Description: Scenario generators used in financial models to quantify risk are sometimes described as being as either “real-world” or “risk-neutral”. The difference is in the treatment of the market price of risk. This report explores the relationship between real-world and risk-neutral scenarios and when it is appropriate to use each type.

Description: Feature article discussing the PBGC’s asset reallocation plan.

Description: State regulators' review of predominant LTC Risks after review of year-end AG51 reports.

Description: A discussion of the need to connect the interrelated requirements of reserve requirements, capital requirements, risk management, IASB requirements and so forth.

Description: The purpose of this paper is to address key aspects of the risk/strategy/finance ERM implementation from both the theoretical and applied perspectives. The topics to be covered are: ERM overview including historical perspective, ERM implementation—focusing on strategy, finance and risk, and Case study of how one insurance and investment company approached the integration of a major risk type within the ERM framework, market risk, into the financial planning and reporting process. This paper will focus exclusively on the insurance industry.

Description: This paper sets out to demonstrate that the economic capital, risk drivers, and business model are intricately integrated, and that this has broad implications on enterprise risk management for financial institutions. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: Risk management and capital budgeting are two critical components of the corporate decision process. They often need to be considered jointly at the corporate level because of their natural interaction through the dependent risk exposures and other synergetic relationships within an intricate corporate structure in a dynamic business environment. . This paper develops an integrated framework that aligns these two important corporate strategies across business divisions to optimize the streamlined enterprise strategic goal in a multi-period setting. The proposed integrated framework can serve as a practical guideline for corporate executives to optimally coordinate capital budgeting and risk management at the enterprise level.

Description: Many top-performing businesses aren’t just risk aware, but rather risk intelligent. Such a posture helps prepare companies for a major event and can demonstrate to a regulator or auditor that an appropriately strong control framework is in place. Better still, companies gain real strategic value from a “risk adjusted” understanding not only of their threats and vulnerabilities, but also the upside opportunities associated with various risks. It starts with having both qualitative and quantitative information to identify, assess and manage risks. Strategic risk management, at its core, is about creating value by increasing transparency and accountability, and quality of information. More than a mere compliance exercise, effective risk management enables more informed strategic decision making, increased accountability and transparency, a greater likelihood of organizational success, and – ultimately – competitive advantage, as borne out by many studies that correlate risk management and financial results.

Description: Despite a clear need and demographics which should be favorable to LTCI growth, the market remains stalled due to lack of understanding on the consumer side, and uncertainty on carriers' side. The 3 key risk areas for carriers are morbidity, terminations, and investment earnings. Financial market innovations which can address these include: repackaging risks as derivative securities, interest rate swaps and options, and inflation swaps.

Description: This article summarizes key aspects of the Economic Balance Sheet (EBS) framework with respect to valuation of long-term liabilities. It highlights key implications of the EBS framework for life insurers and actuaries.