Concurrent Sessions

Sessions in this track will explore best practices for managing risk and capital, as well as practical suggestions for adding value when implementing ERM and economic capital (EC). The sessions focus on creating value through ERM in decision-making, and provide an update on best practices for leveraging an EC framework and the use of reinsurance. In addition, our expert presenters will address other current hot topics worldwide. Sessions will address:

• how companies are adding value to ERM,
• optimization of multiple risk strategies and
• risk-based financial management of insurance companies.

This track of sessions offers an opportunity to learn about the state of risk identification across various industries. Topics such as credit risk and operational risk will be explored.

Sessions will address:

• risks of mispricing and rogue trading,
• how to spot emerging enterprise risks and
• implementing a comprehensive privacy program.

Advanced issues and techniques across various industries will be presented during this track of sessions. The technically inclined attendees will have an opportunity to choose more analytical sessions to learn about the “nuts and bolts” of the latest ERM applications and issues from some of the most well-known professionals in the risk management field.

Sessions will address:

• advances in credit risk quantification,
• advanced economic capital and
• advances in ops risk quantification.

Regulatory and rating agency views must be taken into account as companies develop their ERM programs. Because of changes in risk landscape, global and local regulators and rating agencies are refined their models to adapt to this new reality. Sessions will focus on the changing paradigm in the regulatory-and rating-agency landscape.

Sessions will address:

• risk regulations-learnings from the industry,
• lessons from the international regulatory systems and
• global insurance regulations, risk management, and credit crisis implications.

This track of sessions will elaborate on the link between corporate governance and risk management, touching on issues such as risk appetites and risk monitoring. Speakers will present some real-life examples of the broad spectrum of corporate governance systems, address various governance initiatives, and highlight the challenges of establishing the boards’ accountability to deliver shareholder value.

Sessions will address:

• how risky your risk information is,
• a global perspective on risk management structure and
• the role of the board in providing effective ERM oversight.

The 2009 ERM Symposium seeks to offer a diversity of views, and the research track will present research from the academic community. The PRMIA Institute and ERM Institute International are jointly serving as scientific organizers of the research track. Five concurrent sessions will be offered within the research track. Authors will present their research, and an industry discussant will remark on how the research may be applied in practice. Questions and comments from the audience will be encouraged to stimulate the discussion. Visit www.ERMSymposium.org for the list of authors and research papers that will be featured at the 2009 ERM Symposium.

Sessions will address:

• a capital allocation based on solvency exchange option,
• an extreme value approach to hedging portfolio and
• the impact of correlation crises in risk theory.

Each of the tracks is rapidly evolving to better meet the needs of firms as they implement enterprise risk management. Join fellow attendees in this roundtable format as you become the speakers, share your knowledge and develop solutions to issues commonly faced by ERM practitioners on a variety of topics.

Sessions will address:

• decision making,
• risk identification and
• quantification.

Moderator: Judy Wong, New York Life Insurance Co.
Presenters: Linda Chase - Jenkins, Towers Perrin; Cathy Jourdan, PricewaterhouseCoopers LLP

Recent surveys of ERM practitioners and users from around the globe have probed the real-world performance of ERM implementations, as well as how such performance accords with advertisements of its abilities. These surveys have produced insightful findings that can help practitioners gain improved buy-in from their constituents.

Experts in this session will present survey highlights and go behind the numbers to reveal key themes and trends. A key focus will be upon whether and how ERM can deliver its advertised strategic benefits and what adjustments need to be made to better meet the needs and expectations of consumers.

At the conclusion of the session, you will have gained an understanding of how ERM is viewed around the world, its actual and perceived successes and failings, and what senior managers demand from an ERM program. You will be equipped to compare and contrast your own ERM implementation, with survey results that indicate industry direction.

Moderator: Jean-Pierre Berliet, Berliet Associates, LLC
Presenter: Alexander Shipilov, TD Bank Financial Group; Basil Rabinowitz, Assurant Inc.

The current market conditions increased the risks of mispricing and rogue trading faced by banks, insurance companies and investment firms. This presentation will provide insight into the factors that drive these risks. Special attention will be given to techniques and remedies used by financial institutions to mitigate the risks; the following questions will be addressed:

• What is a typical environment where mispricing or/and rogue trading could happen?
• What are the lessons learned from known rogue trading/mispricing incidents?
• What measures are used to prevent and detect mispricing and rogue trading?
• How to mitigate risks and limit losses of a rogue trader

Moderator/Presenter: Dan Rosen, R2 Financial Technologies
Presenters: Thomas M. Farina, Deutsche Asset Management; Michael Pykhtin, Bank of America

Credit investors understand the importance of holding diversified portfolios, avoiding concentrations in specific credits and industries, and utilizing latest learnings and advances in risk methodologies. Recent market events have brutally exposed the consequences of inadequate measurement and management of credit exposures.

