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Foreign Currency Risk Rating Methodology

Description

PLEASE NOTE: REGISTRATION WILL CLOSE 10 AM ET THE DAY OF THE WEBINAR.
DUE TO HIGH VOLUME OF DEMAND, WE ARE ONLY ABLE TO GUARANTEE A SEAT TO THOSE WHO REGISTER 48 HOURS AHEAD OF THE WEBINAR TIME.

Nearly every company doing business beyond its own borders faces the challenge of cost effectively managing currency translation risk. Each year, corporations incur significant currency-related losses due to global currency volatility. Companies that do not manage their FX risk exposure effectively incur earnings impairment which is capital dilutive. Application of the fundamental Enterprise Risk Management ("ERM") principals of risk pooling; proportionate risk sharing; and rank correlation, yields a structured insurance solution which results in equitable pricing and yields lower overall capital requirements, which is accretive to book value.

This webinar will walk through the development of risk rating methods to measure and manage the accretive ERM value of retaining FX risk exposure through a structured insurance program. The methodology has evolved over the ten-year history of an actual captive insurance program which provides equitable premium rates to policyholders and yields risk reduction on an aggregate basis through the application of credible predictive actuarial techniques. Specifically, we apply stochastic differential equations in comparison of financial models with Levy processes using Markov Chain Monte Carlo (MCMC) simulation.

Learning Objectives

  1. Understand the risk theory underlying the actuarial methods applied to measure and manage foreign currency translation risk (FX) exposures.
  2. Learn the step by step risk analytic technique of MCMC simulation modeling to create the requisite aggregate loss distributions, which in turn yield the risk rating results.
  3. Review the past performance of this structured reinsurance solution with the ten year history from an actual captive insurance ERM program.
Registration Information and Fees

PLEASE NOTE: REGISTRATION WILL CLOSE 10 AM ET THE DAY OF THE WEBINAR

Registration Fees (in U.S. Dollars) Received on/by Oct 6, 2022 Received after
Oct 6, 2022
Individual $50 $75
Multiple Connections**
(Unlimited internet connections for individuals working for the same company. Please note that audio for this presentation will be streamed via the web)
$600 $650

*Multiple Connection Registrations should contact Leanne Wieczorek directly at 
lwieczorek@casact.orgThe registering party for the Multiple Connection Registration will be responsible for distributing all event details to attending individuals within their company.

No Broadcast Policy
Your registration entitles you to access CAS’ webinar programs for which you have registered. By registering to attend the webinars, you agree not to sell, transfer, or otherwise share your webinar access link and/or code unless such sharing is authorized by CAS. You further agree not to record or broadcast CAS’ webinar programs without advance written authorization by CAS.

Cancellations/Refunds
Registrations fees will be refunded for cancellations received in writing at the CAS Office via fax, 703-276-3108, or email, refund@casact.org , by Oct 13, 2022 less a $25 processing fee.

CAS Continuing Education Policy
The CAS Continuing Education Policy applies to all ACAS and FCAS members who provide Actuarial Services. Actuarial Services are defined in the CAS Code of Professional Conduct as “professional services provided to a Principal by an individual acting in the capacity of an actuary. Such services include the rendering of advice, recommendations, findings or opinions based upon actuarial considerations.” Members who are or could be subject to the continuing education requirements of a national actuarial organization can meet the requirements of the CAS Continuing Education Policy by satisfying the continuing education requirements established by a national actuarial organization recognized by the Policy. For further information regarding the CAS Continuing Education Policy please visit the CAS web site.

CAS Webinars may qualify for up to 1.8* CE Credits for CAS members.
Participants should claim credit commensurate with the extent of their participation in the activity. CAS members earn 1 CE Credit per 50 minutes of educational session time, not to include breaks and/or lunch. *The amount of CE credit that can be earned for participating in this activity must be assessed by the individual attendee. It also may be different for individuals who are subject to the requirements of organizations other than the Casualty Actuarial Society.

Contributors

  • James McNichols

    Jim is a consulting actuary with 30+ years of experience in all P&C lines. In recent years, project focus is large US corporations, designing and implementing bespoke insurance solutions to manage economic risk exposures including FX, Commodities, Recessions and Pandemics.

October 20, 2022
Thu 12:00 PM EDT

Duration 1H 30M

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