Description: Part 5 addresses various purposes for measuring a public sector pension liability and which measures have the most practical usefulness.

Description: Teaching enterprise risk management ERM in higher educational institutions as a mainstream subject is emerging. Risk management is traditionally taught in disciplinary silos without considering the multidimensional aspects of risk necessary to steer the entire business. This study identifies and focuses on the essential elements to develop a curriculum of ERM from a multidisciplinary perspective. The purpose of this article is to outline the contents of an ERM unit for academic business degrees. The article includes the author’s view and experience in designing and delivering an ERM unit for a postgraduate finance and risk management degree at his current academic affiliation. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This is a Call for Papers press release for 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: There have been continual advances in the modeling of financial series but most are aimed at the pricing of derivatives. Different criteria are needed for development of scenarios for risk management. Some recent methods will be reviewed with an eye on risk-management applications, including using the simulated method of moments to parameterize multifactor models, fractional differencing and other methods to model series with persistent autocorrelation, and models to flatten out the volatility smile, such as jump-diffusion models. These methods will be illustrated with applications to inflation, interest rates, equity prices and exchange rates.

Description: Mortality trend risk affects pension plans, life insurers, annuity writers and insurers of workers’ compensation, where the tail claims are mostly annuities. As with many risk sources, mortality risk can be broken down into process risk, parameter risk and model risk. In this paper, process risk, parameter risk and model risk are discussed using the fitted models. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This is the abstract of the entitled paper.

Description: 2011 Enterprise Risk Management Symposium, Chicago. The stated goal of this paper is to describe the general idea of risk appetite, its implementation framework and the process to set it within a bank with a strong focus on the interactions with other processes such as planning and control, performance evaluation and communication.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This is the abstract of the entitled paper.

Description: This monograph was presented at the 2011 Enterprise Risk Management Symposium, held March 14-16 in Chicago. The author, writing from a property-liability insurance perspective, notes that capital allocation is a theoretical exercise because all of a firm’s capital could be depleted to cover a significant loss arising from any one segment. However, firms do need to allocate capital for pricing, risk management and performance evaluation. In this paper, the cost of capital in financial markets is incorporated into the Ruhm-Mango-Kreps algorithm to yield one allocation that reflects the true cost of capital an insurer would face. Table only.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This paper highlights the impact that a change in conditional data would have on a variety of risk assessment models, with specific emphasis on investment forecasting.