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C-1: Applying ERM Concepts from ASOP 46 & 47

Friday, June 12, 8:45 AM - 9:45 AM

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In this session, we clarify several key ERM concepts as defined in ASOPs 46 and 47. Using a sample company example, we illustrate a variety of ERM concepts, such as risk, risk limit, risk appetite, risk tolerance, risk profile, risk mitigation, and economic capital. We also examine choices facing the sample company to highlight the ERM process and professional ERM considerations. The issues covered are relevant to actuaries in all lines of business. An electronic copy of the dynamic spreadsheet used to illustrate the sample company will be made available to attendees, who will find this useful for what-if analyses to further their learnings on this topic.

    Moderator:
    Allen Jacobson, Actuarial Director, USAA
    Panelists:
    Allen Jacobson, USAA
    Maryellen Coggins, PwC

C-2: Bridging the Gap From Key Risk Assessment to Economic Capital Modeling

Thursday, June 11, 1:05 PM - 2:05 PM

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Most organizations struggle to incorporate many "hard to quantify" risks into economic capital models (ECMs) in a meaningful, quantified way. In particular, operational, strategic and political risks are often poorly quantified, if at all, in an ECM. At the same time, these are often some of the most material risks overall. Since an ECM is intended to comprehensively represent the aggregate risk to the enterprise, this represents a serious gap. This session will explore the challenges in quantifying key risks and discuss a systematic approach to integrating them into an enterprise ECM.

    Moderator:
    Chris Suchar, Managing Director, Conning
    Panelists:
    Chris Suchar, Conning, Inc.
    Sheila Colgan, UnitedHeath Group Incorporated
    Vikas Shah, Milliman

C-4: Case Study: How ERM Helped Turn Around Failing Programs

Thursday, June 11 Time:10:55 AM - 11:55 AM

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Many ERM programs focus on preventing undesirable outcomes and ignore potential upside results. In these organizations, corporate ERM is perceived as the "police" and there is resistance to bringing robust risk considerations into business decision making. In this session, we discuss several case studies where ERM concepts were used to facilitate turn-around situations, rescuing several organizations from negative financial results. We examine these disparate case studies to find common ERM themes that provide lessons for broader application. We conclude by discussing how to leverage ERM tools and practices to generate enhanced returns, strengthen the organization, and demonstrate the value that an ERM program can add to the business.

    Moderator:
    Elaine Lajeunesse
    Panelists:
    Elaine Lajeunesse
    Grover Edie, Huggins Actuarial Services, Inc.

C-5: Case Study: Keys to Successful ERM Program Design & Implementation

Thursday, June 11, 10:55 AM - 11:55 AM

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ERM programs often face obstacles to achieving full potential. The most common symptoms are (a) incomplete buy-in from internal stakeholders; and (b) incomplete integration of ERM into decision making. These are often the result of suboptimal elements in ERM program design and/or implementation. In this session, we discuss the keys to correcting these suboptimal elements, addressing: ERM framework; qualitative risk assessments; ERM models; risk scenario development and quantification; quantification of enterprise risk exposure; defining risk appetite quantitatively; and internal risk disclosures to the board of directors. Each of these elements will be discussed and illustrated with a recent case study.

    Moderator:
    Sim Segal, President, SimErgy Consulting
    Panelist:
    David Raszeja

C-6: CRO Communications to Key Stakeholders

Thursday, June 11, 1:05 PM - 2:05 PM

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This presentation covers the how's and what's regarding the CRO's relationship and communication with the CEO, board of directors, regulators, rating agencies, and other interested parties.

    Moderator:
    Dana Hunt, Director, PricewaterhouseCoopers
    Panelist:
    Chris Freese, Principal Financial Group

C-7: C-ROSS: China Risk-Oriented Solvency System

Friday, June 12, 8:45 AM - 9:45 AM

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China's second generation of solvency supervision system is known as China Risk Oriented Solvency System (in short "C-ROSS"), whose main technical standards including 17 supervisory rules were deliberated and approved by the chairman office of China Insurance Regulatory Commission (CIRC) in the afternoon of January 13, 2015. This marks that significant achievement has been made at this stage in constructing the "C-ROSS". Chinese insurance industry will be in the preparation stage of implementing the "C-ROSS" from 2015.

