|
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
Risk Management
Metrics to support Key Business Decisions
Fred
Tavan, Leader
Goals
- to research risk
management metrics used in making key business decisions
- to document risk
and risk metric definitions and the application of risk metrics to business
decisions
Initial Product
and Process
- Definitions
of Risks
Prepare a document that describes alternate definitions of risk, the
reasons for the alternate definitions and the repercussions of utilizing
the different definitions in various decision making processes.
- Risk Metrics
Definitions
For selected risk metrics, document the definition of each metric. This
definition will be both fully descriptive and fully functional. The
definition document will be stand-alone complete as well as including
references to literature regarding the metric. Ultimately the document
could be used as an actionable reference guide for a practitioner who
wanted to apply the risk metric to an insurance company situation. The
definition will include mathematical formulas as well as verbal descriptions
of the metric. Example(s) will be provided to show how the metric can
be applied in a life insurance company situation. The definitions should
be self-contained with references so that the practitioner is not being
presented with a research project, but with a practical answer. References
should be included for the user who wants to follow the full historical
exposition of the metric.
- Applications
of Risk Metrics
For each of a list of business problems, document the pros and cons
of using each of the risk metrics as the primary measure of risk for
that problem. This document will reflect different definitions of risk
as well.
- Cross References
Develop a full cross reference capability for the material in the three
above sections so that a user can start at any of the three points and
see the logical progression to the other two in either order. For example,
if someone comes into a situation where there are existing capabilities
to calculate a particular risk metric, they can use the cross reference
to see which risk definitions and business decisions are best supported
by that metric.
Documents & Links (all
files are in .pdf format unless otherwise indicated)
Preliminary work
products:
The subgroup has prepared the following documents in pursuit of its goal
to document risk metric definitions and applications within the industry.
These are intended to be working documents and comments to the subgroup
are welcome. The documents and contents should not be considered to be
an endorsement by, or a position of the Society of Actuaries.
Recent Meeting
Minutes:
RMM
Minutes – January 21, 2005
RMM
Minutes – November 16, 2004
RMM Minutes – May 4, 2004
back
to top
Subgroups
| Events | Library
| Links | Finance
Sections
Contact Us |
Site Map | SOA
Homepage | What's
New
|
