Concurrent Sessions

DFA v. ERM is There a Difference?
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ERM in the property/casualty insurance field can be thought of as assessing the risks and rewards associated with strategic decisions concerning the acceptance of risk due to fortuitous events. At the same time, DFA is a systematic approach to financial modeling that projects financial results under a variety of possible scenarios. DFA shows how outcomes might be affected by changing business, and by changing competitive and economic conditions. This session will discuss DFA as it relates to the concept of ERM.

Moderator:Marc-Andre Lefebvre, FCAS, MAAA, DFA Capital Management

Panelist:
Thomas E. Hettinger, ACAS, MAAA, MHL/Paratus

Dynamic Risk Based Asset Liability Management & Alternative Investment Strategies for Reinsurers

Unlike more traditional institutional investment products such as enhanced index funds or long-only sector funds, dynamic trading strategies cannot be characterized solely by mean/variance analysis, more sophisticated dynamic risk management controls are required. This need is implicitly recognized by sophisticated investors, who often ask for dynamic path-dependent performance statistics such as "maximum draw down," "rolling volatility," and "longest period of under performance." In light of the coming demand for greater diversification and returns, we embark on defining and evaluating risk controlled asset liability management strategies.

Moderator:Layne M. Onufer, FCAS, MAAA

Panelists:
Michael A. Driscoll, Centre Solutions
Stephen D. Smith, Georgia State University

The "Enterprise" in Enterprise Risk Management
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You have a handle on asset risk and currency risk and many other risks individually, but does the simple addition of these risks give you a true picture of enterprise risk? Probably not. This session will show that enterprise risk may be very different from the simple sum of the component parts, and we will discuss the dangers of viewing risks in isolation. In addition, this session will cover some of the techniques and tools used to measure enterprise risk.

Moderator:Kevin G. Dickson, FCAS, MAAA, Allstate Insurance Company

Panelists:
Barry A. Franklin, FCAS, MAAA, Aon Risk Consultants
Shawna S. Ackerman, FCAS, MAAA, Miller, Herbers, Lehmann, & Associates, Inc./Paratus Consulting

Enterprise Risk Management—Fad or Fact?
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The ERM concept, although appealing and gaining acceptance, is still not well defined and evidence of the purported benefits of ERM are elusive. This panel will discuss the transformation of the risk management profession from one that historically viewed corporate risk exposures in isolation to one that now seeks to measure, manage, and exploit risk within a consistent framework.

Moderator:Barbara Russo, Winterthur International

Panelists:
John Bugalla, Aon Risk Services
Wolfgang Friedel, Zurich IC Squared
Gustave A. Krause, FCAS, MAAA, FCA, Arthur Andersen LLP
Roberta Garland, Arthur Andersen LLP
Kevin Hoskinson, Sun Microsystems, Inc.

Enterprise Risk Management Papers
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ERM seeks to develop an overall corporate strategy for addressing risk. This involves both quantitative and qualitative aspects. Two recently published papers will be presented during this session, "Enterprise Risk Management: An Analytic Approach" and "Enterprise Risk Management: A Consultative Perspective."

Panelists:
L. Michelle Bradley, ACAS, MAAA, Willis North America Inc.
Edgar W. Davenport, FCAS, MAAA, Willis North America Inc.
Jerry A. Miccolis, FCAS, MAAA, Tillinghast-Towers Perrin
Samir Shah, FSA, MAAA, Tillinghast-Towers Perrin

Managing Weather-Related Risks

Weather can adversely affect income statements of various industries. In the past, this risk was considered uninsurable. Today, there are ways to finance and transfer weather-related risk using a new type of financial instrument called a weather hedge. This panel will discuss the philosophy, types, and pricing of various weather risk products that protect income statements against unfavorable weather effects.

Moderator:Robert F. Wolf, ACAS, MAAA, William M. Mercer/MMC Enterprise Risk

Panelists:
David Molyneux, FCAS, MAAA, Zurich Re
Marty Sherzer, MMC Enterprise Risk

Modeling Soft Assets
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Traditionally, senior managers have focused their efforts on controlling items that show up on income statements and balance sheets. Recently, though, a movement to broaden the focus to include "soft" assets, such as brand names and patents has emerged. Unfortunately, it is often much more difficult to evaluate these types of assets. For example, how much are the "Microsoft" and "Intel" names worth? The panelists will explore several different approaches for evaluating these types of assets and discuss new ways, including insurance products, that companies are employing to protect themselves.

Moderator:Daniel B. Issac, FCAS, Swiss Re Investors, Inc.

