Description: Here are a few topics to be discussed in this article: Risk is opportunity; Strategic and business risks are not captured in models; Incentive compensation should not be paid too soon; Enterprise risk management is board responsibility, ERM is compliance.

Description: The authors introduce an alternative to Tail Contribution Analysis TCA for analyzing business segments and strategies called Economic Profit Analysis EPA. They discuss EPA’s key feature, “volatility replication,” an intuitively appealing process of building investor expectations and capital market information into the risk-and-return measurements used to evaluate strategic decisions. Finally, they illustrate the benefit of using EPA in overcoming the problems of TCA and thereby providing concise reliable information for business decision making.

Description: Fact sheet that defines ERM, provides a brief history, discusses the role of the actuary in ERM and the importance of organizations implementing an ERM framework.

Description: This article discusses scenario generators to price or value insurance products.

Description: Read the December 2016 issue of The Modeling Platform published by the Modeling Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: This paper defines Distributable Earnings as the generalized pricing and valuation framework for financial contracts containing the requirement to hold capital or reserves in support of the obligations. It examines the Market Value paradigm and its foundation arising from the pricing of fixed income securities. It reconciles these two methods, showing that market value methods ignore mandatory capital and reserve requirements, which carry both risk and cost. The paper makes the case for the Distributable Earnings framework, not Market Value, as the true basis for economic value for these financial contracts. Finally, it concludes that this framework must be employed in risk-management processes, else fail to recognize a significant source of risk.

Description: This paper advocates asset/liability management for pension plans. It identifies the economic factors that influence the economic value of liabilities and discusses the typical asset portfolio that results.

Description: The conditional tail expectation [CTE] is a popular actuarial risk measure and a useful tool in financial risk assessment. Under the classical assumption that the second moment of the loss variable is finite, the asymptotic normality of the non-parametric CTE estimator has already been established in the literature. That result, however, is not applicable when the loss variable follows any distribution with infinite second moment, which is a frequent situation in practice. With a help of extreme-value methodology, this presentation offers a solution to the problem by suggesting a new CTE estimator, which is applicable when claims losses have finite means but infinite variances.

Description: The winners of the Investment Section's 2016 Asset Allocation Contest are announced, along with a recap of the contest and market performance.

Description: Read the March 2017 issue of Small Talk published by Smaller Insurance Company Section. Practical information on trends that impact sections and activities.