Reinsurers cover a large variety of risks that come from different sources and can have hidden dependencies. It is therefore…

Copula models allow to represent dependence between random variables. However, copula estimation procedures usually contain a large parameter uncertainty if…

This new Focus publication, entitled "Enterprise Risk Management (ERM): A risk-based approach to the management of a (re)insurance company", focuses…

(Re)insurance companies need to model their liabilities’ portfolio to compute the risk-based capital (RBC) needed. The RBC depends on both…

Focus SCOR Global P&C

The recent financial crisis demonstrated that sophisticated computer models are no substitute for sound judgment. As the life industry begins…

(Contribution from SCOR experts in an external publication) This article considers strengths and weaknesses of reinsurance and securitization in managing insurable…

(Contribution from SCOR experts in an external publication) A modern reinsurance company needs to manage its capital efficiently. The problem…

(Contribution from SCOR expert in an external publication)

Already on the upswing in many industries, the focus on enterprise-wide risk management has entered a more intense phase across…

Enterprise risk management (ERM) has been the topic of increased media attention in recent years. Many organizations have implemented ERM…

A review of the extant literature of enterprise risk management (ERM) and capital allocation shows that insurers have an incentive…

Enterprise risk management (ERM) is a holistic method of managing both operational and strategic risks across an organization. In recent…

A current research stream in the portfolio allocation literature develops models that take into account the asymmetric nature of asset…

After the turmoil of the global financial crisis characterized by financial market dislocations and loss of liquidity, many world economies and financial markets appear to be strengthening,…

This paper offers a methodology for calculating optimal bounds on tail risk probabilities by deriving upper and lower semiparametric bounds,…

In this paper, linear mixed models are employed for estimation of structural parameters in credibility context. In particular, Hachemeister’s model and…

In the early 1970s Richard G. Horn established a methodology for analyzing the earnings of a life insurance company that…

The recent crisis sent shockwaves through world economies and has had a disturbing effect on the lives of many. The…

It is well known that reinsurance can be an effective risk management tool for an insurer to minimize its exposure…

We propose a scenario-based optimization framework for solving the cash flow matching problem where the time horizon of the liabilities…

http://www.soa.org/library/journals/north-american-actuarial-journal/2009/no-03/naaj-2009-vol13-no3-trufin.pdf

This paper describes a new approach to capital allocation; the catalyst for this new approach is a new formulation of…

This paper presents a Bayesian stochastic loss reserve model with the following features: 1. The model for expected loss payments…

 A timeline formulation of simulation is where events happen one at a time at definite times, and therefore in a…

In today’s world of financial uncertainty, one major public concern is to assess (and possibly improve) the stability of companies…

The qualitative behavior of the optimal premium strategy is determined for an insurer in a finite and an infinite market…

This paper examines the impact of capital level on policy premium and shareholder return. If an insurance firm has a…

Consider a portfolio containing number of risk classes. Each class has its own demand function, which determines the number of…

In this article, we consider the class of risk models with Markovian claim arrivals studied by Badescu et al. (2005)…

Hedge funds have become an increasingly important asset class in recent years. This paper discusses the asset allocation decision of…

The problem of allocating responsibility for risk among members of a portfolio arises in a variety of financial and risk-management…

This paper examines empirically the impact of diversification by M&As on the insurance price of acquiring firms in the US…

For insurers and reinsurers, economic capital has become central to enterprise risk management and is used in financial decision-making including by-line pricing…

We present a method to combine expert opinion on the likelihood of under-reporting with an operational risk data set. Under-reporting…

In recent years various dividend payment strategies for the classical collective risk model have been studied in great detail. In…

In this paper we derive some results on the dividend payments prior to ruin in a Markov-modulated risk process in…

Diversification is at the core of insurance and other financial business. It constitutes an important issue in the preparation of…

In the context of the quantitative requirements under pillar 1 of Solvency II, internal risk models quantify a specific company’s…

Federal Office of Private Insurance, Confédération Suisse 113 pages

The determination and allocation of economic capital is important for pricing, risk management, and related insurer financial decision making. This…

The optimal dividend problem goes back to a paper that Bruno De Finetti presented to the International Congress of Actuaries…

In this paper we show how the optimal amount of economic capital can be derived such that it minimizes the…

This paper builds on Froot and Stein (1998) in developing a framework for analyzing the risk allocation, capital budgeting, and…

   

The activities of large, internationally active financial institutions have grown increasingly complex and diverse in recent years. This increasing complexity…