Description: For the purposes of risk management and stress testing, we characterize a spectrum of plausible extreme events, that we dub Grey Swans, by introducing a probabilistic method involving the concentration of measure phenomenon. As a result, stress tests can be triaged according to severity, probability and, now, information-based plausibility.

Description: Review of stochastic, modeled geo-spatial risk metrics for insurance loss concentration and clustering and their counter point use for diversification

Description: This paper uses stochastic simulation technology to present a risk metric for defined benefit pension plans that provides improved measures of the plan's solvency and provides a tool for pension plan managers to determine the value of risk mitigation activities. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: This study presents a new framework which can measure integrated marked risk and credit risk for portfolios consisting of various assets through continuous time horizons. In a simulation, the study shows that asset type, initial rating, time horizon and asset return distribution assumptions are all significant factors to influence the portfolio value distributions and hence the integrated VaRs. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: In this article, we provide practical guidance for understanding how to develop and apply an effective risk appetite statement.

Description: A discussion of the possible effort required and impacts resulting from the implementation of C3 Phase II for establishing risk-based capital for variable annuities. This article will describe practical considerations gleaned from actual valuation calculations recently performed by a consulting firm.

Description: This paper develops a new technique, which allows the analyst to maximally use all thte historical interest rate information available in forecasting interest rates. Interest rates' daily change do not follow a stationary random process over long time periods. Instead, the process is comprised of stationary periods, each a few years long, with relatively short transitional periods between different stationary periods.

Description: Feature article that discusses the importance of developing a risk tolerance statement.

Description: After a very challenging year, actuaries need to look back and consider the lessons learned. Have we returned to where we were, or have we moved on to a new norm? What does the COVID-19 pandemic market data tell us that will help us to prepare for future global crises?

Description: This research report models the impact on the U.S. insurance market resulting from a post-Brexit economy in the UK.