Edition

Extreme Events for Insurers: Correlation, Models and Mitigation Study

The Society of Actuaries’ Financial Reporting Section and Committee on Life Insurance Research announce the release of a paper that is intended to be a primer on extreme event modeling and mitigation for practitioners.  It covers the complete cycle of extreme event risk management, from identifying experience data sources, to extreme event detection, to modeling and dependence analysis and finally to monitoring and mitigation.  Authored by Kailan Shang and Marc Vincelli, this paper explores extreme events from the perspective of a global insurance company, with an emphasis on market risk, credit risk, insurance risk, liquidity risk and business risk.  Extreme risk concepts and models are introduced from a practitioner’s perspective.  This report is not intended to be all-encompassing, but rather to focus on the key aspects of extreme risk analysis and its application.

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Materials

Extreme Events for Insurers: Correlation, Models and Mitigation Study
Extreme Events for Insurers: Correlation, Models, and Mitigation – Input data
Extreme Events for Insurers: Correlation, Models, and Mitigation – R Program


Thank You

The Sponsors would like to thank the companies that participated in the study and the following individuals that served on the Project Oversight Group:

  • Tom Edwalds, Chair
  • James Berger
  • Dennis Radliff
  • Robert Reitano
  • David Wylde
  • Ronora Stryker, SOA Research Actuary
  • Jan Schuh, SOA Sr. Research Administrator


Questions

If you have questions or comments on this research, please contact Ronora Stryker, SOA Research Actuary, at rstryker@soa.org.