scholarly journals Long-term stochastic risk models: the sixth generation of modern actuarial models?

2021 ◽  
Vol 26 ◽  
Author(s):  
Bill Curry
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Risk Model ◽  
Simulation Models ◽  
Life Insurers ◽  
Sixth Generation ◽  
Actuarial Risk ◽  
The Uk ◽  
Stochastic Risk

Abstract This paper discusses the use of modelling techniques for the purpose of risk management within life insurers. The key theme of the paper is that life insurance is long-term business and carries with it long-term risks, yet much of modern actuarial risk management is focussed on short-term modelling approaches. These typically include the use of copula simulation models within a 1-year Value-at-Risk (VaR) framework. The paper discusses the limitations inherent within the techniques currently used in the UK and discusses how the focus of the next generation of actuarial models may be on long-term stochastic projections. The scope of the paper includes a discussion of how existing techniques, together with new approaches, may be used to develop such models and the benefits this can bring. The paper concludes with a practical example of how a long-term stochastic risk model may be implemented.

scholarly journals A Comparative Survey Of Capital Investment Decision Practices In The United States And The United Kingdom

2011 ◽  
Vol 1 (11) ◽  
Author(s):  
Thomas Klammer ◽  
Neil Wilner ◽  
Jan Smolarski
Keyword(s):  
United States ◽  
Risk Management ◽  
United Kingdom ◽  
The United States ◽  
Capital Expenditures ◽  
The United Kingdom ◽  
Management Techniques ◽  
Comparative Survey ◽  
The Uk

Capital expenditures can be crucial to firms long-term success, especially in a complex global environment. As companies increasingly compete in the global market place, it is important to study project evaluation processes from an international perspective. Capital investments involve substantial monetary commitments and risks that affect long-term firm profitability and influence capital allocation decisions in the future. Survey research in the area of capital expenditure analysis has been extensively done in both the United States [US] and the United Kingdom [UK]. This research is the first comparative survey of practices in both countries that we are aware of. A direct comparison of the use of project evaluation, management science, and risk management techniques in the two countries is made. The survey instrument used is an adaptation of the Klammer [1970] instrument that has been used repeatedly in surveys of American firms. This is the first time that it has been applied to British firms. The use of a common instrument allows for more meaningful comparisons. The samples consisted of 127 American and 59 British firms with sales of at least $100 million and capital expenditures of at least $10 million. Preliminary results indicate a continued extensive use of discounted cash flow techniques by US firms. Techniques such as payback or urgency continue to be used, but to a lesser degree than discounting. Firms in the UK also make extensive use of discounting but do so to a lesser degree than their American counterparts. Payback is widely used in the UK. Risk management techniques are widely used in both countries, with sensitivity analysis being the most popular technique in both countries. Extensive use of technical and administrative procedures, such as detailed budgets, standardized forms and post-audits, are evidenced in both countries. The paper offers reasons that have to do with organizational structure and form, as well as market differences, to explain our results.

Who Will Pay for Long-Term Care in the UK? Projections Linking Macro- and Micro-Simulation Models

2005 ◽  
Vol 24 (4) ◽  
pp. 387-426 ◽  
Author(s):  
Ruth Hancock ◽  
Adelina Comas-Herrera ◽  
Raphael Wittenberg ◽  
Linda Pickard
Keyword(s):  
Long Term Care ◽  
Simulation Models ◽  
Term Care ◽  
Micro Simulation ◽  
The Uk

scholarly journals Premium Risk Net of Reinsurance: From Short-Term to Medium-Term Assessment

Risks ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 72
Author(s):  
Antonio Pallaria ◽  
Nino Savelli
Keyword(s):  
Risk Model ◽  
Risk Mitigation ◽  
Solvency Ii ◽  
Medium Term ◽  
Short Term ◽  
Life Insurers ◽  
Actuarial Risk ◽  
The Impact ◽  
Solvency Ratio ◽  
Premium Risk

Solvency II requirements introduced new issues for actuarial risk management in non-life insurance, challenging the market to have a consciousness of its own risk profile, and also investigating the sensitivity of the solvency ratio depending on the insurance risks and technical results on either a short-term and medium-term perspective. For this aim, in the present paper, a partial internal model for premium risk is developed for three multi-line non-life insurers, and the impact of some different business mixes is analyzed. Furthermore, the risk-mitigation and profitability impact of reinsurance in the premium risk model are introduced, and a global framework for a feasible application of this model consistent with a medium-term analysis is provided. Numerical results are also figured out with evidence of various effects for several portfolios and reinsurance arrangements, pointing out the main reasons for these differences.

Managing Risk by Using Derivatives: The Case of Hong Kong Firms

2001 ◽  
Vol 04 (04) ◽  
pp. 417-425
Author(s):  
Eden S. H. Yu ◽  
Ivan Chan Hung Chin ◽  
Henry Fu Yiu Hang ◽  
George Lo Chi Wai
Keyword(s):  
Risk Management ◽  
Hong Kong ◽  
Financial Engineering ◽  
Value At Risk ◽  
Risk Model ◽  
Risk Measurement ◽  
Management Technique ◽  
Financial Products ◽  
Survey Results ◽  
Managing Risk

Hong Kong has been very active in developing new financial products. This paper examines how firms in Hong Kong have managed risks by using derivatives. We conducted a survey to find out what kind of and to what extent financial engineering tools are used. Our survey reveals that derivatives are widely used to reduce risks. Moreover, most companies take risk measurement prior to including derivatives in the portfolios. The value-at-risk model is the most widely used risk management technique, followed by scenario analysis. In addition, we compare these survey results with the recent results for firms in Shanghai.

