Description: This paper suggests that risk is too complex to quantify with a single number, and offers a two-dimensional risk measure while introducing the concept of 'iso-risk' curves. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: Transcript of the Q&A period from session 3B. Session focused on Women's longevity issues and Chronic Disability Measurement and cost.

Description: Paper estimates the burden of chronic disability on the U.S. elderly population, using sex-specific measures of long-term care LTC service use, intensity and costs.

Description: The purpose of this paper is to examine the various profit objectives used in the development of a new product for a stock life insurance company. From Product Development Section Monograph, M-AS99-3.

Description: This article is an extract from a revision to the Universal Life Study Note. From Product Development Section Monograph, M-AS99-3.

Description: This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. Two applications are presented, the first for valuing a European call option and the second for pricing derivative securities of multiple risky assets.

Description: By establishing insurance risk as an asset class, participants will provide the insurance industry with vast pools of capital to mitigate catastrophic risk through the use of new nontraditional reinsurance products. From Securitization of Insurance Risk: The 1995 Bowles Symposium, M-FI97-1.

Description: This is the Does Migration Result in Mortality Improvement: A Case Study in Taiwan paper authored by Chih-Kai Chang, Jack C. Yue and Yen-Wen Chen for Session 3B of the January 13-15, 2020 Living to 100 Symposium in Orlando, Florida.

Description: This paper addresses the allocation of solvency capital in multi- line financial businesses. Although this paper is uniformly applicable to financial enterprises of all types, the terminology in the paper is mainly that of insurance. The TailVaR risk measure is extended in a natural way to allocating capital to each of the business units. This method of allocation allocates capital in a way that is invariant over the method of decomposing the enterprise into business units. Analytic results are derived in the case of multivariate Normal risks. The key result of this paper is that the TailVaR-based proportional allocation of total required capital is identical to that based on mean-variance considerations analogous to the CAPM in the case of the multivariate Normaldistribution.

Description: This paper presents an advanced approach to enterprise risk management that, according to the author, significantly improves upon current approaches. The two fundamental elements are a focus on the management of strategic plans and a heavy reliance upon probability theory.