This session will focus on recent advances in credit risk quantification including conceptual, methodological and technological advances. We will investigate and ventilate emerging best practices in concentration management, risk/reward trade-offs and portfolio theory. Presenters will deliver their remarks within the context of recent and evolving credit conditions and impacts.

At the conclusion of the session, attendees will have gained a better appreciation of modern credit risk management practice, with applications, and be able to apply learnings to the specific circumstances and positions.

Moderator: Valentina Isakina, Bain & Company
Presenter: Kurt Karl, Swiss Re

How did the various financial regulations impact the industry participants during the last few years? What worked and what did not? Do we expect a regulatory paradigm shift given the current credit crisis? If so, what do we expect the new regulatory environment to look like? In this session, several industry risk executives will share their perspectives on the current regulatory environment and potential developments.

Moderator: Dilip Krishna, Teradata Corp.
Presenter: Robert Mark, Black Diamond

In today’s volatile market, risk management has become a key survival tool. Risk information management is essential in ensuring that data is available for risk model development, that ongoing risk measurements have credibility and that risk metrics are effectively used across the enterprise. A particularly relevant recent “blind spot” has been the inability to accurately model the risk of complex structured products-a high-quality risk information management system can help greatly in this regard. Information management is also critical in ensuring communication throughout the organization and in gaining the confidence of external stakeholders like investors and ratings agencies.

This session will cover innovations and best practices in risk information management in the banking and insurance industries. The impact of inferior information quality and its adverse impact on risk management will be reviewed. The session will also discuss the issues facing risk managers, with particular focus being given on the impact of information management on communication among stakeholders such as the board, shareholders and regulators.

You will learn to align risk measurement methodologies with a number of management variables: risk policies, corporate governance, government and reporting regulations and relevance to business management. At the center of this important alignment is information-the organization’s critical resource for keeping pace with financial innovation, market fluctuations, rapid globalization and the frenetic rate of change in today’s markets.

Reviewer: John Manistre, AEGON
Presenter: Mary Hardy, University of Waterloo

The 2009 ERM Symposium seeks to offer a diversity of views, and the research track will present research from the academic community. Authors will present their research, and an industry discussant will remark on how the research may be applied in practice. Questions and comments from the audience will be encouraged to stimulate the discussion. PRMIA and ERM International Institute are jointly serving as scientific organizers of the research track.

Facilliators: Aaron Halpert, KPMG LLP; William Kokontis, Commodity Futures Trading Commission

Enterprise Risk Management is rapidly evolving to better meet the needs of firms. Join fellow attendees in this roundtable format as you share your knowledge and develop solutions to issues commonly faced by ERM practitioners. Facilitators will help guide the discussion to keep the topics varied and useful to practitioners. Topics will be determined by interest at the session, but could extend comments made at other sessions or issues of general interest. Each roundtable session is meant to be broad and not tied to issues related to a single track.

Moderator/Presenter: David Ingram, Willis Re
Presenters: Curt Burmeister, Algorithmics, Laura Taylor, Aon Risk Services

The next stage in the development of ERM moves it into the decision-making arena, helping adjudicate the multitude of everyday decisions that managers throughout an insurance organization make. Ensuring that such decisions are coherent, informed and effective requires a high degree of connectivity among the organization’s moving parts. This connectivity can only be achieved through the development and application of next-generation software that measures the incremental effects on a company’s risk, return and capital of a decision that could be made, and captures the ofttimes subtle synergies amongst constituent assets and liabilities.

This session focuses upon recent advances in the development of ERM 2.0 software, paying special attention to the key development challenges, and early-stage experiences. Speakers will describe the salient aspects of how the ERM 2.0 approach differs from it predecessors and spotlight their plans for assisting company risk and return managers better achieve their business goals.

At the conclusion of the session, you will have gained a better understanding for the key conceptual elements of ERM 2.0, how it can help you at work, and the plans and goals that software vendors have for filling needs of practitioners.

Moderator: Sim Segal, Watson Wyatt
Presenters: Neil Allan, University of Bath; Neil Cantle, Milliman, Inc.

