Call for Papers

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

The 2010 ERM Symposium will include presentations of papers written in response to the call for papers.

Three awards will be presented at a general session of the ERM Symposium for outstanding papers chosen by the review group. The awards are:

• The Actuarial Foundation’s ERM Research Excellence Award in memory of Hubert Mueller for Best Overall Paper, with a monetary award of $5,000.
• PRMIA Award for New Frontiers in Risk Management, with a monetary award of $5,000.
• Joint CAS/CIA/SOA Risk Management Section Award for Practical Risk Management Applications, with a monetary award of $5,000.

Research Papers to be Presented at the 2010 ERM Symposium

Concurrent Session 2
Tuesday, April 13, 10:00 a.m. - 11:15 a.m.

• The Human Dynamics of the Insurance Cycle and Implications for Insurers
  by David Ingram and Alice Underwood
• The Fundamental Law of Risks Evaluation
  by Russell Sears and Janice Dorn
• The Economics of Enterprise Risk Management
  by Adam Wadecki and Harry Cendrowski

Concurrent Session 4
Tuesday, April 13, 3:45 p.m. - 5:00 p.m.

• Monitoring Intra-daily Market Risk: New Development of Value at Risk Method
  by Edward Sun, Svetlozar Rachev, Ye Chen, and Frank Fabozzi
• A Cost of Capital Approach to Extrapolating an Implied Volatility Surface
  by B. John Manistre
• Advances in Modeling of Financial Series
  by Gary Venter

Concurrent Session 5
Wednesday, April 14, 10:00 a.m. - 11:15 a.m.

• Phylogenetic Approaches
  by Neil Allan, Yun Yin, and Neil Cantle
• Discarding Risk Avoidance & Embracing Risk Optimization: Managing Reinsurance Credit Risk
  by Neil Bodoff
• Rethinking Fixed Deferred Annuities: Applying a Risk-Based Economic Value Approach by Noel Harewood, Dominique Lebel, and Mark Scanlon

Additional Research Papers Selected for the 2010 ERM Call for Papers

• An Enterprise Risk Management Curriculum for Business Studies – A Practical Understanding
  by Madhusudan Acharyya
• Strategic Considerations in Designing a Revenue Hedging Policy for Non-Fictional Companies Using the Example of the Oil Tanker Industry
  by Vladimir Antikarov
• A Conceptual Proposal to Use Appraisal Value as a Supplementary Basis for Financial Valuation
  by Neil Bodoff
• Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgment
  by Klaus Boecker, Alessandra Crimmi, and Holger Fink
• A Global Derivatives Framework for Banks to Centrally Manage and Hedge Market Risks in Financial Systems
  by Anurag Singh Chauhan
• Enterprise Risk Management: Corporate Mind Set Creates Value by Nevine Mokhtar Eid
• Did Enterprise Risk Management Really Work? The Case of Lincoln Financial Corporation by Scott Engle
• Operational Efficiency and Corporate Structure by Nick Jacobi
• Effect of Macroeconomic Variables on Healthcare Loan/Lease Portfolio Delinquency Rate by Shylu John, Sajitha Vijayan, Priya KS
• Using Trading Costs to Construct Better Replicating Portfolios
  by Helmut Mausser, Curt Burmeister, and Oleksandr Romanko
• The Use of Analytical-Statistical Simulation Approach in Operational Risk Analysis
  by Alexey Olkov and Rustan Islamov
• Efficient Capital Allocation Through Optimization
  by Romel Salam
• Mortality Trend Risk
  by Gary Venter
• Market-Consistent Risk Margins in Fair Value Loss Reserves
  by Michael Wacek