Description: The Upside to Higher Persistency in LTC Insurance—Effects of Anti-Selection After Policy Issue By John L. Timmerberg from Long-Term Care Newsletter, September 2004, Issue No. 12.

Description: Discussion of landing spots and alternative options available to insureds at the time of an LTC rate increase.

Description: The Evolution Of Averaging Mechanics Used In The Actuarial Asset Valuation Method Of The New York City Retirement Systems. From The Pension Forum, August 2001, Volume 13, Issue No. 1.

Description: This is an article about final tax regulations issued in April which provide helpful guidance on the acquisition of insurance companies pursuant to an election under section 338 of the Internal Revenue Code and assumption reinsurance of blocks of insurance when accompanied by the acquisition of other business assets.

Description: This paper discusses some of the models used to quantify risk, note some areas where improvements in standard methods are needed, and in some cases suggest alternative approaches for risks in Property and Casualty Insurance and Life Insurance.

Description: Risk management theory prescribes a few legitimate reasons for management to hedge corporate revenues and reduce income volatility. In this paper we will use the oil tanker industry to illustrate some of these strategic considerations and how management can account for them in their decisions regarding whether and how much to hedge. Further work is needed to incorporate these considerations into a broader theoretical framework. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: Regularization, by means of trading restrictions, is an effective way to obtain sparse replicating portfolios. By including only the most relevant replicating instruments, the resulting portfolio is more efficient computationally, easier to interpret, and better able to approximate the liability on an out-of-sample basis. The instruments selected depend largely on their respective trading costs. This paper evaluates a number of alternative methods for specifying trading costs. We find that trading costs based on simple statistics of the instrument and liability cash flows are an effective choice in practice. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: Abstract: The U.K. Pension Protection Fund (PPF) was established in April 2005 to protect the pensions of members of U.K. private sector defined benefit pension schemes that have insufficient assets and whose corporate sponsor fails. The Fund takes over the pension scheme assets and assumes responsibility for the payment of compensation to the former members of the scheme. The PPF is funded by a levy on the population of eligible schemes. To improve its ERM framework, the PPF has undertaken a reverse stress testing exercise. This analysis provided the organization with new insights into its risk profile, the scenarios leading to the PPF’s potential “failure,” and interactions between these scenarios. This paper discusses the principles and objectives of reverse stress testing in the special case of the PPF and then illustrates the application of complex system science techniques for the purpose of reverse stress testing.

Description: This article offers insights about the United Technologies Corporation lifetime income approach and information on the design, administration and acceptance.

Description: To deal with future correlation crises, the author suggests the implementation of ‘’quanlitative analysts’’ (‘Quanls’) in the enterprise risk management (ERM) process: risk managers who are able to lead interdisciplinary ERM studies from a jointly qualitative and quantitative point of view, with an emphasis on dynamics.