the Record of the Society of Actuaries, Vol. 25, No. 2.