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Risk Management Research Update

By Kailan Shang

Risk Management, February 2021

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The literature on risk management continues growing with a variety of interesting research in the actuarial field that we want to bring to your attention.

Negative Interest Rates and the Insurance Industry: A Survey of Risk-Management Capabilities and Practices

With the pandemic going on, central banks lowered interest rates further to mitigate its impact on economies. Negative interest rates become a more possible scenario. The report reviews negative interest rates and overviews existing literature related to negative interest. It also provides the results of a survey of actuarial practitioners on risk management capabilities and practices.

https://www.soa.org/globalassets/assets/files/resources/research-report/2020/negative-interest-rates.pdf

Exposure Measures for Pricing and Analyzing the Risk in Cyber Insurance

Cyber risk continues to be a top risk. Assessing cyber risk exposure is a challenging task. This report identifies and makes recommendations regarding possible exposure measures for pricing and analyzing the risks in cyber insurance.

https://www.casact.org/research/research-papers/Exposure-Measures-Cyber-Insurance-Bean0420.pdf

Systemic Risk in China’s Insurance Industry

The insurance industry is no exception to systemic risk. This report looks at identifying drivers of systemic risk in China’s insurance industry and develops a measurement method for systemic risk as well as systemic risk dependence between the insurance industry and other industries.

https://www.soa.org/globalassets/assets/files/resources/research-report/2020/systemic-risk-china-insurance-english.pdf

Trends in Normalized Weather-Related Property Losses in the United States: 1960–2018

This report uses the Spatial Hazards Events and Losses Database for the United States (SHELDUS) to examine trends in normalized weather-related property losses from 1960 to the present. “Normalized” losses reflect an adjustment to account for the growth of exposure between the year of each loss and 2018.

https://www.soa.org/resources/research-reports/2020/trends-property-losses/

Survey of Emerging Risks

Climate change, Cyber/networks, disruptive technology, demographic shift, and financial volatility are the top five risks identified in the 13th Survey of Emerging Risks. The report contains valuable information and recommendations for managing emerging risks.

https://www.soa.org/globalassets/assets/files/resources/research-report/2020/emerging-risks-survey.pdf

The 14th Survey of Emerging Risks is expected to be available in Q2 2021.

Modeling the Variety of Decision Making

An upcoming research develops applications of Institutional Evolutionary Economics (IEE) to actuarial modeling, especially in settings where assumptions about management behavior over the long-term have to be made. The IEE framework will be used to develop a number of possible management decisions and management decisions will be treated as an additional stochastic variable in the actuarial model.

 

Statements of fact and opinions expressed herein are those of the individual authors and are not necessarily those of the Society of Actuaries or the respective authors’ employers.


Kailan Shang, FSA, CFA, PRM, SCJP, is associate director for Aon PathWise. He can be contacted at kevin.shang@aon.com.