2010 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-Financial 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