Browse Research
Viewing 1526 to 1550 of 7690 results
2009
The paper incorporates liquid reserves, interest and dividends in the compound Poisson surplus model. When an insurer’s surplus is below a certain level, it is kept as liquid reserves. As the surplus attains the level, the excess of the surplus above the level will earn interest at a constant interest rate.
2009
In Kim and Hardy (2007) the exact bootstrap was used to estimate certain risk measures including Value at Risk and the Conditional Tail Expectation. In this paper we continue this work by deriving the influence function of the exact-bootstrapped quantile risk measure. We can use the influence function to estimate the variance of the exact-bootstrap risk measure.
2009
Traditionally, actuaries have modeled mortality improvement using deterministic reduction factors, with little consideration of the associated uncertainty. As mortality improvement has become an increasingly significant source of financial risk, it has become important to measure the uncertainty in the forecasts.
2009
In this paper we present a method for the numerical evaluation of the ruin probability in continuous and finite for a classical risk process where the premium can change from year to year. A major consideration in the development of this methodology is that it should be easily applicable to large portfolios.
2009
This paper is concerned with clarifying the link between risk measurement and capital efficiency. For this purpose we introduce risk measurement as the minimum cost of making a position acceptable by adding an optimal combination of multiple eligible assets. Under certain assumptions, it is shown that these risk measures have properties similar to those of coherent risk measures.
2009
The Benktander (1976) and Neuhaus (1992) credibility claims reserves methods are reconsidered in the framework of a credible loss ratio reserving method.
2009
This paper considers the model suggested by Schnieper (1991), which separates the true IBNR claims from the IBNER. Stochastic models are defined, using both recursive and non-recursive procedures, within the framework of the models described in England and Verrall (2002). Approximations to the prediction of error of the reserves are derived analytically.
2009
This article considers strengths and weaknesses of reinsurance and securitization in managing insurable risks. Traditional reinsurance operates efficiently in managing relatively small, uncorrelated risks and in facilitating efficient information sharing between cedants and reinsurers.
2009
Insurance company financial reporting and performance measurement are going through a significant transformation.
2009
In this paper we use accounting data of the life insurance industry in 2003 to examine the empirical relationship between the spectrum of enterprise risks and the spectrum of enterprise risk management (ERM) tools of this industry.
2009
Credit derivatives have rapidly become a key financial tool in the capital markets as a way to accept or transfer credit risk. These instruments have had a significant effect on financial markets, both in easing the trading of credit risk and increasing the complexity of financial transactions.
2009
“In the Kingdom of the Blind, the One Eyed Man is King” — Erasmus
It is widely reported that markets are made because different market participants have different views of the opportunities in the market. For every transaction, there may be an agreement on price, but an inevitable complete disagreement on direction of the next move in price.
2009
Determining contributions to overall portfolio risk is an important topic in financial risk management. At the level of positions (instruments and subportfolios), this problem has been well studied, and a significant theory has been built, in particular around the calculation of marginal contributions. We consider the problem of determining the contributions to portfolio risk of risk factors, rather than positions.
2009
This paper looks at the problem of valuing and managing the Asset/Liability Management (A/LM) risks associated with insurance liabilities that are too long to be matched by available investments. Two very different approaches to the problem are explored. The first approach called Yield Curve Extension starts with a number of simple ideas for extrapolating a yield curve and analyzes them from a risk management perspective.
2009
Concentration risks, particularly concentrations in credit risk, have played a key role in the financial instability of the banking sector in 2008. This paper examines different objectives in managing credit concentration risk. The suitability of different measures and presentation techniques is discussed and illustrated in the context of a case study.
2009
In this paper we examine time series model selection and assessment based on residuals, with a focus on regime switching models. We discuss the difficulties in defining residuals for such processes and propose several possible alternatives. We determine that a stochastic approach to defining the residuals is the only way to generate residuals that are normally distributed under the model hypothesis.
2009
ERM has methodology for quantifying the risk to capital, but to determine optimal capital the impact of capital level on firm value is needed. This gets into the realm of valuation. Also capital allocation provides risk quantification for business units, but comparing return among units is fundamentally a risk-pricing exercise. When considering risk pricing, optimal returns on allocated capital are not necessarily constant across business units.
2009
Decision making is certainly the most important task of a manager and it is often a very difficult one. The domain of decision analysis models falls between two extreme cases. This depends upon the degree of knowledge we have about the outcome of our actions. One “pole” on this scale is deterministic. The opposite “pole” is pure uncertainty. Between these two extremes are problems under risk.
2009
Business transformation initiatives are undertaken by enterprises to reduce the risk of misalignment and to build agility and adaptability to market changes. The predictability of desired outcomes needs to be managed by mitigating interdependent risks associated with changes in processes, systems, operating procedures, employee and customer base, etc.
2009
This paper starts from the viewpoint that enterprise risk management (ERM) is a specific application of knowledge in order to control deviations from strategic objectives, shareholders’ values and stakeholders’ relationships. This study is looking for insights into how the application of knowledge management processes can improve the implementation of ERM.
2009
One of the key tools to implement ERM in an organization is the “ERM dashboard.” In essence, the dashboard should provide the management of the organization with a top-of-the-house view of all risk types in an integrated manner.
2009
This paper presents an advanced approach to enterprise risk management (ERM) that significantly improves upon current approaches, largely due to two fundamental elements, namely: a focus on the management of strategic plans and, secondly, a heavy reliance upon probability theory. This paper is structured as follows. Section 1 reviews essential probability theory. Section 2 introduces the “Strategic Objectives at Risk” (SOAR) Methodology.
2009
The Influence of Enterprise Risk Management on Insurers' Stock Market Performance: An Event Analysis
Enterprise risk management (ERM) increases shareholder value. In this study we test whether ERM influences insurers’ stock market performance. The results indicate that insurers’ stock market performance is linked to the characteristic of industry events and specific firm characteristics rather than to the success of ERM. In this study the 2007–2008 subprime mortgage and financial market crisis was found unique compared to other industry events.
2009
Research papers mainly focus on market risk, credit risk, and—with a little less attention—operational risk. Although these risk types are very important for financial institutions, the true landscape of risk is much more complex and far from being well explored and understood. There is a variety of “other” risks looming on the horizon, which seriously threaten a bank’s profitability or which can disrupt or even destroy its business completely.
2009
This Memorandum describes the requirements of the Office of the Superintendent of Financial Institutions (OSFI) with respect to the Appointed Actuary’s Report (AAR), sets out the minimum standards used in determining the acceptability of the AAR and provides guidance for actuaries preparing reports in matters relating to presentation, level of detail and nature of the discussions to be included.
