CS-1: ERM in Banking
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Bank risk management has seen tremendous development over the past ten years. Speakers will talk about the efforts and progress that banks are making to develop full ERM systems and some of the reasons that ERM has not developed faster. They will share what they see as the most effective parts of their ERM programs and discuss the areas where the cost/benefit relationship may not support full development.

Moderator:
David Koenig, PRIMIA
Panelists:
James Lam, President, James Lam & Associates
Jeffrey A. Mohrenwiser, Mercer Risk Finance & Insurance Consulting



CS-2: Value of ERM
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Have you been asked to justify the worthiness of an ERM program? Attendees will get the opportunity to hear how ERM is making a difference in their organization. Find out reasons to start an ERM program, listen to others on how they started ERM programs, and what benefits have been achieved so far.

Panelist:
Ruth Y. Sayasith, Vice President & Actuary, Metropolitan Life Insurance Company
William H. Panning, Executive Vice President, Willis Re



CS-3: How ERM is Consistent With Embedded Value Reporting
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Recent events have posed serious challenges for insurers and heightened their appreciation for risk. Further, because of the spotlight on corporate governance, insurers are emphasizing transparency and disclosure. Best practice companies are improving financial transparency by developing financial systems that give them a better understanding of their business (embedded value) and linking it to an overall framework for ERM.

This session will provide an overview of how embedded value addresses external and internal questions on performance measurement and how embedded value is consistent with ERM.

Panelists:
Hubert B. Mueller, Principal, Tillinghast-Towers Perrin
S. Michael McLaughlin, Partner, Ernst & Young LLP



CS-4: Outside Perspective of ERM From Regulators, Rating Agencies, and Analysts
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Regulators, rating agencies, and Wall Street analysts evaluate enterprise risk for a variety of purposes. In addition to the published financial reports, these organizations are increasingly coming to depend on the comprehensiveness and quality of the company's ERM process.

Speakers at this session will present their assessment of enterprise risks for the insurance industry and the extent to which establishing a clear internal ERM structure aids their evaluation of a company. In addition, the panel will give their opinions on the recent growth in the number of chief risk officer positions and the importance of this role in the ERM process.

Panelists:
Eric Berg, Lehman Brothers
Allan Brender, Senior Director, Actuarial Division, Office of the Superintendent of Financial Institutions Canada
David G. DelBiondo, Pennsylvania Insurance Department



CS-5: ERM Case Studies
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Several insurance companies have developed ERM programs. Speakers will discuss their experiences where ERM has proven to be an effective risk management tool, quantified certain risk exposures, or created added stakeholder value to the organization.

Panelist:
Ronald J. Harasym, Assistant Vice President for Financial Risk Management, Sun Life of Canada
Vinaya Sharma, Senior Manager, Allstate Life
James Rozsypal, Principal, Ernst & Young



CS-6: Sarbanes-Oxley
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The Sarbanes-Oxley Act specifies broad reforms in corporate governance and disclosure rules for public companies, which, in turn, has a significant impact on the ways companies do business. This session will cover the basic provisions of the Act as they affect financial services organizations and discuss the implications for corporations and practicing risk managers.

Panelist:
Jack L. Gibson, Life Sector Leader, North America, Tillinghast-Towers Perrin
Darryl G. Wagner, Principal, Deloitte & Touche



CS-7: Credit Risk Modeling and Management
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During the last several years, credit risk has received increased attention as a growing source of risk within an enterprise. The panel will address the latest developments in measuring and analyzing credit risk as well as various methods of credit risk modeling (use of migration matrices and various other models of default probabilities and costs). A comparison of the different models of default risk, their advantages and disadvantages, will be presented and discussed. The presentations will also offer examples of effective techniques for measuring tail risk and address ways to extend credit risk modeling beyond a one-year horizon, as appropriate for long-term risks, as well as the related challenges.

Panelists:
Dennis Bushe, Vice President, Prudential Financial
Scott A. Christensen, Actuarial Assistant, Principal Financial Group
Bob Lewis, Chief Credit Risk Officer, AIG



CS-8: Market and Credit Risk Integration
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Integration of various risk modeling and management techniques has been receiving increasing attention at an enterprise level within many companies. Market and credit risks appear to be excellent candidates for such an integration. This panel will provide an overview to the possible approaches of integrated modeling of market and credit risks. The session will address stochastic modeling of interest rates and quality spreads, modeling correlations in credit and market risks, and managing counter-party risk in portfolios. The discussion will also include extension of integrated modeling beyond one year horizon, as appropriate for long-term risks, and related challenges.

Panelists:
Bill Pauling, Consultant, Tillinghast-Towers Perrin
Dan Rosen, Algorithmics Inc.



CS-9: Reinsurance Counterparty Risk
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Risk management often involves transfering risks to another financial institution through reinsurance or derivative transactions. Those who entered into energy derivative contracts with Enron found out that they had substituted "counterparty" risk for the energy price risk that they had sought to transfer away. Companies have various procedures to monitor and react to changes in levels of counterparty risk. At this session attendees will hear about the procedures and experiences of several companies.