scholarly journals Winners and Losers: Assessing the Distributional Effects of Long-Term Care Funding Regimes

2007 ◽  
Vol 6 (3) ◽  
pp. 379-395 ◽  
Author(s):  
Ruth Hancock ◽  
Ariadna Juarez-Garcia ◽  
Adelina Comas-Herrera ◽  
Derek King ◽  
Juliette Malley ◽  
...  
Keyword(s):  
Long Term Care ◽  
Simulation Models ◽  
Income Group ◽  
Personal Care ◽  
Term Care ◽  
Distributional Effects ◽  
Tax Rate ◽  
The Public ◽  
The Uk

Using two linked simulation models, we examine the public expenditure costs and distributional effects of potential reforms to long-term care funding in the UK. Changes to the means tests for user contributions to care costs are compared with options for the abolition of these means tests (‘free’ personal care). The latter generally cost more than the former and benefit higher income groups more than those on lower incomes (measuring income in relation to the age-specific income distribution). Reforms to the means tests target benefits towards those on lower incomes. However, the highest income group are net losers if free personal care is financed by a higher tax rate on higher incomes and the effect on the whole population considered.

Flood risk management in the Thames Estuary looking ahead 100 years

2005 ◽  
Vol 363 (1831) ◽  
pp. 1455-1474 ◽  
Author(s):  
Sarah Lavery ◽  
Bill Donovan
Keyword(s):  
Risk Management ◽  
Flood Risk ◽  
Current System ◽  
Flood Plain ◽  
Flood Risk Management ◽  
Thames Estuary ◽  
The North ◽  
River Thames ◽  
The Uk

The River Thames tidal defences have provided protection against the increasing threat of tidal flooding from the North Sea for more than 2000 years. The flood of 1953 was the catalyst for the construction of the current system of River Thames tidal defences, which includes the Thames Barrier, and has provided one of the best standards of flood defence in the UK for over 20 years. Substantial growth is planned through ‘Thames Gateway’, a regeneration initiative of the United Kingdom government. These new developments will fundamentally change the developed footprint in the Thames Estuary flood-plain, and will be in place for at least the next 100 years. This presents a challenge of planning future defence against a background of uncertainty over climate and other environmental change, while ensuring that correct decisions are made concerning the nature and location of new building in the tidal flood-plain. Through its ‘Thames Estuary 2100’ project, the Environment Agency is developing a long-term strategy for flood risk management in the estuary. Implementation of major construction works on the River Thames could commence from around 2015. Alternatively, it may be decided that minimum works are undertaken to provide security and major investment is delayed until uncertainties over climate change have abated. Whatever long-term option is chosen, this must be preceded by a period of collaboration with the Thames Gateway developments to ensure appropriate and sustainable flood defences are incorporated in new riverside construction.

Risk Management for Cultural Organizations.The Example of Agricultural Museums in the Czech Republic

2019 ◽  
Vol 3 (2) ◽  
pp. 111-122
Author(s):  
Michal Plaček ◽  
Milan Půček ◽  
František Ochrana ◽  
Milan Křápek ◽  
Ondřej H. Matyáš
Keyword(s):  
Risk Management ◽  
Czech Republic ◽  
Risk Model ◽  
Technical Support ◽  
High Quality ◽  
The Czech Republic ◽  
Managerial Practice ◽  
The Future

This paper deals with the analysis of risks which threaten the future sustainability and operations of agricultural museums in the Czech Republic. In the section on methodology, an applicable risk model has been proposed regarding the condition of museums in the Czech Republic. Using this model, the directors of agricultural museums can assess the most significant risks which may jeopardize the sustainability of museum operations over a three-year period. The greatest risks, according to museum directors, are a lack money for investment, the inability to retain high-quality staff, and issues with technical support for exhibitions. Assessing the importance of risk is positively associated with previous experiences of a particular type of risk, whereas the association of the importance of risk with previous managerial practice is rather inconclusive.

Using the Change4Life Disney Branded 10-minute Shake Ups During the COVID-19 ‘Lockdown’

2020 ◽  
Author(s):  
Emily Budzynski-Seymour ◽  
James Steele ◽  
Michelle Jones
Keyword(s):  
Perceived Exertion ◽  
Affective Responses ◽  
Online Resources ◽  
Future Research ◽  
Affective States ◽  
Perceived Effort ◽  
Qualitative Feedback ◽  
Bidirectional Relationship ◽  
The Uk

Physical activity (PA) is considered essential to overall health yet it is consistently reported that children are failing to meet the recommended levels. Due to the bidirectional relationship between affective states and PA, affective responses are a potential predictor to long term engagement. Since late March 2020 the UK government enforced ‘lockdown’ measures to help control the spread of Coronavirus (COVID-19); however, this has impacted children’s PA. Using online resources at home to support PA is now common. The primary aim of this research was to investigate the use of the Change4Life 10-minute Shake Ups to support PA by examining the effects of Disney branding upon children’s (n=32) post activity affective responses and perceived exertion. The secondary was to investigate the effect of the lockdown on PA habits. Children had similar positive affective responses and perceived effort to activities; however, branding was considered to be a key contributing factor based upon qualitative feedback from parents. Children’s PA levels dropped slightly since ‘lockdown’ was imposed; though online resources have been utilised to support PA. The use of immersive elements such as characters and narrative in PA sessions, as well as utilising online resources during ‘lockdown’ appear potentially promising for future research.

Sign in / Sign up

Export Citation Format

Share Document