Description: The author compares and contrasts methodologies used for value investing and enterprise risk management.

Description: Basic Qualification of Life Insurance Contracts under the Internal Revenue Code

Description: Discussion of the economics of a possible H5N1 pandemic, and its impact on Life, Health, and Property and Casualty insurers, in terms of areas of risk, especially underwritng risk, operations risk, and market risk.

Description: Highlight of the ERM Symposium

Description: Institutional investors seeking to hedge have no shortage of choices, and need the right framework to manage the different risks in portfolios as they arise. This article analyzes performance of different equity hedging strategies over the last 15 years, and lays out a potential hedging framework that takes into account types of risks being hedged, fundamental views, and current market pricing of protection.

Description: Update of the activities being carried out by the Joint Risk Management Section

Description: Abstract: Interest rate changes and volatile equity returns have contributed to significant funding and expense volatility for defined benefit plans in recent years. This paper will describe the design of an option contract with payouts that are tied to the combined impact of interest rates and investment returns on the funding level of a defined benefit pension plan. Current derivatives used by plan sponsors can limit exposure to one of these risks; however, a derivative that combines these risks may provide more targeted protection to a plan sponsor at lower cost. This paper discusses several considerations in designing such a derivative. It will also briefly discuss pricing of the option. Finally, the difference in potential outcomes between plan funding with and without option ownership will be demonstrated. As an outcome of the design work, a new way to visualize pension risk that may be useful in sponsor accounting disclosures will be shown.

Description: This paper defines Distributable Earnings as the generalized pricing and valuation framework for financial contracts containing the requirement to hold capital or reserves in support of the obligations. It examines the Market Value paradigm and its foundation arising from the pricing of fixed income securities. It reconciles these two methods, showing that market value methods ignore mandatory capital and reserve requirements, which carry both risk and cost. The paper makes the case for the Distributable Earnings framework, not Market Value, as the true basis for economic value for these financial contracts. Finally, it concludes that this framework must be employed in risk-management processes, else fail to recognize a significant source of risk.