The risk-oriented regulation is an internationally-accepted idea and mode, and the "C-ROSS" will benefit the industry and the whole country in a long term. With almost three years of efforts, the CIRC has completed the research of all the main technical standards of the "C-ROSS", and has succeeded in building the risk-oriented solvency regulatory system, which enjoyed high attention and widespread praise both in China and abroad. The achievement of "C-ROSS" embodies the wisdom and endeavor of the whole industry, which deserves full appreciation.

    Moderator:
    August Chow
    Panelists:
    August Chow
    Lan Wu, Peking University
    Qu Liu

C-8: Effective Risk Reporting for Insurance Companies

Thursday, June 11, 10:55 AM - 11:55 AM

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Risk Reporting for insurance companies has progressed tremendously over the past 20 years, driven by insurers' recognition that effective risk reporting not only keeps an insurer on solid ground but is a source of competitive advantage. However, insurers generally are still not where they would like to be. This panel discussion analyzes the current state of risk reporting, where are the deficiencies, and what can insurers do to get themselves to where they would ideally like to be.

    Moderator:
    Tony Dardis, Consulting Actuary, Milliman
    Panelists:
    Brian Jawin
    Kristin Ferguson, Securian Financial Group
    Tony Dardis, Milliman

C-9: Emerging Risks

Thursday, June 11, 1:05 PM - 2:05 PM

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This session will review the 8th annual survey of emerging risks, sharing new information learned and comments from risk practitioners. A company's process will be shared or a specific risk (e.g., cyber) will be addressed in greater detail.

    Moderator:
    Max Rudolph, Owner, Rudolph Financial Consulting
    Panelists:
    Brian Poppe, Mutual of Omaha
    Max Rudolph, Rudolph Financial Consulting, LLC

C-10: Enhancing Our Risk Appetite Framework: A Case Study

Thursday, June 11, 1:05 PM - 2:05 PM

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In this session, the presenter will share Unum's insights about their journey to enhance and operationalize their risk appetite framework and risk appetite statement. The presenter will also discuss Unum's collaborative process which engages senior leadership across business segments to gain perspectives and formalize them into their group risk appetite statement. Unum is in the process of identifying what is already being done by the business to be responsive to their risk appetite, while also identifying areas of continuous improvement. Attendees are encouraged to come prepared to challenge Unum's approach and also to share the approach of their organization.

    Moderator/Panelist:
    Rebecca Scotchie, VP-ERM, UNUM

C-11: ERM Applications of Proxy Models

Thursday, June 11, 2:10 PM - 3:10 PM

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This session examines the increasing popularity of proxy models as the basis for improving delivery of results for Solvency II and ORSA. It covers their implementation at a high level and then goes into detail on how they can be extended to become valuable ERM tools for real-time monitoring and decision making in areas such as strategic asset allocation, hedging, pricing and risk based financial management. In addition, practical experiences will be shared on how proxy models have actually been implemented in production reporting including lessons learned.

    Moderator:
    Mark Mennemeyer, Consultant, Towers Watson
    Panelists:
    Adam Koursaris, Towers Watson
    Clint Thompson, Hannover Life Re America
    Mark Mennemeyer, Towers Watson

C-12: ERM Technology for Insurance Companies

Thursday, June 11, 2:10 PM - 3:10 PM

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Advances in technology are opening doors for insurance risk analytics that could never previously be imagined. However, technology is a hugely complex area, and with the decisions around technology potentially involving many millions of dollars, a deep understanding of the options is critical in order to properly establish the best technology solution for a given set of requirements. This panel discussion analyzes the issues raised by technology, including whether the concept of a single integrated risk framework is something that is attainable, and provides tips for how practitioners can best stay on top of the ever-changing technology landscape.

