Description: This paper focuses on the role of holism in enterprise risk management ERM. The performance measure known as market consistent embedded value is discounted for being overly reductionistic. The concept of an economic capital charge or credit is seen here as a potential bridge from the reductionistic to the holistic approach. It shows some promise for achieving holism, but falls short.

Description: Abstract for the 2008 ERM Monograph paper, “Before and After Modeling: Risk Knowledge Management is Required”.

Description: Discussion of Session 1B

Description: There are strong interactions between the population of Mexico and the Mexican-origin population in the United States MOP. The main purpose of this paper is the identification of relationships from the demographic and social security perspectives.

Description: Transcript of the Q&A period from Session 4A.

Description: Logistic-type models for the force of mortality like those introduced by Perks or Kannisto provide better fit to mortality data of people aged over 85 than Makeham’s model where the force of mortality increases exponentially with age. However, the difficulty in estimating their parameters by the maximum likelihood method makes their use less popular among actuaries. For Kannisto’s model, this paper proposes a weighted least-squares estimator which can easily be calculated with any regression software. The estimator is shown to be consistent, asymptotically unbiased and normally distributed. For Perks’ model, using a Taylor’s series expansion, the estimation problem is again reduced to a least-squares problem. The various estimators proposed in the paper are compared numerically using Canadian mortality data.

Description: This paper develops the binomial version of the Lee-Carter model and provides a comparative study of simulation strategies for assessing risk in mortality rate predictions and associated estimates of life expectancy and annuity values in both period and cohort frameworks.

Description: We propose an age-shift model to modify the LC model and deal with the problem of parameters. The proposed method attains smaller estimation errors with respect to mean absolute percentage error or mean square error. We also apply the proposed age-shift model to the mortality rates of these four countries to evaluate the longevity risk in annuity products by measuring life expectancy.

Description: This paper describes the process one goes through as a project manager in implementing an ERM dashboard. The purpose of the dashboard is to provide the management of the organization with a top-of-the-house view of all risk types in an integrated manner.

Description: Paper examines the asset allocation behavior of state and local pension plans.