The present paper proposes a new methodology to model the lapse risk in life insurance by integrating the dynamic aspects of policyholders' behaviors and the dependency of the lapse intensity on macroeconomic conditions. Our approach, suitable to stable economic regimes as well as stress scenarios, introduces a mathematical framework where the lapse intensity follows a dynamic contagion process, see Dassios and Zhao (2011). This allows to capture both contagion and correlation potentially arising among insureds' behaviors.

These slides examine the interest rate sensitivity of a life insurer's liquidity and solvency - with particular focus on an interest rate rise. We model the economic (market-consistent value) balance sheet of an average German life insurer subject to European Solvency II regulation. To capture portfolio and long-term effects, we explicitly incorporate an existing back book of historically sold policies and an existing asset allocation calibrated by empirical data.

An effective Risk Appetite Framework has been identified as a critical component of an effective risk management and governance framework and a key enabler for organisations wanting to drive performance and empower staff at every level to make timely, risk aware decisions. However, there remains a surprising variety of opinion about what it actually means to establish and embed an effective risk appetites framework.

This paper provides a brief recap of the evolution of the risk appetite concept in the banking industry. The main focus, however, is the practical application of the risk appetite framework to help board members and senior business and risk executives drive the implementation of such a framework at their institutions.

Enterprise risk management (ERM) has become a critical practice in organizations that are dedicated to managing uncertainty and its effect on achieving organizational objectives. ERM helps organizations focus on the most relevant risks to achieving an organization's goals and objectives, both from an operational, as well as a strategic, perspective. In this way, risk is linked inextricably with future outcomes.

One of the most challenging parts of ORSA is trying to understand the differences between risk appetite, risk tolerance and risk limits. Some of the resources talk about capacity in these terms as well. This paper attempts to define these terms consistently. This is an area that does not always align with what you expect going in, and not all of the sources use exactly the same definition. It is also evolving over time, so the dates of documents can be important.

Abstract: I recently decided that there was no longer space to store 20 years worth of Accountancy and Accountancy Age. Prior to disposal I reviewed all the back issues for articles of particular note worth saving. In the course of this process, a number of things were striking. First, articles on financial reporting were conspicuous in the 1980s, and in the 1990s it was auditing which seemed to be the main object of discussion. Second, risk and risk management begin to receive regular exposure only from about the mid-1990s onwards.

This report examines current practices and identifies challenges to achieving ERM stakeholder buy-in. It also offers strategies to help overcome these challenges and improve ERM stakeholder engagement.

Conduct is a lens into the culture of organizations, and conduct failings seem to be widespread across several jurisdictions, cut across financial services organizations and involve both the retail and wholesale sides of business. Improving conduct within the industry is an essential part of rebuilding trust and supporting future sustainable growth. Further, the regulatory focus on conduct is expected to persist and firms will continue to face pressure to be alert to poor behavior.

The International Civil Aviation Organization promotes prioritization of wildlife management on airports, among other safety issues, by emphasizing the risk of wildlife?aircraft collisions (strikes). In its basic form, strike risk comprises a frequency component (i.e., how often strikes occur) and a severity component reflecting the cost of the incident. However, there is no widely accepted formula for estimating strike risk. Our goal was to develop a probabilistic risk metric that is adaptable for airports to use.