Description: In this article, the author explains what a CAT model is.

Description: This paper presents actuarial (mathematical) models for cyber breach probability as function of the level and allocations of security spending by a firm.

Description: European insurance regulation pretends to capture and rely on the 1-year 1-in-200 VaR. But there cannot exist any scientific calibration of such measure. Why?

Description: Strategic Risk Management was given lower priority in a recent survey of ERM Objectives. This article tells how the author believes that recent events have caused many to shift to a more short term focus and in the future there will be a shift back to a priority for the longer term view that stands behind Strategic Risk Management when the environment settles down and things again seem to be more predictable.

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: Since most cash flows being discounted in the value calculation are dependent on the forward rates, in the key-rate calculation forwards (not spots) should be shifted. I will show that if spots are shifted up/down, they would not necessarily result in forwards being up/down for all the years in the particular key rate, resulting in unexpected results. I will further show how metrics calculated by shifting forwards versus spots enhance the accuracy of the approximation of projected value in various rate environments.

Description: The editors provide highlights of the articles included in the April 2016 issue of Risk Management.

Description: This article highlights some of OSFI’s expectations regarding the ORSA process, and provides general feedback and observations from OSFI’s reading of 2014 ORSA reports (including KMR) and discussions with insurers.

Description: Highlight of the ERM Symposium

Description: Read the April 2020 issue of Risk Management, published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.