Description: In this article, the author examines Nassim Taleb’s work and writings and discusses its relevance to the future of the actuarial profession.

Description: This article provides some insights in how to bring risk management into product development for VA guarantees.

Description: Feature article discussing the four main perspectives of ERM.

Description: Hear from the editor’s on the August 2018 issue of Risk Management published by the JRMS.

Description: Economic risk analysis has two dimensions: time and frequency. Asset return varies by time because of economic cycles and economic structural changes. Risk is higher during economic recessions and smaller during economic expansions. In addition, different economic structures may exist at different time scales. Risk measures calculated based on daily, weekly, monthly and yearly historical data can be very different. The appropriate frequency depends on the time horizon of the analysis. Therefore, it is important to measure economic risk at both the time level and the frequency level. However, time series analysis and statistical analysis that have been widely adopted in economic risk analysis focus on only one of the two dimensions. In this paper, wavelet models are used to enhance both time‐invariant analysis and time‐variant analysis. Wavelet models can systematically analyze risk by time and frequency and provide richer information than time series models. Using wavelet models, risk measurement can easily be adjusted based on time horizon in a consistent way. Equity VaR estimation is selected to demonstrate the application of wavelet analysis in risk management.

Description: While COSO describes guiding principles for a comprehensive and robust ERM framework, it is anything but prescriptive. This article describes one path toward the realization of a framework consistent with COSO and highlights several challenges and solutions.

Description: Duration matching is a risk management strategy, commonly used in the insurance industry, where the duration (price sensitivity to a yield curve movement) of an asset portfolio is adjusted to be made equal to the duration of the liability. However, this approach has flaws. In this essay, I note some key failures of duration matching and offer a potential alternative.

Description: This article provides an introduction to group supervision and group capital and its importance in today's increasingly global insurance market. Additionally, the article examines the various methods used in practice for calculating group capital and the factors that companies should consider as they develop their group capital management strategy.

Description: How insurers can include a liquidity score and liquidity stress scenarios as part of their asset liability management (ALM) protocol.

Description: The article is authored by the chair of the Joint Risk Management Section and provides an update of recent changes relevant to members of the council, as well as interested non-members.