Panelists:
Robert P. Butsic, ASA, MAAA, Fireman's Fund Insurance Companies
Jeff Eder, Valueminer

Operational Risk Management
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ERM will not be complete until operational risks are measured and managed to the same degree as financial risks. Our panelists will discuss two fundamentally different approaches to quantifying/modeling operational risks: the "database" approach, which involves collecting historical data on operational risk events and fitting distributions, and the "system dynamics" approach, which involves simulating the behavior of the systems subject to operational risk and is based largely on expert opinion. The pluses and minuses of each approach will be debated, and ideas on combining them will be explored.

Moderator:Jerry A. Miccolis, FCAS, MAAA, Tillinghast_Towers Perrin

Panelists:
Douglas G. Hoffman, Operational Risk Advisors
Samir Shah, FSA, MAAA, Tillinghast_Towers Perrin

Property/Casualty RAROC: Practical risk measurement for ERM
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One of the cornerstones of an ERM program is an effective means of measuring all risks across an enterprise and linking those risk measures to strategic decisions. Over the past ten years, banks have developed an approach for measuring risk in terms of economic (required) capital and for measuring profitability in terms of risk-adjusted return on capital, or RAROC. This session presents property/casualty RAROC, an adaptation of the banking approach to the property/casualty insurance industry. The speakers will explain how the banking approach was adapted for the property/casualty industry, and how this approach takes advantage of the "bruised knuckle" experience of the banks. The panel will also discuss a case study using the property/casualty RAROC framework, in conjunction with an insurance company's own data and "best of breed" actuarial analytics, to arrive at an effective and practical capital allocation tool for the enterprise.

Moderator:John M. Kulik, FCAS, MAAA, SCOR Reinsurance

Panelists:
Paul J. Brehm, FCAS, MAAA, St. Paul Companies, Inc.
Peter K. Nakada, Oliver, Wyman & Company

Reinsurance as an Enterprise Risk Management Tool

You determined your company's risk universe and quantified each one of the risks jeopardizing your company's objectives. Now what? The panel will discuss reinsurance products going above and beyond traditional management of underwriting risk.

Moderator:Sarah Krutov, FCAS, MAAA, SCOR Reinsurance

Panelists:
Christopher McGee, MMC Enterprise Risk
Gary G. Venter, FCAS, MAAA, Guy Carpenter Instrat
Shaun S. Wang, FCAS, ASA, SCOR Reinsurance

The State of Enterprise Risk Management Outside the United States

In this informative session, attendees will learn how actuaries in countries outside the U.S. are using ERM. Session panelists will focus on current ERM research as well as practical ERM applications presently used and in development. Another session topic is an overview of Canadian actuaries' opinions to insurance companies, including opinions that assess types of risk other than loss reserves.

Moderator:Timothy M. Kolojay, ACAS, MAAA, E.W. Blanch Company, Inc.

Panelists:
Richard Gaulthier, FCAS, FCIA, MAAA, PricewaterhouseCoopers LLP
Antoine A. Neghaiwi, FCAS, MAAA, Zurich Re

Through the Risk Manager's Eyes
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Risk managers' roles have expanded beyond that of a simple insurance buyer. Today, a risk manager of a large corporation is expected to optimize and consolidate the risk strategy under one integrated program. This involves addressing such "noninsurable" threats as financial and political risks, and others. Find out how the new generation of risk managers approach their tasks and what they expect from the insurance industry.

Moderator:Robert F. Wolf, ACAS, MAAA, William M. Mercer/MMC Enterprise Risk

Panelists:
Laurie Champion, Ford Motor Company
Ken Krenicky, Aventis Pharmaceutical
Ken Zignorski, MMC Enterprise Risk

Value-at-Risk (VaR) Applications in the Insurance Industry
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The panel will discuss value-at-risk (VaR) applications of measuring financial strength and performance in the insurance industry. Effective risk measurement and capital management is critical in today's crowded and converging environment. However, the ability to identify risk properly has become increasingly complex. The first part of this session will focus on enhancements to A.M. Best's rating process designed to assess emerging risks, operating performance, and capital adequacy in the rapidly changing environment of the insurance industry. This session will introduce and demonstrate a new enterprise risk management tool that has been developed. The second part of the session will then deal with how VaR works as well as the use of VaR to measure financial performance, allocate capital, assess risk adjusted returns (RAROC) and make restructuring and strategic decisions. The panel will also discuss several cases that were assessed using VaR technology.

Moderator:John M. Kulik, FCAS, MAAA, SCOR Reinsurance

Panelists:
Michael L. Albanese, A.M. Best Company
Tim Freestone, Seabury Insurance Capital

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