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: The abstract for the paper Adapting Banking Models to Insurer ERM.

Description: Simultaneous modelling of operational risks occurring in different event type/business line cells poses the challenge for operational risk quantification. Invoking the new concept of Levy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: The abstract for the paper ERM and the Failure of Risk Management: An Asian Perspective.

Description: This paper discusses the new Basel Accord for Capital Adequacy which refines the minimum capital requirements for banks. The seesion looks at the analysis of credit and market risks with the emphasis on to what extent the collection, storage and evaluation of data calculated with internal approaches is dispensable by the use of Basel II-data for bank banagement.

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”