Many commentators on the recent financial crises allude to systemic causes in the industry. This is consistent with our view of risk being an emergent property of a complex system. It is essential to understand the nature of the complexity of a system to be able to comprehend how organizations and whole industries can reach a tipping point. Experts will demonstrate these phenomena using classical systems theory and show that, indeed, the entire history of the “poised” system causes the emergent event. Experts then go on to show how we can give early indications of an enterprise approaching this phase change. A case study will be used to show how these theoretical concepts from complexity science can and have been used to model risks in an insurance company. The presentation will provide a series of examples and thoughtful demonstrations of how the exciting new branch of complexity science can help actuaries and risk professionals model emerging risks.

Moderator/Presenter: Hubert Mueller, Tillinghast
Presenter: John Manistre, AEGON

Economic capital serves as the critical linkage between risk and return and underpins emerging theory and practice with respect to balance-sheet provisioning. Most financial intermediaries are implementing economic capital platforms in response to regulatory initiatives and to improve their capital budgeting and management processes. Fundamentally, economic capital formalizes and standardizes estimations of balance sheet provisions required to withstand extreme events, at defined levels of confidence. For the first time, coherent, informed and responsive capital provisioning is within reach.

Economic capital has a variety of uses beyond provisioning. Practitioners now can understand the specific risk/return dynamics of balance sheet constituents by decomposing and attributing economic capital. Insights about diversification synergies among and between these constituents are now possible. This means that company managers now have at their disposal the ability to quantify the incremental risk/return impact of a hypothetical business decision and draw conclusions accordingly. In this session, experts explore the use of economic capital approaches within the realm of everyday business decision-making and the implications involved.

At the conclusion of the session, you will have gained a better appreciation of the applications of economic capital and how it can help you understand and choose from among the multitude of managerial decisions you could make.

Moderator: TBD
Presenter: Allan Brender, Office of Superintendant of Financial Institutions of Canada; Sabeth Siddique, Federal Reserve Board

In this session, expert regulators will discuss lessons from the international regulatory systems that were uncovered during the credit crisis. The panel will discuss initiatives and approaches that have been tested to their limits during the crisis, discussing what worked and what did not. Come and join this session to hear about the learnings in regulations across several international regulatory regimes.

Moderator: Thomas Fineis, Deloitte Consulting LLP; Terri Dalenta, Aviva North America
Presenters: Terri Dalenta, Aviva North America; Adam Politzer, Deloitte Consulting LLP

Determining the appropriate structure and governance model of an ERM program provides the necessary foundation for an organization’s ERM strategy. The design of the ERM program must be consistent with the company’s culture and strategy.

During the session, experts will review how specific guidance from rating agencies, regulatory bodies and other organizations has influenced ERM governance structures, including the role of risk managers and the board of directors across the globe. We will introduce a maturity model that can be used to evaluate ERM best practices across multiple ERM governance and structure dimensions, including culture, roles and responsibilities, integration to the business, and communication. We will specifically discuss a point of view as to how a risk department should be organized relative to risk committees, the board of directors, other functional departments and business units. This will include examples of what a board of directors should demand from the company’s ERM program and discuss ways risk managers can better help to engage and inform its board. Examples of organizational structures used by successful ERM programs will be reviewed.

Reviewer: Dan Rodriguez, Credit Suisse
Presenter: Ser-Huang Poon, Manchester Business School, University of Manchester

The 2009 ERM Symposium seeks to offer diverse views and, to that end, the research track will present research from the academic community. Authors will present their research, and an industry discussant will remark on how the research may be applied in practice. Questions and comments from the audience will be encouraged to stimulate the discussion. PRMIA and ERM International Institute are jointly serving as scientific organizers of the research track.

Facilitator: Neil Strauss, Promontory Financial Group

Enterprise Risk Management is rapidly evolving to better meet the needs of firms. Join fellow attendees in this roundtable format as you share your knowledge and develop solutions to issues commonly faced by ERM practitioners. Facilitators will help guide the discussion to keep the topics varied and useful to practitioners. Topics will be determined by interest at the session, but could extend comments made at other sessions or issues of general interest. Each roundtable session is meant to be broad and not tied to issues related to a single track.

