Call for Papers

A call for papers was announced to stimulate ERM research and provide content for the Symposium. The topic of the 2011 call for papers is Enterprise Risk Management: Analysis and Tools to Quantify Financial and Operational Risks Including Their Interaction. Papers to be presented at the symposium will be selected based on the abstracts submitted.

Sponsored by the Joint CAS/CIA/SOA Risk Management Section, The Actuarial Foundation, and the PRMIA Institute The 2011 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 2011 ERM Symposium

Concurrent Sessions II
Tuesday, March 15, 2011, 2:15 p.m. – 3:30 p.m.

Diversity in Risk Assessment

• Hedging Policy Consistency - Theory vs. Practice
  By Vladimir Antikarov
• The Role of Conditional Probabilities in Risk Assessment
  By Richard (Dick) Joss
• Implementing Risk Appetite Modeling for Variable Annuities
  By Nick Jacobi

Concurrent Sessions IV
Wednesday, March 16, 2011, 9:45 a.m. – 11:00 a.m.

Extreme Events

• Stress and Resiliency Testing: Mandelbrotian Grey Swan Scenarios
  By Steve Craighead
• Emerging Risk: An Integrated Framework for Managing Extreme Events
  By Kathleen Locklear

Concurrent Sessions III
Wednesday, March 16, 2011, 11:30 a.m. – 12:45 p.m.

Strategic Risk, Value Creation, Risk Indices, and the Cost of Capital Sustainability of Earnings

• A Framework for Quantitative Modeling of Strategy, Risk, & Value
  By Neil Bodoff
• Capital Allocation in the Property-Liability Insurance Industry
  By Stephen D'Arcy
• U.S. Property-Casualty Underwriting Cycle Modeling & Risk Benchmarks
  By Shaun Wang, John A. Major, Charles H. Pan, and Jessica W.K. Leong

Additional Research Papers Selected for the 2011 ERM Call for Papers

• Risk Management KPIs Setting: How to Avoid Creation of Another Management System
  By Marina Basova and Alexey Mitselsky
• Risk Appetite as Core Element of ERM: Definition and Process
  By Andrea Cremonino
• Integrating Records Management and Risk Management in Business Processes: A Case Study of Moi University, Kenya
  By Juliet Erima
• The Strategic Implications of Enterprise Risk Management: A Framework
  By Ezeosa Dafikpaku
• Development of Simulation based Model to quantify the degree of Bank’s Liquidity Risk
  By Sadi Farooqui
• Risk accounting — a next generation risk management system for financial institutions
  By Allan D. Grody, Peter J. Hughes and Steven Toms
• An alternative frequency dependence model and its applications
  By Shubiao Li, Dennis Black, Fang Yang, Felix Famoye, and Carl Lee
• Cash Flow Risk Management– in good times and bad
  By Anthony (Tony) Sabbadini with Michael Lim
• A Life Contingency Approach for Physical Assets: Create Volatility to Create Value
  By Thomas Emil Wendling
• Risk-Adjusted Underwriting Performance Measurement
  By Yingjie Zhang