Description: This paper proposes a new method to price the longevity risk premia in order to tackle the pricing obstacle. Based on the equivalent utility pricing principle, our method obtains the minimum risk premium required by the longevity insurance seller and the maximum acceptable risk premium by the longevity insurance buyer.

Description: In this paper, we investigate the dynamics of the Lee-Carter mortality index parameter kt. Specifically, we perform statistical hypothesis tests to examine whether the mortality indexes for Canada, England and Wales and the United States are best described by stochastic trends difference stationary models or deterministic trends trend stationary models. The empirical results favor broken-trend stationary models over difference stationary models, which are used in most previous applications of the Lee-Carter method. The results also give strong statistical evidence that the rates of mortality decline for the three populations have significantly accelerated in mid-1970s.

Description: This article shows how market participants’ view of risk impacts not just their own choices, but also how they impact on everyone else's choices as well.

Description: This paper starts from the viewpoint that enterprise risk management [ERM] is a specific application of knowledge in order to control deviations from strategic objectives, shareholders’ values and stakeholders’ relationships. This study is looking for insights into how the application of knowledge management processes can improve the implementation of ERM.

Description: Part 4 presents an alternate approach to obtaining the fair value of the public sector employer’s pension benefit liability.

Description: Property-casualty insurance companies tend to focus on avoiding and controlling their exposure to reinsurance credit risk. This paper advocates switching from this risk avoidance and compliance mentality to a probabilistic and market-based view in which one seeks to measure, hedge, exploit and optimize risk. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This paper argues that no single valuation basis is completely reliable: neither market price nor other alternatives can accurately measure value. Therefore, this paper proposes that a preferable solution is to simultaneously record two bases of valuation: market price and appraisal value. Thus by expanding the dimensionality of financial reporting, one can provide a broader, richer and more accurate measurement of value. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010

Description: Within this paper, we take an applied approach to examine the economics of ERM. We provide readers with a series of economically based warning signs that might signify significant changes in asset prices. These warning signs are based on the economic concepts of elasticity of demand, elasticity of supply and herd behavior. Our recommendations provide practical guidance to directors, executives and practitioners regarding ways in which they can mitigate risks in today’s volatile environment. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: The bank’s customers viz. non-bank company often get into various kinds of derivative transactions with a bank or some other non-bank company in order to cover or hedge against the unwanted exposure to volatility in interest rates, currency rates or some other underlying rate. A non-bank company defaults when the situation goes unfavorable enough for it to have no other alternative this cascades the impact to many other non-bank companies and banks. I take forward the opinion that non-bank company defaults are more likely than those by a bank in a derivative contract. This risk in the risk management approach using derivatives can be reduced through the derivatives framework proposed in this paper. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This paper introduces a minor modification to the Wacek framework that restores market consistency and additivity. The modification shifts the basis of the cost-of-capital risk margin embedded in the fair value loss reserve from an insurer’s own solvency capital requirement with respect to its claim obligations as prescribed by Solvency II to the required market-clearing capital implied by those obligations, which depends not only on the internal characteristics of the unpaid claim portfolio but also on its correlation with the total market portfolio of unpaid claims.