Description: In this paper, we propose measures of the risk that the value of the liabilities becomes larger than the value of the assets, and this especially for insurance companies. We study probabilities of mismatching and a degree of mismatching in unsegmented and multidimensional models of the balance, in which we stress the influence of interest rates on the active and passive side of the balance.

Description: This is the full research report for the thirteenth Emerging Risk Survey which summarizes the results of the survey.

Description: This report examines the use of a copula approach to build a predictive model to estimate the amount of economic capital a life insurance company needs to protect itself against an adverse movement in interest rates, mortality, and other risk drivers.

Description: A primer on extreme event modeling and mitigation for practitioners, it covers the complete cycle of extreme event risk management, from identifying experience data sources, to extreme event detection, to modeling and dependence analysis, and finally to monitoring and mitigation.

Description: This paper presents the probabilistic concepts underlying measurement of asset adequacy in a simplified way. Discussions of this paper are included.

Description: A research project with the Society of Actuaries on interest rate hedging on traditional life and health insurance.

Description: This report looks at identifying drivers of systemic risk to China’s insurance industry and develops a measurement method for systemic risk as well as systemic risk dependence between the insurance industry and other industries.

Description: In recent years a lot of time has been spent discussing a variety of different ways to measure the performance of an insurance company. One of the dominating concepts in the discussion of this has been 'Economic Capital' and with this the question of allocation of the [Economic] Capital with the intention of introducing a risk related measure of performance. In this paper, the authors view the performance measuring as a question of determining the appropriate distribution of a risk loading for participants in a risk pool having the overall risk priced by an actuarial premium principle. They show that the covariance principle can be found as the optimal solution to this risk sharing problem and show that the covariance principle fulfills some reasonable requirements. They furthermore suggest how the covariance principle can be at the basis of a target setting procedure for a multi-line insurance company.

Description: This paper cautions against using expected utility theory for measuring insurance risk, because of the numerous inherent difficulties associated with it. Instead, an approach for loading gross premiums that is based on risk-measure functions is explored. Discussions of this paper are included.

Description: Sponsored by the Society of Actuaries Research Expanding Boundaries Pool, this report examines an encompassing method to allocating economic capital in insurance conglomerates. Authored by Edward Furman, Yisub Kye, and Jianxi Su, the plan put forth unifies the centralized top-down and the detail-oriented bottom-up approaches