Description: Discussion among experts. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: Paper discusses the possible effect of outliers on the mortality index from the Lee-Carter Model. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: Using the Japan Life Table as input, this paper discusses the strengths and limitations of four mortality models: Heligman-Pollard, Mixed Weibull, Lee-Carter, and a simulation model. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

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 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: In this paper, it is questioned whether in addition to the regulatory requirements, the differing data acquisition and processing for the internal management systems are really needed with respect to a bank-wide portfolio optimization.

Description: Abstract for the 2008 ERM Monograph paper, “In Measuring the Benefits of Enterprise Risk Management in Insurance: An Integration of Economic Value Added and Balanced Score Card Approaches”

Description: This paper discusses both the theoretical and the application aspects of stress testing in managing enterprise risks. Effective stress testing maximizes the risk adjusted enterprise profit by controlling major risks financial, strategic, operational and hazard upon identifying risk metrics and modeling the correlations. A case study is included for demonstration purposes.

Description: Abstract for the 2008 ERM Monograph paper, “Behavioral Fraud Mitigation through Trend Offsets”.

Description: This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.