    Moderator:
    Anna Berezovskaya, Principal and Consulting Actuary, Milliman
    Panelists:
    Anna Berezovskaya, Milliman
    Iouri Karpov
    James Brackett

C-14: Investment Capital Charges: A Top-Down Observable Price Approach

Thursday, June 11, 2:10 PM - 3:10 PM

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Solvency II investment capital charges are determined through a bottom-up approach. Separate capital charges are calculated for risk factors (such as rate, spread, equity, etc.) and calibrated to a value-at-risk (VaR) at a 99.5% confidence level. These separate capital charges are then aggregated to a combined risk charge. In this session, we compare these bottom-up approach VaRs with VaRs estimated though a top-down approach that starts at the portfolio level to calculate total return and volatility statistics based upon observable prices and income; from these observable values, we estimate each risk factor's share of portfolio VaR. The discrepancy between bottom-up and top-down VaRs is significant and have implications to insurers who utilize an economic capital framework.

    Moderator:
    Mark Yu, Enterprise Risk and Capital Management Professional, General Re-New England Asset Management
    Panelists:
    Erik Thoren, Ernst & Young
    Mark Yu, General Re-New England Asset Management
    Tobias Gummersbach, General Re - New England Asset Management, Inc.

C-15: Leading Model Risk Management Practices

Thursday, June 11, 2:10 PM - 3:10 PM

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Model Risk Management (MRM) is considered a required discipline within the banking industry, with regulators expecting to see MRM practices in place and operating effectively. While US insurance regulators do not yet require insurers to have MRM programs in place, rating agencies and US insurance regulators now expect that "strong" insurers will have a process in place for periodically validating "high risk" models, particularly those that support ERM and ORSA processes. This session will explore leading practices for model risk management in the insurance industry. In addition, we will describe a process for conducting effective independent validations of a high risk models and other models relied upon in strategic decision making.

    Panelists:
    Brian Neary, The Hartford Insurance Company
    Kevin Madigan, PricewaterhouseCoopers LLP
    Maryellen Coggins, PwC

C-16: Practical Considerations in Capital Management Reporting

Friday, June 12, 8:45 AM - 9:45 AM

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Effective reporting is essential to build trust in and deliver value from capital management programs. Advance models will become decision-making tools when they deliver timely insight efficiently and reliably to management. Rising regulatory expectations will require concise explanations, especially when conditions or assumptions change. The panelists will outline capital management reporting objectives and key performance indicators linking metrics to company strategy. Real-world lessons and insights from the implementation of a global capital management framework will highlight important challenges and considerations for various audiences and levels of management. Finally, the panel will cover newly-emerging technology "data visualization" and its application to capital management reporting.

    Moderator:
    Thomas McIntyre, Principal, KPMG
    Panelists:
    Carl Groth, KPMG LLP
    Kyle Struble, Liberty Mutual
    Thomas McIntyre, KPMG LLP

C-17: Presentation of Winning ERM Papers

Friday, June 12, 8:45 AM - 9:45 AM

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In this session, authors will present the key concepts of their prize-winning papers.

How Resilient is Your Organization? From Local Failures to Systemic Risk
Ellinas, Christos

A Cost of Capital Approach to Credit and Liquidity Spreads
Manistre, John

Into the Tails of Risk: An Intervention into the Process of Risk Evaluation
Ingram, David

    Moderator:
    Lingang Zhang, Actuary, Liberty Mutual
    Presenters:
    B John Manistre, GGY AXIS
    Christos Ellinas, University of Bristol / Systemic Consult Ltd
    David Ingram
    Lingang Zhang, Liberty Mutual Insurance

C-18: Return on Economic Capital Frameworks: Design and Implementation Challenges

Thursday, June 11, 10:55 AM - 11:55 AM

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In this session, we will discuss the challenges in the design and implementation of a return on economic capital (EC) framework. Key issues we will address include: balance between internal and external capital amounts; linkage of EC to risk appettite; allocation of diversification benefits; and measurement of performance at business unit level.

    Moderator:
    Adam Walter, Director of Economic Performance Analytics, Allstate
    Panelists:
    Adam Walter, Allstate Insurance Company
    Tim Borst, Allstate Insurance Company

C-19: Risk Principles for Asset Managers

Thursday, June 11, 1:05 PM - 2:05 PM

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The Buy Side Risk Managers Forum is 40 Chief Risk Officers of large North American money managers. In 2008, they released "Risk Principles for Asset Managers" as an update to the 1996 Risk Standards for Institutional Investment Managers and Institutional Investors. The group expects to update the Risk Principles by June. During this session, a panel of chief risk officers will give an overview of those principles and revisit them in light of more recent market activity. The panel will provide the latest views on a range of important risk management topics for asset managers, including governance processes, investment performance, risk metrics, and operational risk.