Panelists:
John L. Shaw, Consulting Actuary, Milliman
Douglas J. Knowling, Vice President & Corporate Actuary, RGA Reinsurance Company



CS-10: DFA and DFCA as ALM, ERM Tools
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DFA and dynamic financial condition analysis (DFCA) are conceptual tools developed by the CAS and SOA, respectively, to address the issue of a company risk management from a holistic, comprehensive perspective. The panel discussion will present an overview of each method and offer insights about how these existing tools might best fit into an ERM framework. The session will address current issues associated with implementation of DFA/DFCA in a company setting, and will offer CAS and SOA perspectives on potential for further improvement of these methods to make them more efficient and applicable as ERM tools.

Panelists:
Shawn Cowls, Consultant, Tillinghast-Towers Perrin
Bret T. Price, Senior Vice President, SS&C Technologies, Inc.



CS-11: Managing and Measuring Operational Risks
Operational risk encompasses a wide range of possible problems ranging from fraud, to computer failures, to lawsuits, to the impact of terrorists and natural disasters. Great strides have been made in managing and measuring these risks, and much work for improvement is in progress. Speakers will discuss practices that are in place at insurance companies as well as potential programs under development.


Panelists:
Chris Lewis, Fitch Risk
Sean Wheeler, Senior Manager, Allstate Life



CS-12: IAA Progress on RBC
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The NAIC instituted risk-based capital about fifteen years ago. This was a substantial enhancement in solvency regulation as for the first time, capital requirements reflected varying levels of risk by insurer. The International Actuarial Association (IAA), in response to a request from the International Association of Insurance Supervisors (IAIS), is developing a global framework for risk based capital. Members of the IAA Working Party on Risk Based Capital will discuss progress thus far and anticipated future developments.


Panelists:
Glenn G. Meyers, Chief of Actuarial Research and Assistant Vice President, ISO
Les Peter Rehbeli, Mercer Risk Finance & Insurance Consulting



CS-13: Risk-Adjusted Capital Allocation
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Each component of a company's operations involves a different degree of risk. As an enterprise holds capital to protect itself against the risk of adverse financial developments, the cost of capital needs to be allocated to profit centers, business units, or product lines when making critical business decisions involving risk-transfer programs, profitability targets, and growth strategies. Such capital allocation is based on sound economic principals only when the allocation accounts for the risk profile of each component of a company's operations.

This panel will discuss how to reflect risk and capital costs in making critical business decisions and will provide an overview of the challenges associated with risk-adjusted capital allocation within an enterprise.

Panelists:
John J. Kollar, Vice President, ISO
David L. Ruhm, Assistant Vice President, The Hartford
Sim Segal, Senior Manager, Deloitte & Touche LLP
Stuart F. Wason, Managing Director, Mercer Risk Finance & Insurance Consulting



CS-14: Risk and Capital Management Through ALM
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Economic capital, value-at-risk, and capital-at-risk topics are starting to receive increasingly greater attention by the financial community and broader economy. At the same time, the techniques to deal with these concepts are still being developed and refined. How can a company utilize its current expertise on the ALM front to explore an impact of broader types of risks on its economic capital position? This session will introduce ALM concepts that will allow for integration of various risk types into one model and allow for a potential risk reduction at the enterprise level.

Panelists:
Frank Sabatini, Partner, Ernst & Young
François Morin, Consulting Actuary, Tillinghast-Towers Perrin
Taras Klymchuk, Global Financial Strategy Group, Citigroup



CS-15: Risk Premium for Insurance Product Pricing
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Actuaries have historically been charged with developing techniques and methods to price their products adequately. Embedded in the overall price is a charge for the expected losses as well as compensation to the insurer for taking on the risk—the risk premium. While many approaches have been developed over time that derive the risk premium as a function of the volatility of the product's underwriting results, few of them reflect or incorporate other sources of risk borne by the enterprise. Speakers for this session will discuss how methods for calculating risk premiums have evolved (both for life and property/casualty insurers) and how they see future research improving the way risk premiums are developed.

Panelist:
David Ingram, Consulting Actuary, Milliman USA
Donald F. Mango, Chief Risk Officer, American Re-Insurance Company
Stephen J. Mildenhall, Vice President, Kemper Insurance Companies



CS-16: Securitization & Other Instruments for Transferring Risk to the Capital Markets
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In recent years, using capital market capacities as a risk-transfer mechanism has grown in popularity in various sectors of the economy, including the insurance industry. A number of techniques for transferring various balance sheet risks to the capital markets have been developed and established.

This session will provide an overview of several methods of nontraditional risk transfer, concentrating on the concept of securitization. The panel will give examples of typical capital market securitization frameworks, comment on the economic objectives for their utilization, and discuss possible benefits and challenges of this and other nontraditional risk-transfer techniques.

