Description: This paper deals with the level and age trajectory of mortality at advanced ages in Canada, based on population data.

Description: This paper presents a value-at-risk platform for integration of assets and liabilities in a rigorous risk management framework. The model measures all major risks faced by a P&C company. The paper demonstrates how this new technology can be used to assist in maximizing capital efficiency and migrating from a risk management environment governed almost exclusively by ad-hoc rules of thumb to one governed by true risk management principles. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: This paper proposes a general definition for economic capital, EC, that can be applied to various types of insurance products in a consistent manner. The paper also illustrates how to calculate risk-adjusted performance measurement, RAPM, by using a fair value framework. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: Presented at Living to 100 symposium, January 2011. This paper adapts New Zealand Maori and non-Maori population mortality data to reflect differences in socio-economic status. This adapted data is used as a basis to explore the implications of differential mortality in assessing the equity of increase in the pension age of eligibility.

Description: This paper addresses the allocation of solvency capital in multi- line financial businesses. Although this paper is uniformly applicable to financial enterprises of all types, the terminology in the paper is mainly that of insurance. The TailVaR risk measure is extended in a natural way to allocating capital to each of the business units. This method of allocation allocates capital in a way that is invariant over the method of decomposing the enterprise into business units. Analytic results are derived in the case of multivariate Normal risks. The key result of this paper is that the TailVaR-based proportional allocation of total required capital is identical to that based on mean-variance considerations analogous to the CAPM in the case of the multivariate Normaldistribution.

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: This paper expands upon current capital analysis by introducing a practical approach that considers the objectives of all stakeholders on an insurance company in setting appropriate capital targets. 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 uses stochastic simulation technology to present a risk metric for defined benefit pension plans that provides improved measures of the plan's solvency and provides a tool for pension plan managers to determine the value of risk mitigation activities. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: 2011 SOA Enterprise Risk Management Symposium, Chicago. This is an abstract of the referenced article.