Moderator: Matthew Clark, Ernst & Young LLP
Presenters: James Bachman, GR-NEAM; Luyang Fu, State Auto Insurance Companies

Optimization technology plays a key role in the emerging application of ERM to business decision making. Organizational complexity typically hinders the ability of humans to reach optimal, confident business decisions in the absence of supporting technology. Historically, optimization technology has helped control complexity and creates a rigorous framework for coherent business decision-making. This session highlights the key role that such technology plays in the insurance space. Optimal underwriting, reinsurance and investment strategies are determined simultaneously to maximize the downside-risk adjusted profit. A case study will illustrate this ERM framework numerically.

Second, using the TVaR capital metric, another case study will demonstrate the application of optimizing approaches to the strategic and tactical allocation of assets. This case study will illuminate the many and peculiar constraints that afflict the optimizing of an insurer’s balance sheet.

At the conclusion of the session, you will have gained a strong appreciation for optimizing approaches to risk/return adjudication through real-world demonstrations. You will leave equipped to apply learnings to the specific instances of your company’s situation.

Moderator: TBD
Presenter: Kathline Holmes, Gailforce Human Resources Solutions; Erwin Janush

Most experts believe that talent management will be the principal factor in determining business success across all industries, geographies and sizes of firms. To succeed, management must focus ERM efforts on these risks, evaluating their exposures and seeking efficient mitigation techniques. In this session, experts will discuss how to identify, measure and manage/mitigate these risks. Case studies will be presented. Experts will also explore mitigating the risk of a bad hire, one of the most overlooked HR risks.

Moderator/Presenter: Wayne Blackburn, Milliman, Inc.
Presenters: Chris Suchar, DFA Capital Management Inc., Frank Sommerfeld, EMB

Risk issues at property / casualty companies arise from fundamentally different risk drivers from those that affect life insurers. Non-Life ERM is far from just a clone of life-side ERM. While risk managers may employ concepts like duration, the treatment objective can be significantly different from common understandings and involve complex analyses of going-concern considerations, cash-flow volatility and liquidity issues. In addition P/C risk management critically focuses upon tail events and extreme outcomes and the intricate funding thereof.

This session approaches risk management from the unique perspective of the general insurer, highlighting key methodological differences and recent advances in risk identification and quantification. A close look at prevailing risk metrics and presentation approaches is also provided.

At the conclusion of the session, attendees will have gained a better understanding and appreciation for risk management from the P/C perspective and the unique considerations that occupy practitioners.

The 2009 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics with a focus on the analysis and practical tools related to financial and operational risks, interaction between the risks (i.e., diversification benefits), integrated ERM, and ERM value creation.

• Risk Factor Contributions in Portfolio Credit Risk Models By Dan Rosen and David Saunders
• A Primer on Credit Derivatives By Stephen D’Arcy, James McNichols, and Xinyan Zhao

Moderator: Mary Ellen Coggins, PricewaterhouseCoopers LLP
Presenters: Mary Bahna-Nolan, PricewaterhouseCoopers LLP; Robert Rosholt, Nationwide; Michael Mahaffey, Nationwide

During the latest credit crisis, several boards of directors for organizations, thought to have had strong risk management practices, were caught off guard by these organizations' financial struggles. Perhaps this grew from a false sense of comfort in the corporate assessments made by rating agencies or from a lack of understanding of the "black-box" models used to measure risk. In response, investors and regulators have begun to question the adequacy of the level of board oversight of risk management. Certainly, current events have highlighted the importance and necessity for effective ERM governance, including both the reporting to and involvement of the board.

To accomplish the goal of guiding an organization towards optimizing risk-adjusted returns, a chief risk officer must develop an effective means of communicating risk data, assessments and measures with both the board of directors and senior management. This ensures the reporting of clear, accurate, comprehensive and timely risk information, and provides a level of understanding around the inherent limitations of the risk measures being reported. In turn, the board of directors or its risk committee must commit to effectively performing its risk management oversight role, and must seek sufficient levels of key risk information from the CRO and the management team.

This session will cover the role of the board of directors and its risk committees in ERM and the evolving best practices surrounding the reporting of risk matters between the board risk committee, senior management and the independent risk overview function.

You will learn the role of board risk committees in ERM, as well as the common challenges faced by organizations in ensuring that the communication with the board of directors is timely, clear, concise, comprehensive and easy to understand. Additionally, you will gain insight into best practices used within the industry for robust communication with the board, including the transparent communication of risk profiles and key exposures, summaries of active risk mitigation strategies, the results of economic capital modeling including model limitations and overviews of emerging risks.

