2008 ERM Call for Papers

Sponsored by the Joint CAS/CIA/SOA Risk Management Section, The Actuarial Foundation, and the PRMIA Institute

The 2008 ERM Symposium will include presentations of papers written in response to the 2008 ERM Call for Papers.

Three prizes for outstanding papers will be presented during the opening General Session of the ERM Symposium. The prizes are:

• The Actuarial Foundation's ERM Research Excellence Award for Best Overall Paper with a monetary prize of $4,000.
• The PRMIA Institute's Award for New Frontiers in Risk Management with a monetary prize of $3,000.
• The Joint CAS/CIA/SOA Risk Management Section Award for Practical Risk Management Applications with a monetary prize of $3,000.

Questions regarding the Call for Papers should be directed to Steven Siegel, Research Actuary, Society of Actuaries, at ssiegel@soa.org.

Research Papers Presented at the 2008 ERM Symposium

Research Paper Session 1: Aggregation of Risks

Tuesday, April 15, 11:45 a.m. - 1:00 p.m.

• Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation by Klaus Bocker and Martin Hillebrand
• A Practical Concept of Tail Correlation by B. John Manistre
• Multivariate Dependence Modeling using Pair-Copulas by Doris Schirmacher and Ernesto Schirmacher

Research Paper Session 2: Impact of ERM

Wednesday, April 16, 9:35 a.m. - 10:50 a.m.

• Evolution of Loss Reserve Risk by Thomas Conway and Mark McCluskey
• An Empirical Investigation of the Characteristics of Firms Adopting Enterprise Risk Management by Donald Pagach and Richard Warr
• The Value of Enterprise Risk Management: Evidence from the U.S. Insurance Industry by Robert E. Hoyt and Andre P. Liebenberg

Research Paper Session 3: Industry Perspective of ERM

Wednesday, April 16, 11:15 a.m. - 12:30 p.m.

• What About Underevaluating Operational Value at Risk in the Banking Sector by Georges Dionne and Hela Dahen
• ERM and Other Considerations Related to a Principles-Based Approach by John J. Doodian, John Knott, and James E. Rech
• ERM for Strategic Management – Status Report by Gary Venter

Additional Research Papers Submitted to the 2008 ERM Call for Papers

• Modeling the Interconnectivity of Risks in ERM by Neil Allan, Yun Yin, and Neil Cantle
• Measuring the Rate Change of a Non-Static Book of Property-Casualty Insurance Business by Neil M. Bodoff
• ERM Maturity Level Assessment Tool by Maria Ciorciari and Peter Blattner
• Estimating Mortality Risk Using Predictive Modeling by Tom Edwalds, Steve Craighead, and Philip Adams
• Credit Portfolio under Condition of Multiple Credit Transition Metrics by Min Han
• Risk Management's Role in Corporate Defense by Sean Lyons
• Biased Sampling--Solution for Lower Incidence Rate by Muthu Mangai
• Creating Value through Integrated ERM for Health Insurance Companies in Europe by George Orros and Jane Howell
• Instantiating Holism by Christopher Perrin
• Behavioral Fraud Mitigation through Trends Offsets by Raghuveer Kancherla, Ratna Venkata, and Anurag Verma
• Before and After Modeling: Risk Knowledge Management is Required by Eduardo Rodriguez and John S. Edwards
• The Integrated ERM Problem from the Classical Cybernetic Point of View by Natalia Shcherbakova
• Integrated Risk Management for Industrial Companies: A Critical Discussion of How to Improve Risk Evaluations by Holger Sommerfeld
• Optimal Hedge Ratio and Hedge Efficiency: An Empirical Investigation of Hedging in Indian Derivatives Market by SVD Nageswara Rao and Sanjay Thakur
• ERM Integration of Finance and Risk by Daniel P. Towle
• Effects of Integrated Risk Management on Mean and Variance of Cost Efficiency of Property/Liability Insurance Industry by Hong-Jen Lin and Min-Ming Wen
• Risk Management of Materials Supply on the Example of Tube Works by Yuriy Shcherbakov