The Actuary and Enterprise Risk Management: Integrating Reserve Variability
by Mark R. Shapland and Jeffrey A. Courchene
The development of a wide variety of reserve variability models has been primarily driven by the need to quantify reserve uncertainty. The Actuary and Enterprise Risk Management: Integrating Reserve Variability moves beyond quantification and explores other aspects of reserve variability that allow for a more complete integration of these key risk metrics into the larger enterprise risk management framework. It uses a case study to discuss and illustrate the process of integrating the output from periodic reserve and reserve variability analysis into the wider enterprise risk management processes. Consequences of this approach include the production of valuable performance indicators and a strengthening of the lines of communication between the actuarial function and other insurance functional departments, both of which are valuable to management.
Mark R. Shapland has a B.S. degree in integrated studies (actuarial science) from the University of Nebraska-Lincoln. He is a fellow of the Casualty Actuarial Society, a fellow of the Society of Actuaries, and a member of the American Academy of Actuaries. He was the leader of Section 3 of the Reserve Variability Working Party, the chair of the CAS Committee on Reserves, co-chair of the Tail Factor Working Party, and co-chair of the Loss Simulation Model Working Party. He was a member of the CAS Board of Directors from 2016 to 2019, chaired the CAS Audit Committee in 2018-19, and served on numerous other CAS committees. He is also a co-developer and co-presenter of the CAS Reserve Variability Limited Attendance Seminar and the European Actuarial Academy's Stochastic Modelling Seminar and has spoken frequently on this subject both within the CAS and internationally. He can be contacted at mrshapland@netzero.com.
Jeffrey A. Courchene is a principal and consulting actuary in Milliman's London office, where he is responsible for various reserving, Solvency II, and enterprise risk management projects for a variety of clients. He has a B.S. degree in mathematics from the University of Denver. He is a fellow of the Casualty Actuarial Society, an affiliate member of the Institute and Faculty of Actuaries (IFoA), and a member of the American Academy of Actuaries. He has chaired the CAS International Member Services Committee and the CAS European Regional Committee and served on numerous other CAS committees and IFoA working parties. He served on the CAS Executive Council as vice president, international, from 2013 until 2016 and as CAS liaison to the IFoA General Insurance Board from 2013 until 2017. He is also a co-developer and co-presenter of the European Actuarial Academy's Stochastic Modelling Seminar and has spoken frequently on this subject both within the CAS and internationally. He can be contacted at jeff.courchene@milliman.com.