Reviewer: Glenn Myers, ISO Analytics
Presenter: Stephane Loisel, University of Lyon

The 2009 ERM Symposium seeks to offer a diversity of views, and the research track will present research from the academic community. Authors will present their research and an industry discussant will remark on how the research may be applied in practice. Questions and comments from the audience will be encouraged to stimulate the discussion. PRMIA and ERM International Institute are jointly serving as scientific organizers of the research track.

Facilitators: Jessica Leong, Milliman, Inc.; John Dodson, The Options Clearing Corporation

Enterprise Risk Management is rapidly evolving to better meet the needs of firms. Join fellow attendees in this roundtable format as you share your knowledge and develop solutions to issues commonly faced by ERM practitioners. Facilitators will help guide the discussion to keep the topics varied and useful to practitioners. Topics will be determined by interest at the session, but could extend comments made at other sessions or issues of general interest. Each roundtable session is meant to be broad and not tied to issues related to a single track.

Moderator/Presenter: David Ruhm, The First American Corporation
Presenter: Mark Homan, Hartford Financial Services Group

ERM programs have been in place at many large financial institutions for several years. Yet, a surprising number of these large financial companies either have failed or are in severe economic distress due to economic risks. In this session, potential causes of first generation ERM program failures will be discussed and an example of a more bottom-line-designed ERM program structure will be presented.

Moderator:TBD
Presenter: John Kelly, Open Pages; Joseph Nocera, PriceWaterhouseCoopers

Data privacy is one of the most important elements of a regulatory compliance program. In today’s increasingly global marketplace, sensitive customer and employee data is sent instantaneously across borders and often distributed to a complex network of partners, contractors and suppliers. Compounding the problem is the fact that privacy regulations vary across countries, regions and states. This session will describe Barclay’s privacy initiative which has implemented a comprehensive privacy program across 60 jurisdictions world-wide. The session will discuss the successes and the pitfalls, as well as the improvements planned as part of the new implementation based on OpenPages.

Moderator/Presenter: Carl Groth, Deloitte
Presenters: Daniel McKinney, Ernst & Young LLP; Soubhagya Parija, Sterling Jewelers, Inc.

Quantifying operational risk for risk assessment and capital modeling purposes has been a long-standing challenge due in large part to shortages and shortcomings in historical loss data. This session will explore how combining Bayesian and stochastic modeling processes using event tree models and scenario analysis can be used to overcome these problems and help arrive at loss distributions based on all available data and expert opinion.

Operational risk is the final frontier in risk management and the one presenting the challenges to practitioner. Methods for advancing our understanding of operational risk dynamics are critical.

At the conclusion of the session, attendees will have gained a better understanding and appreciation for operational risk and for methods for formalizing and standardizing quantitative approaches.

Moderator: Michel Rochette
Presenters: Frank Sommerfeld, EMB; Robert Klein, Georgia State University

In this session, a distinguished international panel will compare and contrast the insurance regulations of Solvency II and North America and will offer their perspectives on how these regulations align with risk management principles. They will also discuss potential implications and/or changes in the global regulatory systems and these principles given the latest market crisis.

The 2009 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics with a focus on the analysis and practical tools related to financial and operational risks, interaction between the risks (i.e., diversification benefits), integrated ERM, and ERM value creation.

• Risk and Light By David Ingram
• An Empirical Map of Enterprise Risk Space for Life Insurers: Implications for ERM
  By Etti Baranoff and Thomas Sager
• Economic Measurement of Insurance Liabilities: The Risk and Capital Perspective
  By Larry Rubin, Randy Tillis, Michael Lockerman, Xiaokai Shi

Reviewer: Steve Lindo, PRMIA
Presenter: Dale Gray, IMF - HQ1; Karim Pakravan, DePaul University

This session introduces the emerging discipline of macrofinancial risk analysis, which adopts a mathematical approach to understanding the linkage between industry sectors, government policies, economic indicators and investment flows. The session will draw on studies of past and the present financial crises in order to test the mathematical theorems presented for consideration. Participants will learn to recognize what macrofinancial indicators to watch for signs of stress and what levels constitute cause for concern. The session will feature a presenter and a discussant.

Facilitators: Mark Abbott, Guardian Life Investments; Stephen Hiemstra, Federal Housing Agency

Enterprise Risk Management is rapidly evolving to better meet the needs of firms. Join fellow attendees in this roundtable format as you share your knowledge and develop solutions to issues commonly faced by ERM practitioners. Facilitators will help guide the discussion to keep the topics varied and useful to practitioners. Topics will be determined by interest at the session, but could extend comments made at other sessions or issues of general interest. Each roundtable session is meant to be broad and not tied to issues related to a single track.

