ERM

Principle-Based Reserves Model Governance - New Checklist Addresses Broad Modeling Risks
The American Academy of Actuaries recently released their “Model Governance Checklist” (dated August 2016). This checklist is…
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A Change of Paradigm for the Insurance Industry
In this paper we review changes in the insurance industry due to new risk-based regulations such as…
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Sound Risk Culture in the Insurance Industry
This paper reflects on the definition of risk culture and its importance for insurance companies, based on…
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Corporate Policies with Temporary and Permanent Shocks
We develop a dynamic model of investment, cash holdings, financing, and risk management policies in which firms…
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The risk-free rate: an inescapable concept?
The notion of risk‐free rate is essential to pricing risk in insurance, but it has been put…
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A new Dividend Strategy in the Brownian Risk Model
In risk theory, the stability problem addresses the safety of an insurance company. By supposing to use…
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Enterprise Risk Management
This new Focus publication, entitled "Enterprise Risk Management (ERM): A risk-based approach to the management of a…
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The Influence of Risk Measures and Tail Dependencies on Capital Allocation
(Re)insurance companies need to model their liabilities’ portfolio to compute the risk-based capital (RBC) needed. The RBC…
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Managing Your Modeling Risks
The recent financial crisis demonstrated that sophisticated computer models are no substitute for sound judgment. As the…
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Securitization, Insurance and Reinsurance
(Contribution from SCOR experts in an external publication) This article considers strengths and weaknesses of reinsurance and securitization…
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How much capital does a reinsurance need ?
(Contribution from SCOR experts in an external publication) A modern reinsurance company needs to manage its capital…
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Risk Aggregation, dependence structure and diversification benefit
(Contribution from SCOR expert in an external publication)
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The aim of this paper is to study the probability of ruin of an insurance company over…
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A review of the Annual Round Table of Chief Risk Officers.The Geneva Association
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This paper provides a critical analysis of extreme value mixture models for the approximation of heavy-tailed insurance…
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This paper focuses on various computational aspects in the Markov chain Monte Carlo simulation of the Bayesian…
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"How leading companies use risk management to drive strategic, operational, and financial performance"In the 2015 edition of…
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Complex insurance risks typically have multiple exposures. Options on multiple underliers with a short maturity are employed…
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We study the dynamics of an innovative industry in which agents learn about the likelihood of negative…
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Research shows that evidence-based algorithms more accurately predict the future than do human forecasters. Yet when forecasters…
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Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who…
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The use of proxy models within the insurance sector has grown considerably in recent years, particularly in…
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This paper conceptualizes risk culture and sheds light on the role it plays in insurers’ risk management…
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Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk…
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Achieving Near-Real-Time Risk Monitoring is the second paper in a three-part series that revisits the concept of…
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This paper proposes a novel and practical approach of addressing optimal reinsurance via an empirical approach. This…
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In order to further the awareness, the technical skills and the added value of the Risk Manager's…
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Using exploratory factor analysis of a unique dataset of global executives, we find their perceptions of their…
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This article examines how fi…rms facing volatile input prices and holding some degree of market power in…
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Another Bite of the Apple: Risk Appetite Revisited is the first report in a three-part series on…
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Guide pour connaître la démarche et toutes les étapes nécessaires à la mise en oeuvre d'un plan…
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Whenever investors become disenchanted with low returns in traditional asset classes and actively seek higher returns elsewhere,…
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The study of risk management began after World War II. Risk management has long been associated with…
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The current literature on the adoption of enterprise risk management (ERM) abstracts from the issue of its…
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Social and environmental ratings provided by social rating agencies are multidimensional. Using the six sub-ratings provided by…
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Already on the upswing in many industries, the focus on enterprise-wide risk management has entered a more…
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Enterprise risk management (ERM) has been the topic of increased media attention in recent years. Many organizations…
In this article, we review the literature and empirical research on the nature and consequences of corporate…
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A review of the extant literature of enterprise risk management (ERM) and capital allocation shows that insurers…
This report is intended to provide the user with a view of six widely used risk management…
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Enterprise risk management (ERM) is a holistic method of managing both operational and strategic risks across an…
A current research stream in the portfolio allocation literature develops models that take into account the asymmetric…
After the turmoil of the global financial crisis characterized by financial market dislocations and loss of liquidity, many world economies and financial markets…
Implementing a properly functioning enterprise risk management (ERM) programme has become increasingly important for insurance companies. Unlike…
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 This note provides educational material for those responsible for constructing, using and approving the use of models…
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This paper offers a methodology for calculating optimal bounds on tail risk probabilities by deriving upper and…
In this paper, linear mixed models are employed for estimation of structural parameters in credibility context. In particular,…
In the early 1970s Richard G. Horn established a methodology for analyzing the earnings of a life…
The recent crisis sent shockwaves through world economies and has had a disturbing effect on the lives…
The article analyses implications for risk management in insurance arising from the current financial crisis. After a…
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It is well known that reinsurance can be an effective risk management tool for an insurer to…
We propose a scenario-based optimization framework for solving the cash flow matching problem where the time horizon…
This paper describes a new approach to capital allocation; the catalyst for this new approach is a…
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This paper presents a Bayesian stochastic loss reserve model with the following features: 1. The model for…
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 A timeline formulation of simulation is where events happen one at a time at definite times, and…
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In today’s world of financial uncertainty, one major public concern is to assess (and possibly improve) the…
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This stocktaking report is the result of an exercise initiated in late 2007 by the CEIOPS’ Internal…
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The qualitative behavior of the optimal premium strategy is determined for an insurer in a finite and…
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This paper examines the impact of capital level on policy premium and shareholder return. If an insurance…
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Consider a portfolio containing number of risk classes. Each class has its own demand function, which determines…
In this article, we consider the class of risk models with Markovian claim arrivals studied by Badescu…
Hedge funds have become an increasingly important asset class in recent years. This paper discusses the asset…
The problem of allocating responsibility for risk among members of a portfolio arises in a variety of…
This paper examines empirically the impact of diversification by M&As on the insurance price of acquiring firms…
For insurers and reinsurers, economic capital has become central to enterprise risk management and is used in financial…
We present a method to combine expert opinion on the likelihood of under-reporting with an operational risk…
In recent years various dividend payment strategies for the classical collective risk model have been studied in…
In this paper we derive some results on the dividend payments prior to ruin in a Markov-modulated…
The purpose of this survey is to identify: (a) How financial organisations in countries represented by the…
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Diversification is at the core of insurance and other financial business. It constitutes an important issue in…
In the context of the quantitative requirements under pillar 1 of Solvency II, internal risk models quantify…
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…
The optimal dividend problem goes back to a paper that Bruno De Finetti presented to the International…
In this paper we show how the optimal amount of economic capital can be derived such that…
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This paper builds on Froot and Stein (1998) in developing a framework for analyzing the risk allocation,…
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The activities of large, internationally active financial institutions have grown increasingly complex and diverse in recent years.…
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Previous research on risk perception suggests that individual neglect of disasters is likely due to an inability…
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‘Responding to Global Risks’ is a bespoke and unique publication exclusively published by the IoD in association…
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The Risk Management Programme is an integral part of The Geneva Association's dialogue with economic and academic…
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