Transcript Integrated Risk Management Presented by Robert P. Eramo Holborn Corporation

Integrated Risk Management
Presented by Robert P. Eramo
CAS DFA Seminar - Boston 7/98
Holborn Corporation
Integrated Risk Management
•
•
•
•
Traditional Insurable Risks
General Financial Risks
Industry Specific Risks
Company Specific Risks
Holborn Corporation
Integrated Risk Management
Traditional Risks
• Fire, Property
• Liability(Premises, Products, D&O etc.)
Holborn Corporation
Integrated Risk Management
General Financial Risks
• Currency
• Interest Rates
• Liquid Expense and Revenue Items
Holborn Corporation
Integrated Risk Management
Industry Specific Risks
• Indices Of Industry Activity (Book To Bill
In Semiconductors)
• Industry Sales Or Premium Volume
• Frequently Not Tradable Time Series
Holborn Corporation
Integrated Risk Management
Measurements Of Risk
• Expectations
• Variability
• Correlation Of Risks
Holborn Corporation
Integrated Risk Management
Measures of Variability
• Standard Ammunition For Traditional
Losses
• ARIMA models for financial series and
industry specific series
• Black Scholes Implied Volatility
Determination
Holborn Corporation
Integrated Risk Management
•
•
•
•
Models Integrating Risk Can Be Designed
Underlying Limits of Cover Reflected
Costs of Covers Determined
Ruin Probabilities Determined
Holborn Corporation
Integrated Risk Management
Sample Program
• Aggregate Excess Combined With Currency
Put
• Costs Less Than The Two Purchased
Separately
• Can Be Excess Funded To Accelerate
Expenses For Tax Purposes. Excess
Funding Returned In Future
Holborn Corporation
Integrated Risk Management
When Is It Worth Effort?
• Exposures with Limited Correlation
• Optimally Negative Correlation Present
• Exposures Of Comparable Size
Holborn Corporation