Moderator/Presenter: Anson J. Glacy, Jr., Milliman, Inc.
Presenters: Dominique Lebel, Towers Perrin; Thomas McIntyre, Towers Perrin

Recent disclosures, by some large multinationals, show increasing use of a risk-based framework for the financial management of insurance companies. The movement toward risk-based management of insurance liabilities-which began on the life side in Europe-is now expanding to P&C and life companies, both inside and outside the United States. The emergence and formalization of economic capital now constitutes a rigorous and nimble framework for making this kind of determination.

This panel will highlight key concepts of a risk-based management framework compared to a statutory or GAAP framework, compare risk-based performance metrics with more traditional metrics, and discuss some of the challenges in the application of risk-based concepts in actual practice. At the conclusion of the session, you will have gained a better appreciation for the introduction of risk concepts into business decision-making and be better equipped to apply such theory and practice in your own settings.

Moderator Max Rudolph, Rudolph Financial Consulting, LLC
Presenter: Beverly Barney, Prudential Insurance Company of America

This session will review a recent emerging risks survey, including results and how they might be used. Presenters will also discuss how an emerging risk strategy is being developed at an existing firm.

Moderator: Ellen Cooper, Goldman Sachs Asset Management
Presenters: David Schraub, Allstate Financial; Stuart Silverman, Milliman, Inc.; Yevgenia Zemlyakova, Goldman Sachs Asset Management

Economic capital performs two critical functions: it forms the crucial linkage between risk and return and it constitutes a formal and rigorous risk quantification regime. A number of insurers are starting to use economic capital frameworks for a variety of key managerial undertakings, including: rating agency communications, internal solvency exercises, determination that risks are appropriately assessed, and strategic decision-making including performance measurement.

In this session, we illustrate the application of economic capital in two specific realms. First, we outline a framework for liability-driven strategic asset allocation in the context of economic capital. The framework uses economic capital as a key risk tolerance constraint and the return on economic capital (ROEC) as a key risk-adjusted return objective. We demonstrate how a well-constructed and diversified investment portfolio can produce superior risk-conscious performance. Second, we describe how a company’s risk profile behaves when varying levels of mortality and interest-rate risk are considered. Optimality considerations are covered. At the conclusion of the session, attendees will have gained a better understanding for the everyday application of economic capital concepts in important business matters and an appreciation for ways to apply learnings to their own companies’ benefit.

Moderator: Angeles Yañez, ITAM
Presenters: Jorge Luis Lopez Araiza, Prudential (Mexico), Massashi Kikuchi, Patria Reinsurance

The Mexican Insurance and Bonds Commission (CNSF) has announced Mexico’s compromise to comply with Solvency II in 2012. This has left the Mexican insurance market with a very tight agenda to fulfill all the CNSF requirements.

This session aims to present two major topics involved in this regulatory framework:

• Solvency II in México, an actuarial perspective and
• Operational risk best practices for emerging markets-Mexico’s case

The 2009 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics with a focus on the analysis and practical tools related to financial and operational risks, interaction between the risks (i.e., diversification benefits), integrated ERM, and ERM value creation.

• A Risk Management Tool for Long Liabilities: The Static Control Model By John Manistre
• Stochastic Trend Models in Casualty and Life Insurance By Spencer Gluck and Gary Venter
• Modeling and Measuring Business Risk By Klaus Böcker

Reviewer: John Birge, University of Chicago
Presenters: Deborah Lucas, Eckhard Platen

This session introduces new thinking in the valuation of death and pension benefit liabilities through two separate research papers. The first paper considers the applicability of the benchmark approach used for asset and derivative valuation to the valuation of guaranteed minimum death benefit options in variable annuities. The second considers new ways of valuing defined benefit pension liabilities and their implications for hedging. Each paper will feature a presenter and a discussant.

Facilitators: David Koenig, The Governance Fund LLC; Bill Panning, Willis

Enterprise Risk Management is rapidly evolving to better meet the needs of firms. Join fellow attendees in this roundtable format as you share your knowledge and develop solutions to issues commonly faced by ERM practitioners. Facilitators will help guide the discussion to keep the topics varied and useful to practitioners. Topics will be determined by interest at the session, but could extend comments made at other sessions or issues of general interest. Each roundtable session is meant to be broad and not tied to issues related to a single track.

Presented by:

And in collaboration with: