

Credit
Risk Management  Economic
Capital Calculation and Allocation
Enterprise Risk Management
 Equity Modeling
 Extreme Value Models
Health Risk Management
 Policyholder Behavior
in the Tail
Pricing for Risk 
Risk Based Capital Covariance
 Risk Management Metrics
RBC Covariance
James
Reiskytl, Leader
Goals
 to research covariance and correlation of insurance and noninsurance
risks and the impact on life insurance company surplus levels
 to document the implications of these risk impacts on internal company
surplus
Initial Product
and Process
 This research
is limited to insurance risks. The techniques used; however, to establish
the covariance factors may be extendable to other noninsurance risks.
 Covariance factors
are needed for many possible risk combinations
 For example,
one may wish to establish an asset default risk factor at a 99%
level. Covariance factors are needed to determine the appropriate
probability level for each asset default risk factor (e.g. bonds
class 1, bonds class 2, … mortgages, etc.).
 Covariance
of risks among various lines of insurance (e.g. life, health and
possibly property/casualty).
 Covariance
factors are also needed, for example, for the C1, C2, C3 and
C4 factors as defined for life RBC.
 Sectorbased
approach, as opposed to a particular ratingbased (i.e. NAIC) approach.
One common definition of the term "sector" is, for example,
an industry classification code.
 One of the first
steps for the subgroup will be to establish which combinations of individual
risks are regarded as being of interest and/or importance to the practicing
actuaries.
 These individual
results will be used to improve understanding covariance among aggregate
factors, such as the life RBC, C factors and/or property/casualty R
factors.
 These covariance
factors are a challenge to develop since the results desired in part
are for the interaction of events that have never occurred, nor may
never do so.
 The subgroup will
consider how to establish covariance factors based on assumptions that
are dynamic and appropriately reflect increasing or decreasing risks
as one moves out in the tail of likely events.
Documents &
Links
Recent Meeting Minutes:
RBCC
Minutes
– January
8, 2003
Links to RBC related sites:
(coming
soon)
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