Description: The theme of this presentation relates to solving portfolio selection problems using linear and fractional programming. Two key contributions: 1. Generalization of the CVaR linear optimization framework. 2. Equivalences among four formulations of Coherent Distortion Risk Mearures optimization problems. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: It is well-known that reinsurance can be an effective risk management technique for an insurer. An appropriate use of reinsurance reduces the adverse risk exposure of an insurer and improves the overall viability of the underlying business. The use of reinsurance, on the other hand, incurs additional cost to the insurer in the form of reinsurance premium. This implies that an insurer is faced with a classic tradeoff between risk spreading and risk retaining. The thrust of my research is to propose some reinsurance designs that are optimal from the perspective of an insurer. This presentation describes an empirical approach to optimal reinsurance designs. This new method has the advantage that it does not need to make any explicit assumptions on the distribution of the underling risk. More importantly, it provides a simple and yet practical way of obtaining solution on a wide range of optimal reinsurance models.

Description: Principle-Based Reserving (PBR) is now upon us! Are you ready? Learn how Swiss Re's PBR Experience Sharing Solution can help you navigate this change.

Description: Gather with members and non-members in the China actuarial community to discuss recent topics and related issues in areas such as macroeconomic sharing, pension, investment, product strategy, and more.

Description: Session 2B: Pharmacy Risk Mitigation - Pricing, Programs, Pools, and Performance Guarantees

Description: The surge in interest rates over the past few years presents opportunities for life insurers to enhance their Asset and Liability Management (ALM) positions through asset rebalancing to narrow the duration gap and secure higher risk-adjusted yields. This webcast introduces a robust, efficient and readily-executable, liability-driven strategic asset allocation (SAA) framework and implementation considerations. At the conclusion of the webcast, attendees will learn about the key objectives and practical considerations for a successful SAA.

Description: The post COVID-19 period exhibited a fast-changing capital market with higher interest rates, uncertain monetary policies, and revaluation of asset classes. At the same time, regulators introduced changes to reward better risk management, such as the scenario-based approach for reserving under Bermuda regulatory framework. For life reinsurers, while new opportunities arising from these changes, challenges also exist to be able to adjust reinsurance portfolios and ALM strategies appropriately. A holistic modeling framework can assist companies better position themselves in front of these challenges and other potential future unknowns. In particular, a well-designed stochastic and dynamic modeling framework enables the quantifications of such probabilities and potential impacts.

Description: In the context of reinsurance, this paper addresses finding the quota share retention level and the retention limit, with a diffusion process being added to the claim process, that maximizes the adjustment coefficient in the Sparre Anderson model. From Actuarial Research Clearing House, 2006.

Description: This session will focus on the topic of Bermuda Reinsurance: Operational Readiness for Changes. The presenters will examine the current state of the reinsurance industry in Bermuda and explore the operational strategies that companies must consider to stay ahead in a rapidly evolving market. The discussion will cover regulatory updates, and market shifts that are influencing the way reinsurance businesses operate. The presenters will also discuss operational capabilities and organizational structure to think about when designing a new entity.