Description: The article provides an update on the 2019 ERM Symposium with regard to date, location and content (General Sessions and Concurrent Sessions).

Description: The article provides an update on the 2019 ERM Symposium with regard to date, location and content (General Sessions and Concurrent Sessions).

Description: This article discusses the whys and hows of managing risk and capital at the enterprise level.

Description: This abstract describes a paper that proposes the use of the Co Conditional Tail Expectation 'CoCTE' to measure systemic risk and endogenizes the pro-cyclicality of capital requirements.

Description: Summary of recent surveys to life actuaries regarding assumptions surrounding policyholder behavior in the tail for universal life with secondary guarantees and minimum guarantees on variable annuities. This information is intended to examine and ultimately give guidance to actuaries on how to set policyholder assumptions in extreme scenarios.

Description: This paper will show how the NAIC formula and others can be allocated by line of business by the use of partial derivatives of RBC.

Description: The purpose of this paper is to build a bridge between the traditional methods of looking at financial risk and insurance risk. The paper starts by explaining the concepts behind VaR models of economic capital used in banking. Differences between actuarial and financial views of risk are reviewed and explained. The paper concludes with proposing, developing, and parameterizing a true VaR model of insurance loss reserve risk, which combines several lines of business. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: This article provides an introduction to group supervision and group capital and its importance in today's increasingly global insurance market. Additionally, the article examines the various methods used in practice for calculating group capital and the factors that companies should consider as they develop their group capital management strategy.

Description: This paper addresses the allocation of solvency capital in multi- line financial businesses. Although this paper is uniformly applicable to financial enterprises of all types, the terminology in the paper is mainly that of insurance. The TailVaR risk measure is extended in a natural way to allocating capital to each of the business units. This method of allocation allocates capital in a way that is invariant over the method of decomposing the enterprise into business units. Analytic results are derived in the case of multivariate Normal risks. The key result of this paper is that the TailVaR-based proportional allocation of total required capital is identical to that based on mean-variance considerations analogous to the CAPM in the case of the multivariate Normaldistribution.

Description: The management of the investments of an insurance enterprise has undergone a considerable evolution since the pioneering work of Redington in the mid 20th century. Best practices have evolved to incorporate ever more complex insurance liabilities, expanding investment asset classes and global market opportunities. Strategic asset allocation (SAA), liability driven investing, and other robust optimization approaches form the core of the professional management of insurance company investments.