ERM Library

The ERM Library is a collection of articles, papers and books related to Enterprise Risk Management. If you would like to have a resource added to the library or have any feedback in relation to the ERM Library please let us know by using the “Contact us” button below. Some papers require members to log-in due to licensing restrictions.

Users can search the library by general category, specific risk category or by using the keyword search feature. Alternatively you can select all documents to browse the entire library. The library can also be filtered and sorted by using any of the headings shown below.

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Title Published Author Publication Type Resource Type
Deriving the optimal amount of Risk Capital for PL Insurance Companies utilising ALM Matthias Schmautz Paper Academic
Optimization of Dynamic Portfolio Insurance Model Yuan Yao Paper Academic
Optimization Problems of Excess-of-Loss Reinsurance and Investment under the CEV Model Qicai Li and Mengdi Gu Paper Academic
Risk capital allocation for RORAC optimization? Arne Buch, Gregor Dorfleitner, Maximilian Wimmer Paper Academic
An Analysis of Reinsurance Optimisation in Life Insurance - Working Paper Elena Veprauskaite and Michael Sherris Paper Academic
Evolutionary Estimation of a Coupled Markov Chian Credit Risk Model Ronald Hochreiter, David Wozabal Paper Academic
Scenario Optimization for Multi-Stage Stochastic Programming Problems Ronald Hochreiter Article Academic
Simplified stage-based modelling of multi-stage stochastic programming problems Ronald Hochreiter Article Academic
Evolutionary Optimization for Decision Making under Uncertainty Ronald Hochreiter Paper Academic
Risk Return Optimization with Different Risk Aggregation Strategies
Ursula Theiler, Gaia Serraino, Stanislav Uryasev Paper Academic
CVAR proxies for minimizing scenario-based value-at-risk Helmut Mausser and Oleksandr Romanko Paper Academic
Risk-minimising investment strategies Ursula Theiler Paper Academic
Combined Optimization of Portfolio and Risk Exposure of an Insurance Company Daniel O. Cajueiro and Takashi Yoneyama Article Academic
Optimising Life Reinsurance strategy under risk-based capital measures Tatyana Egoshina, Sandra Haas, Chris Lewis, Scott Mitchell, Jillian Wood Article Commercial
Optimization Models for Insurance Portfolio Optimization in the Presence of Background Risk E. O. Oyatoye and K. K. Arogundade Paper Academic
Optimization of the Non-Life Insurance Risk Diversification in Solvency II Werner Hurlimann Article Academic
Modelling and optimization of risk Pavlo Krokhmal, Michael Zabarankin, Stan Uryasev Paper Academic
Portfolio Optimisation Using Value at Risk Vinay Kaura Paper Academic
Guaranteed Optimization in Insurance of Catastrophic Risks Boris V. Digas, Yuri M. Ermoliev, Arkadii V. Kryazhimskii Paper Academic
Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints Pauline Barrieu, Henri Louberge Paper Academic
Enhancing insurer value through reinsurance, dividends and capital optimization: an expected utility approach KRVAVYCH, Yuriy Paper Academic
A Critical Analysis of the Solvency II Proposals René Doff Paper Academic
Possible Unintended Consequences of Basel III and Solvency II Ahmed Al-Darwish, Michael Hafeman, Gregorio Impavido, Malcolm Kemp, and Padraic O' Malley Paper Academic
Price Optimization For New Business Profit and Growth Towers Watson Article Commercial
The fundamental principles of financial regulation Markus Brunnermeier, Princeton University, Andrew Crocket, JPMorgan Chase, Charles Goodhart, London School of Economics, Martin Hellwig, Max Planck Institute, Avinash D. Persaud, Chairman. Intelligence Capital Limited, Hyun Shin, Princeton University Paper Academic
Corporate governance & risk management GARP Paper Commercial
Enterprise Risk Management and global compliance in the corporate governance context: The General Counsel William L. Deckelman, Jr.CSC Paper Academic
Enterprise Risk Management: Why the Ethics and Compliance Function Adds Value John Dienhart, Ph.D.Frank Shrontz Chair for Business EthicsSeattle University Paper Academic
Enterprise risk management: A critical tool for strategic decision-making Linda Conrad - Director of Strategic Business Risk, Zurich Services Corporation
Chris Yau - Senior Manager - Global Products and Services Development, SGS
Paper Commercial
Aligning Enterprise Risk Management with Strategy Through the BSC: The Bank of Tokyo-Mitsubishi Approach Takehiko Nagumo, Senior Manager, Corporate Planning Office, Bank of Tokyo-Mitsubishi (Tokyo) Article Commercial