Description: The article provides a summary of the Drake Risk & Opportunity Forum held on October 21, 2022. The forum was a hybrid conference that attracted more than 200 attendees from 17 states, two countries, 48 employers, and five universities. Following an introduction by the Zimpleman College of Business Dean, the forum held six sessions. First was an insurance company CRO panel followed by a panel of non-insurance company CROs. Gary Zhu shared his outlook for interest rates and capital markets. The fourth panel discussed insurance capital models. The fifth panel discussed environmental, social, and governance (ESG) criteria when building insurance company investment portfolios. The final session of the day was a discussion about the NAIC, how they operate, and their priorities for the coming year.

Description: Our previous article, “Introduction of Cashflow Matching Strategic Asset Allocation (SAA) Framework,” introduced the concept and included a real-world case study that developed a liability-driven investment strategy for a single line of business (LOB) for a life insurer. This article expands the framework and the case study from a single LOB to simultaneously optimize asset allocation across multiple LOBs. It discusses how this multi-line SAA framework can enable an insurance company to efficiently tag its asset holdings to each LOB, identify opportunities in the public and private asset markets to enhance risk-adjusted returns, and develop a deeper understanding of the trade-off between the degree of cashflow matching and risk-adjusted returns across LOBs.

Description: An Overview of Stochastic Simulation modeling techniques and usages

Description: Abstract: Individuals face many risks during different phases of their financial life cycle. These risks in turn have major financial implications on their wealth creation, wealth preservation and wealth distribution aspirations. Traditionally risk taking is viewed negatively in relation to the personal financial-planning domain. In fact, most of the studies linking risk management to personal financial-planning focus primarily on investment and insurance related risks. In contrast, enterprise risk management (ERM) takes a portfolio view of risks right from the personal level to the organization level. The existing literature on ERM is seen as an essential feature of corporate world and there is not much literature available that explicitly addresses the issue of aligning ERM framework to the whole spectrum of personal financial planning. In this backdrop, it seems logical to develop an in-depth study on aligning an ERM framework to a personal-financial planning domain. Accordingly, this conceptual paper, avoiding mathematical jargon, extensively examines the extent to which ERM can be aligned to the personal-financial planning domain. The Study concludes by suggesting how individuals should identify, aggregate, evaluate and address risks across the whole spectrum of personal financial planning domain

Description: The paper focuses on value creation for European health insurance companies through the practical application of integrated ERM frameworks.

Description: In the copula literature there are many bivariate distribution families but very few higher dimensional ones. Moreover, most of these are difficult to work with. Some of the bivariate families can be extended to more dimensions but in general the construction of distribution functions with more than two variables is a difficult problem. This paper introduces a construction method that is straightforward to implement and can produce multivariate distribution functions of any dimension.

Description: Much of the push for ERM has come from regulators and rating agencies, but it is being applied in internal company decision-making as well. This paper reviews the progress made and the needs still outstanding in two key areas of application: optimal capital level for an insurer and risk-adjusted profitability of business units. The basic conclusion is that progress has been made in these areas, but more is needed. Building models is not emphasized—it will be assumed that a state-of-the art model is available. The emphasis is on using such models in decision-making.

Description: A response to the comments on the paper.

Description: The author discusses how China is poised for dramatic changes in its life insurance industry that will raise both opportunities and challenges. The author notes that China has particularly spectacular growth prospects, and given the nature of the business, the industry will have an almost insatiable appetite for capital. However, In order to accomplish this, China's insurance industry needs to advance its financial management and improve its ability to produce transparent financial information, in a timely and reliable manner. The author compares China’s current position in the life insurance compared to other Asian countries, and describes the steps needed to improve its financial management.