Date & Time
Venue
Maximum Qualifying Hours
The science of capital allocation has made significant advances in our understanding of allocation and use of risk based capital. Yet there is limited theoretical guidance on which risk measure is consistent with value maximisation and no well developed economic theory underlying the risk measures. Different firms use different risk measures and there is no agreement on the appropriate risk measure. Risk measures are applied inconsistently for different risks, different lines of business, products and divisions. For insurer pricing the price of risk should vary with the type of risk under consideration yet most risk based capital approaches implicitly use a common price of risk based on a firm wide expected cost of capital for pricing. Recent developments in capital allocation of risk capital for solvency and by-line pricing indicate a new direction is required. This paper highlights the importance of risk measure and discusses the insolvency default option value. It also discusses allocation by line and fair pricing, frictional costs and market imperfections and issues of risk based capital in a value maximizing framework.
Date : 14 July 2009, Tuesday.
Time : 4:00pm to 6:00pm.
Venue : The Executives’ Club, #33-01 OCBC Centre (West Lobby), 65 Chulia Street, Singapore 049513.
Registration from : 4.00pm.
Talk Commences : 4.30pm promptly.
Cost : Paid up members Free.
Non-Members S$25, cheque payable to SINGAPORE ACTUARIAL SOCIETY
Please pre-register as the seats are limited.
Priority will be given to paid up members who have pre-registered and then to others who have pre-registered and finally, if any seats remain, to those who do not pre-register based on their order of arrival. If you would like to attend, please register by replying to this e-mail by Friday, 10 July 2009.
About the Speaker: Mike Sherris
Michael Sherris is the Professor of Actuarial Studies and Head of Actuarial Studies at the Australian School of Business, UNSW, Sydney Australia. He is currently President of the Asia Pacific Risk and Insurance Association.
Prior to becoming an academic he worked in the banking and finance industry for a number of major banks and a life insurance company. He has a long involvement in teaching and research in financial and insurance risk management and actuarial science. Professor Sherris has won a number of awards for his research including the Casualty Actuarial Society (CAS) annual prize for the most valuable contribution to casualty actuarial science published in American Risk and Insurance Association (ARIA) literature, the Geneva Association/IIS Research Program Shin Research Award For Excellence, the Redington Prize of the Society of Actuaries, and the H M Jackson Memorial Prize of The Institute of Actuaries of Australia.
Professor Sherris has provided consulting advice in the areas of risk modelling and risk management. Professor Michael Sherris is a Fellow of the Institute of Actuaries of Australia, the Institute of Actuaries (UK) and the Society of Actuaries (North America). His current research interests include risk based capital and longevity risk.
Thank you.
Patsy Lau
For and on behalf of
Mark Birch Chairperson, Education Committee 2009/10 Singapore Actuarial Society