Description: This is presentations slides summarizing the many concepts presented in the research paper. “When Black Swans Aren’t: Holistically Training Management to Better Recognize, Assess, and Respond to Extreme Events”, by Guntram Fritz Albin Werther and Thomas Herget.

Description: When fitting a model to any data, there is some uncertainty about which model is best. Green [1995] quantifies this uncertainty through the Reversible Jump Markov Chain Monte Carlo [RJMCMC] method. When using the RJMCMC method in a regime-switching situation, the chain determines the optimal number of regimes by jumping between various possibilities. This method gives each model its posterior probability of being the best. After an overview of the methodology, the authors apply it to various datasets and discuss the applications in modern actuarial science.

Description: This paper studies the statistical theory underlying minimum surplus required to protect a group insurer from the insurance, or C2, risk. Followed by 2 submitted discussion papers

Description: This paper employs the theory of real option pricing to address problems in the area of operational risk management. Particularly, it develops a two-stage model to help firms determine the optimal triggers in the event of an influenza pandemic. The first stage proposes a regime-dependent epidemic model to simulate the spread of the virus, depending on whether the firm is active or inactive. The second stage views the reactivation decision as a call option and the suspension decision as a put option, and uses dynamic programming method to determine the optimal switching thresholds.

Description: Report from research project that reviewed and inventoried the range of quality and efficiency measures that demonstrate the performance of hospitals and physicians. Besides outlining key areas of consideration for quality and efficiency measurement, this report also describes future opportunities for actuaries and other health professionals interested in this evolving area. The inventory part of the report is in a separate document.

Description: Research report describing the results of an Emerging Risks Survey conducted in 2016. The report, the tenth in a series, includes comparisons to the previous surveys.

Description: In this paper we give new general criteria for the weak convergence of one-dimensional distributions of generalized risk processes and describe the class of possible limit laws under an infinite growth of stochastic portfolio size and stochastic intensity of insurance payment.

Description: “Non-traditional” guarantees refer to guarantees that are in addition to traditional mortality, expense, and interest guarantees. Examples of such types of guarantees are death and living benefits on variable annuity contracts and no-lapse guarantees on universal life or variable universal life products. The purpose of this paper is to offer practitioners an overview of the various issues concerning the pricing of these guarantees, the many other issues which need to be analyzed and addressed in the determination of risks and the management of the block of business, and the results of a company survey of practices. This paper is based on the working knowledge of the authors, a broad compilation of literature and the company survey results. At the end of most sections of the paper, we have provided a list of resources which we have selected as some of the best sources available for those practitioners interested in researching the subject matter further.

Description: Sometimes, rare things happen and the least expected occurs. Indeed, some events occur once or twice in a lifetime leaving little room to learn from experiences. In financial markets, extreme events, no matter how rare, could have a profound impact on a company or even the whole country. Insurers are also not free from the impact of catastrophic large-scale extreme events. As a result, with pervasive economic and financial revolutions sweeping our world and potential devastative catastrophes, the increasing interest in tail risk management is fuelled by practical issues, including investment downside risk and insurance catastrophe risk. Thus, developing statistical techniques to model extreme investment and insurance losses is certainly a major task for risk managers. the purpose of our paper is to apply moment methods to estimate the joint events such as concurrent extreme investment loss and insurance loss. A novel aspect of this article is that it takes into account the correlation between different assets and insurance lines of business.

Description: This paper presents a model for analyzing the impact of underwriting cycles on an insurer’s surplus. The model allows the insurer to vary its security loading in response to the cycles, with a strategy parameter that indicates the extent to which the insurer follows the loading which prevails in the market. The insurer’s claim rate is also allowed to vary to reflect exposure changes that result from the insurer’s strategy. The paper analyzes ruin probabilities using both simulation and a Lundberg-type upper bound which is developed in the paper. It finds that the latter is suitable and convenient for comparing ruin probabilities under the different insurer strategies.