Description: The absract for the paper Increased Longevity and the Challenge of Determining qx at Extreme Ages, Part 2 - Coping with Longevity: The New German Annuity Valuation Table DAV 2004 R.

Description: A central problem for regulators and risk managers concerns the risk assessment of an aggregate portfolio defined as the sum of d individual dependent risks Xi. This problem is mainly a numerical issue once the joint distribution of (X1,X2, . . . ,Xd) is fully specified. Unfortunately, while the marginal distributions of the risks Xi are often known, their interaction (dependence) is usually either unknown or only partially known, implying that any computed risk measure of the portfolio is subject to model uncertainty. Previous academic research has focused on the maximum and minimum possible values of a given risk measure of the portfolio, in the case in which only the marginal distributions are known. This approach leads to wide bounds, as all information on the dependence is ignored. In this paper, we integrate in a natural way available information on the multivariate dependence and provide easy-to-compute bounds for the risk measure at hand. We observe that incorporating the information of a well-fitted multivariate model may, or may not, lead to much tighter bounds, a feature that also depends on the risk measure used. We illustrate this point by showing that the Value-at-Risk at a very high confidence level (as used in Basel II) is typically prone to very high model risk, even if one knows the multivariate distribution almost completely. Our results make it possible to determine which risk measures can benefit from adding dependence information (i.e., leading to narrower bounds when used to assess portfolio risk), and, hence, to identify those models for which it would be meaningful to develop accurate multivariate models.

Description: We demonstrate an integrated enterprise risk management (ERM) solution to optimize the risk portfolio, identify natural hedges, create an optimal risk treatment plan, enhance risk culture, and facilitate risk reporting throughout the organization.

Description: Full article listing of the 2006 Enterprise Risk Management symposium.

Description: Download the papers from the "Needs and Spending in Retirement: Unraveling the Mystery" monograph.

Description: Download the papers from the "Defining the Characteristics of the 21st Century Retirement System" monograph.

Description: Download the papers from the 2009 Enterprise Risk Management Symposium.

Description: Download the papers from the Retirement Needs Framework monograph.

Description: Download the papers from the "A Study of Public Employees Retirement Systems" monograph.

Description: This is a listing of the participating organizations and the sponsoring organizations for the Living To 100 and Beyond International Symposium in 2005.