Browse Research
Viewing 1551 to 1575 of 7695 results
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.
2009
Motivation: This paper discusses how NCCI estimates the cost of capital in its ratemaking framework. The implementation of this actuarial concept in ratemaking is challenging because financial economics offers more than one model for estimating the cost of capital.
2009
Motivation: Calculated rate changes can substantially affect loss ratio forecasts and thus are critical parameters for ratemaking. However, current methods are not well suited to a changing book of business.
Method: The analysis first explores the conceptual underpinnings of rate change and then applies the conclusions of this analysis to several practical problems.
2009
This paper investigates how an insurer’s pricing strategy can be adapted to respond to market conditions, and in particular the insurance cycle. For this purpose, we explore the use of dynamic pricing strategies, such as the revenue management techniques used by other industries (e.g., airlines, car rentals, internet service providers) in an insurance context.
2009
There have been numerous articles giving guidance on how to include the cost of reinsurance in rate indications. What has been missing from the discussion is a method to account for the risk assumed by the primary insurer at the higher layers of the reinsurance program.
2009
2009 Winter CAS E-Forum The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.
2009
The form of the collective risk model is S = X1 + … + XM, where X represents a common severity distribution and M is a claim-count random variable. The model for a second loss is T = Y1 + … + YN. Let Z represent the mixed severity, i.e., the distributions of X and Y weighted according to their expected claim counts.
2009
Motivation: Existing models of the market price of cat bonds are often overly exotic or too simplistic.
We intend to offer a model that is grounded in theory yet also tractable. We also intend for our analysis of cat bond pricing to shed light on broader issues relating to the theory of risk pricing.
Method. We analyze several years of cat bond prices “when issued.”
2009
In 1980, D’Arcy wrote a paper to provide insurers with a strategy to immunize against inflation. Over the past year (2008), it appeared that inflation was going to be a significant obstacle for the insurance industry on the basis of a sharp increase in the cost of commodities and increasing severity trends for property coverage as a result.
2009
The current papers available on risk transfer have provided background and a general description of the tools available for analysis. Risk transfer analysis has many nuances that can trip up an actuary testing a contract.
2009
Most actuaries learn loss development on the job and pick up whatever techniques are being used by those around them. The experienced actuary is exposed to many varieties of methods and techniques. In dealing with unstable triangles, actuaries will employ myriad assumptions, judgments and tools along the way to selecting loss development factors.
2009
Abstract:. Insurance policies cover multiple loss components. Lately, there is a move to determining the premium for a policy by combining the components. This has led to the desire to have profit margins that can be combined. This paper demonstrates that profit margins by component are not additive.
2009
This paper explains why a commonly-used metric of pricing performance, the Renewal Rate Change statistic, might not give true indications of the real rate change on Catastrophe (Cat)-Exposed Excess Property business. At the account level, false readings may arise when the renewal and expiring policies cover different layers or different sets of locations.
2009
For the first time in many years, NCCI is revising the methodology used to determine class relativities in workers compensation loss cost filings.
This paper will describe the new methodology NCCI has developed, and reveal the research approach and analyses underlying the modifications NCCI will be implementing to several key class ratemaking components.
2009
2009 Fall CAS E-Forum The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.
2009
This note is a summary of a COTOR-VALCON discussion on the relationship between an insurer’s risk and cost of capital. The focus is two fold: on the applicability of the capital asset pricing model (CAPM), and on the effects of financial frictions.
Keywords. CAPM; cost of capital; financial frictions; shareholder value; financial economics.
2009
A key component of actuarial pricing involves the allocation of the required risk load down to the individual policy level. This allocation generally depends on a corporate risk measure. However, an often unanswered or even unaddressed question involves the perspective of the risk measure; specifically, shareholders and policyholders naturally have very different inherent viewpoints of the risk distribution.
