Description: Modeling Approaches and Challenges focuses on approaches to real world simulation and the challenges and considerations in real world simulation. Topics include: A frequency domain approach to build realistic multi-horizon scenarios. (Ortec approach) Cascade models structure linking models for major asset classes and economic variables. (Moody’s approach) Overview of models, calibrations & approaches within the context of different use cases. Deterministic & stochastic approaches. Importance of model re-calibration flexibility. We will also discuss specific insights into considerations and challenges in real world simulation, which include topics like: Setting capital market assumptions and/or calibration targets. Assumptions about correlation and causality. Calibrating the model to capital markets assumptions. Validating the model against capital market assumptions. Role of history, market data and stylized facts. Importance of back testing. Calibrating the model to multiple investment horizons. Inclusion of alterative asset classes such as private equity, infrastructure, and direct real estate. Associated issues of limited data, illiquidity and greater uncertainty about calibration targets.

Description: The Casualty Actuarial Society, the Society of Actuaries Research Institute, the Society of Actuaries Joint Risk Management, Reinsurance and Financial Reporting Sections are pleased to make available key findings from the 2022 Emerging Risks Survey, the sixteenth in the series. Conducted by Max J. Rudolph of Rudolph Financial Consulting LLC, the survey incorporated a set of Emerging Risks defined by the World Economic Forum as the basis for several of the questions. The survey also included questions related to current risk management topics.