    Moderator:
    Mark Abbott, Managing Director, Head of Quantitative Risk, Guardian Life
    Panelist:
    Enrique Dick, Allianz Global Investors
    Kenneth Winston, Western Asset Management Company
    Kevin Brennan, Western Asset Management Company
    Mark Abbott, Guardian Life Insurance

C-20: US and European Case Studies: Risk Management Systems for Regulatory, Economic Capital and Decision-Making Purposes

Thursday, June 11, 10:55 AM - 11:55 AM

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This session will focus on key modeling characteristics of economic based (market-consistent) risk management systems and will present case studies of successful implementations of risk management systems at both European and US insurers. We will demonstrate practical approaches to proxy liability modeling (e.g., replicating portfolios, curve fitting), integrating market and insurance risks, and risk aggregation/attribution. Case studies will be provided showing concrete examples of the application of risk to business management and decision-making, including setting and monitoring risk limits, testing the effects of alternative investment approaches, risk-based steering of business, and analysis of proposed corporate actions (e.g., mergers, acquisitions, divestitures).

    Moderator:
    Kevin Madigan, Director, PrincewaterhouseCoopers
    Panelists:
    Andrew Dansereau
    Kevin Madigan, PricewaterhouseCoopers LLP
    Tarun Varma, Pacific Life
    Tobias Herwig, Allianz SE

G-1: The Evolving Regulatory Environment

Thursday, June 11, 9:05 AM - 10:25 AM

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The 2015 ERM Symposium opening general session will be comprised of a regulatory panel. The panelists will discuss current regulatory developments within the financial services industry and the potential future for solvency regulation for insurers and banks. They will also share their views on the impact of current events on the regulatory environment, on the marketplace and on the risks for which the industry must account. Eli Russo, the NAIC's Enterprise Risk Management Advisor, will discuss her role in educating the insurance regulators not only about risk management, but also in keeping the regulators updated about new or emerging risks within the financial service industry. Other regulators have been invited to share their points-of-view.

    Moderator:
    Clifford Rossi, Senior Vice President and Chief Economist, Radian Group Inc.
    Panelist:
    Christopher Finger
    Clifford Rossi
    Colin Lawrence, Ernst & Young LLP
    Danny Saenz
    Elisabetta Russo

G-2: The Practical Reality of ERM and One's Responsibilities

Thursday, June 11, 3:40 PM - 5:10 PM

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“What should I do when I am back in the office? What does it mean for me, practically, to be involved in ERM?“

Regardless of one’s role—being a sole actuary in a company where ERM responsibilities have been added to his/her responsibilities, being part of the not-that-material line of a large multiline group, or being part of a larger company financial reporting or product development team—burning questions will be answered to better understand ones role in risk management. The interactive session will allow the panel of ERM experts and current ERM practitioners to address questions with a strong focus on practical concrete solutions with visible short term impact.

    Moderator:
    David Schraub, Staff Fellow, Society of Actuaries
    Panelists:
    David Ingram
    David Raszeja
    David Schraub
    Kathryn Hyland, Swiss Re
    Kevin Brennan, Western Asset Management Company
    Tony Dardis, Milliman

G-3: Cybersecurity and Cyberwar: What Everyone Needs to Know

Friday, June 12, 10:05 AM - 11:35 AM

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The featured speaker, Dr. Peter W. Singer, will explore the key questions everyone faces in the cyber age (how it all works, why it all matters, and what we can do?). A panel of cyber-risk experts will then discuss how Dr. Singer's insights can be leveraged by the financial services industry to not only understand cyber-risk, but how to incorporate cyber-risk into a firm's strategy.

    Moderator:
    Bob Wolf
    Panelists:
    Bob Wolf
    Craig Allen, Commonwealth Research Group, Inc.
    Michael Beekey
    Peter Singer, New American Foundation
    Peter Venetis, PricewaterhouseCoopers