Panelists:
Cory Anger, Lehman Brothers
Jayan Dhru, Managing Director Financial Services Group, Standard & Poor's
Richard W. Gorvett, Consulting Actuary



CS-17: Modeling Extreme Market Movements by Market Microstructure Theory
Modeling and predicting extreme financial market movements is a central problem for risk management. In a world where 10-sigma events occur every few years, the traditional statistical approach to risk management (e.g., VaR) is rather inadequate. The traditional approach ignores the economics of why people trade and how they trade in financial markets.

This session provides a rational approach to extreme market risk that incorporates the role of traders, market makers, and investors. The audience will be exposed to the fundamentals of market microstructure theory, and techniques to model information asymmetries, behavioral biases and uncertainty in price inference. As an application, the market risk model is calibrated to explain the essential features of the October 1987 stock market crash. The same basic model explains the financial crisis of hedge fund LTCM during 1998.


Panelists:
Kenneth Yip, Chief Investment Officer, Thunder Bay Capital Management



CS-18: Risk Metrics
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The development of VaR has driven much of bank risk management. No single risk metric has emerged with the same preeminence in insurance companies. Speakers will share the uses that their companies have made of different risk metrics, the strengths and weaknesses that they have found, and the data collection and calculation procedures needed to support the use of their metrics.

Panelists:
Max J. Rudolph, Vice President & Actuary, Mutual of Omaha Insurance Company
Fred Tavan, Assistant Vice President, Corporate Actuarial, Canada Life Assurance Company
Glenn G. Meyers, Chief of Actuarial Research and Assistant Vice President, ISO



CS-19: Risk Tolerances and Limits
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Most risk management literature tells of processes and procedures that allow risk managers to set limits and maximize returns within the risk tolerances of the company. However, little has been written about how these risk tolerances are determined. Most companies have various sets of established risk limits. ERM techniques allow companies to view all of their risk limits on the same basis and to verify that there really is a consistent set of risk tolerance constraints that support those limits. Speakers will describe their experiences in assessing risk tolerances and translating those into risk limits.

Panelists:
Zafar Rashid, Consulting Actuary
Fred Tavan, Assistant Vice President, Corporate Actuarial, Canada Life Assurance Company
Russell E. Bingham, Vice President & Director of Corporate Research, The Hartford



CS-20 and CS-21 (combined): Measures of Correlation and Measuring, Hedging,
and Managing Correlation Risk

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Correlation risk is an important part of the jigsaw puzzle of risk. Correlation risk is the risk most often overlooked or misestimated in an enterprise. This session will introduce the concept of correlation risk, and this topic will be explored in greater detail in session CS-21 that follows.

This session will also summarize major methods of computing correlations for financial models (Pearson's, Spearman, Transformational), ARCH/GARCH, and implied market values. The session will discuss the advantages and disadvantages, computational complexities, and feasibility of the approaches.

This session examines the theoretical and practical issues surrounding correlation risk of products whose payoff depends upon the correlation between the underlying factors/assets. This issue is examined in the context of specific examples of correlation-dependent products such as the correlation option, quantos, differential swaps, and lookback option in a deferred variable annuity. The session concludes with a discussion on various issues relevant for hedging correlation risk. Overall, this session solidly blends theory and practical issues surrounding correlation risk. Participants in this session should first attend the Measures of Correlation session (CS-20), which precedes this session.

Panelists:
John Dodson, Vice President, Quantitative Risk Management, American Express Financial Advisors
Pete Smith, Life Actuary, American Life Insurance Company
Jay Sultan, Founding Director, The Hughey Center for Financial Services, Bentley College
Mark Tenney, Mathematical Finance Company



CS-22 Integration Correlations of Extreme Events Into Capital Requirements

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Panelists:
B. John Manistre, Vice President Corporate Actuarial, AEGON USA Inc.
Harry H. Panjer, Professor, University of Waterloo



CS- 23: Integrated Health benefits - An ERM Perspective
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A key operational risk management issue for firms, especially firms in the service sector, are the negative implications of unplanned employee absences and the consequent loss in productivity, increase in cost and increase in risk. Integrated Benefits/Absence Management views the delivery of Health Benefits, Disability Benefits, Workers' Compensation Benefits and Family and Medical Leave Benefits from the perspective of maximizing overall employee well being, enhancing productivity and optimizing the risk/return trade-off for the firm by integrating the benefit delivery system. The panel will discuss the concept of integrated benefits, what tools are available to manage an integrated benefits program and the implications for reducing enterprise risk and overall benefit costs.

Panelist:
Annmarie Geddes Lipold, Communications Director, EPIC Actuaries LLC
Claus S. Metzner, Principal and Consulting Actuary, EPIC Actuaries LLC
Stephanie A. Ramsey, Total Absence Management Product Manager, Health Direct, Inc.



Enterprise Risk Management Symposium Agenda for Health Actuaries

The Enterprise Risk Management Symposium offers a number of general and concurrent sessions of interest to health actuaries. In addition, a special concurrent session will explore the differences in the current state of development of risk management topics for the health insurance industry and the unique solutions health insurance may require.
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