Description: Review pension plan statistics for the Motion Picture Industry Pension Plan.

Description: Statistics about funded status of Screen Actors Guild–Producers Pension Plan

Description: Statistics about funded status of National Basketball Association Players multiemployer pension plan.

Description: This report, is an extension of the Society of Actuaries' November 2010 research project on the financial reporting effect of IASB’s exposure draft on the accounting of liabilities for term life and long term care insurance contracts to examine the effect on certain of these contracts to alternatives that have been discussed in treatment of discounting, expenses, and subsequent measurement of margins.

Description: This paper investigates the interaction between a credit portfolio and another risk type, which can be thought of as market risk. We analytically calculate their inter-risk correlation and show how inter-risk correlation bounds can be derived.

Description: The aim of this work is the definition of a holistic approach to assess the maturity level of ERM within an organization, following the principles defined by The Committee of Sponsoring Organizations of the Treadway Commission 2004b in the “Enterprise Risk Management—Integrated Framework.”

Description: As a life reinsurer, understanding mortality risk is mission critical. Superior models of mortality risk lead to more competitive pricing in profitable market segments and more efficient use of capital. Surprisingly, modern statistical tools such as predictive modeling have not previously been used to model mortality data to gain this edge. In this paper, we present the use of a predictive modeling technique called projection pursuit regression PPR to model mortality data. We first describe the process of creating a PPR model using inter-company mortality data collected by the Individual Life Experience Committee of the Society of Actuaries, and present the resulting model. We then discuss the process of using this model as a starting point for creating a more detailed PPR model of internal company mortality data.

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: Actuaries have traditionally recognized the links between risk and value, and in recent years have begun to incorporate aspects of modern financial economic theory into their traditional valuation and risk management approaches. As a result, there has been an increasing trend in the incorporation of explicit market-based risk adjustments into valuations, whether for internal or external purposes. The use of market-based metrics to reflect risk in valuations is becoming increasingly widespread—in fact, major external standard setters, including FASB, IASB, CFO Forum and the various parties setting standards for Solvency II, have prescribed varying levels of use of market-based metrics to measure risk in valuations. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: Scenario analysis and stress tests based on consideration of shock events and their possible repercussions can provide useful information to management and regulators on a company’s resiliency through a chain of events, as well as support the consideration of a firm’s operations as an integral part of a wider financial system. We discuss how scenario analysis and stress testing can be used to define a company’s risk appetite, which is at the core of a well-embedded ERM framework. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.