Description: This article discussed modeling the P&C reinsurance market using an Agent Based Model to provide insights into the market. The characteristics of this marketplace provide credibility to this type of modeling. Specifically, the P&C reinsurance market has few major players, very little product differentiation, and low barriers to entry. In addition established competitors are volume-constrained due to prior business and capacity decisions made based on estimated product costs and prices.

Description: This article discusses the pending book entitled 'Dynamic Risk Modeling Handbook.' The proposed scope and outline of the book is reviewed. This is a revision of the 'DFA Handbook' which was published in 1995.

Description: This article provides an overview of the commonly used structural credit risk modeling approach that is less familiar to the actuarial community.

Description: This article addresses the concern that while risk assessment models are supposed to help identify and reduce risk, they can be a source of risk themselves. A new report released by the Canadian Institute of Actuaries in August 2008 helps address that potential problem by providing useful guidance to actuaries who are charged with designing, implementing and using advanced models.

Description: This article talks about replicating portfolios, a basket of financial instruments designed to replicate, as closely as possible, the value and market sensitivity of a target portfolio of liabilities in different economic scenarios.

Description: A brief introduction to a new SOA research on liability-driven investment benchmark model.

Description: A brief introduction to a new SOA research on liability-driven investment benchmark model.

Description: The purpose of this article is to provide a high level summary of the paper “Variance of the CTE Estimator” by B. John Manistre and Geoffrey H. Hancock that appeared in the North American Actuarial Journal in 2005. The authors also expanded on some of the results.

Description: Commentary on practical observations resulting from constructing and running Economic Capital models. Possible standardization of assumptions and result interpretation are morphing even though use of E.C. models has now been around for years.

Description: This paper evaluates the current practice of operational risk management in the insurance sector. Operational risk is nothing new in insurance, but, because of regulatory requirements, companies have initiated computation of risk capital for their operational losses. The current effort to manage operational risk is not a naturally evolving phenomenon, and operational risk, in the Basel Committee on Banking Supervision’s Basel II definition, is unlikely to be a significant cause of insurers’ failure. In addition, the current Basel II definition of operational risk is not suitable for the insurance sector. Consequently, the invention of models and tools based on the definition is incomplete and illusionary. My findings are based on the analysis of dozens of interviews with insurance industry professionals. I demonstrate the way operational risk is quantified in practice, show that the result obtained from this computation is of littl e use in managerial decision making and propose a set of policy recommendations illustrating the characteristics of operational risk in insurance. This study can be used as a platform for launching dialogues to initiate fresh thinking about operational risk in insurance beyond the current artificial and narrow boundaries.