Browse Research
Viewing 1776 to 1800 of 7695 results
2008
In the current financial markets turmoil, it is tempting to ask whether things might have turned out differently. ‘What if’ questions were a favorite of a history professor under whom I once studied. They of course are speculative, but in this case I think the pain in our financial markets would have been less if more actuaries had been involved. I offer 10 reasons.
2008
We have been observing the mortgage crisis over the recent
months. To some extent, we are like Will Rogers in that
all we know about the crisis “is what we read in the newspapers.” Even though we lack the practitioner’s in-depth knowledge of the mortgage industry, it does seem to us that lessons we have learned in the property-casualty insurance industry have relevance to the mortgage crisis.
2008
We propose a capital allocation method for insurance companies. The amount of capital is directly related to the default risk. The expected value of default can be distributed among the liabilities based on the rule of asset payoff at the time of default. We derive a capital allocation scheme from this allocation of the expected default. Assets, liabilities, and other risky items on the balance sheet are treated in a uniform framework.
2008
This note briefly describes ROOT, which is a free and open-source data mining tool developed by CERN, the same lab where the World Wide Web (WWW) was invented. Development of ROOT was motivated by the necessity to address the challenges posed by the new generation High Energy Physics experiments, which are expected to produce and analyze thousands of terabytes of very complex data every year.
2008
After Hurricane Andrew the U.S. Congress entertained proposals to allow insurers to employ tax-deferred loss reserves. Interest was strong at first, but as the events receded interest waned. However, after the most recent severe hurricane seasons the proposals are again being discussed. In this paper we examine the institution of catastrophe loss reserves in a stylized model of insurance provisions.
2008
The paper considers the ERM problem as an adaptation and stability problem of complex system development. The basic approach of W. Ross Ashby and its development by S. Beer are applied.
The cybernetic approach of W. Ross Ashby and S. Beer is the most general view on complex systems’ nature and structure with the aim to research its adaptation properties and stability.
2008
Much of the push for ERM has come from regulators and rating agencies, but it is being applied in internal company decision-making as well. This paper reviews the progress made and the needs still outstanding in two key areas of application: optimal capital level for an insurer and risk-adjusted profitability of business units. The basic conclusion is that progress has been made in these areas, but more is needed.
2008
The objective of this article is to develop a precise and rigorous measurement of a bank’s operational VaR. We compare our model to the standard model frequently used in practice. This standard model is constructed based on lognormal and Poisson distributions which do not take into account any data which fall below the truncature threshold and undervalue banks’ exposure to risk.
2008
Enterprise risk management (ERM) has been the topic of increased media attention in recent years. Many organizations have implemented ERM programs; consulting firms have established specialized ERM units; and universities have developed ERM-related courses and research centers. Despite the heightened interest in ERM by academics and practitioners, there is an absence of empirical evidence regarding the impact of such programs on firm value.
2008
This paper uses a hazard model approach to examine the factors that influence firm level adoption of enterprise risk management (ERM). Enterprise risk management provides a process by which a firm integrates all of its risk management functions. We proxy the decision to implement ERM with the decision to hire a Chief Risk Officer (CRO) or similar senior level executive.
2008
In the copula literature there are many bivariate distribution families but very few higher dimensional ones. Moreover, most of these are difficult to work with. Some of the bivariate families can be extended to more dimensions but in general the construction of distribution functions with more than two variables is a difficult problem.
2008
This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.
2008
In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their inter-risk correlation and show how inter-risk correlation bounds can be derived.
2008
Financial service firms that launch enterprise risk management (ERM) initiatives often successfully complete the start-up activities including:
2008
Motivation: Calculated rate change factors can substantially affect loss ratio forecasts and thus are critical parameters for enterprise risk management (ERM). 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.
2008
This paper uses the property-liability insurance companies as a research sample to investigate the relation between the enhancement of cost efficiency and the usage of reinsurance and financial derivatives as risk management tools. The stochastic frontier approach is applied to consider not only the mean of cost efficiency, but also its variance. The sample includes both organizational forms of insurers, namely, stock and mutual insurers.
2008
Risk is omnipresent, and hedging has been motivated by the desire to reduce risk. An essential feature of hedging is that the trader synchronizes his/her positions in two markets. One is generally the “cash" or "spot" market (the market for immediate delivery), while the other is the derivatives market (Johnson, 1960).
2008
Risk management is widely established in companies of the financial services sector. The importance, benefit and value added of risk management are more and more acknowledged in industrial companies as well.
2008
The article is devoted to risk management in the business process of materials supply for industrial enterprises.
The goals of the business process are considered, and the risks of the failure to achieve goals are identified. Probabilities and influence of negative events are estimated. The risk treatment is considered on critical risks, including forming of insurance supplies of materials.
2008
Risk and knowledge are two concepts and components of business management which have so far been studied almost independently. This is especially true where risk management is conceived mainly in financial terms, as, for example, in the banking sector. The banking sector has sophisticated methodologies for managing risk, such as mathematical risk modeling.
2008
Fraud is often a dynamic and challenging problem in credit card lending business. Credit card fraud can be broadly classified into behavioral and application fraud, with behavioral fraud being the more prominent of the two. Supervised modeling/segmentation techniques are commonly used in fraud detection to distinguish risky transactions from non-risky transactions.
2008
This paper focuses on the role of holism in enterprise risk management (ERM). The performance measure known as market consistent embedded value is discounted for being overly reductionistic. The concept of an economic capital charge or credit is seen here as a potential bridge from the reductionistic to the holistic approach. It shows some promise for achieving holism, but falls short.
2008
This paper focuses on value creation for European health insurance companies through the practical application of integrated ERM frameworks.
The European dimension is characterized by the range of relationships between health insurance and the public health care system (e.g., substitutive, supplementary and complementary forms of health insurance that co-exist in Europe), risk sharing models and the varying nature of market regulation.
2008
If we consider corporate defense as representing an organization’s program of self-defense, we are referring to the structures, measures, mechanisms and processes aimed at defending the interests of all of its stakeholders (including its people). Managing corporate defense is therefore an extremely responsible station, as it involves the responsibility for adequately safeguarding the interests of all of the stakeholders of an organization.
2008
Recent years have seen more and more the importance of the management of credit risk for investors, especially institutional investors with large portfolios of corporate bonds, loans or other credit products.
