Finance and Financial Management Commons^™

Case Study In Enterprise Risk Management: Lion Rock Summer Camps, Inc., Arthur Meaney

Honors Theses

Enterprise risk management is a crucial part of the modern business world. Being unprepared to handle risks that a company may face can lead to financial demise. Since the 1960s, the insurance industry has steadily moved away from the focus on insurance buying. Enterprise risk management strives to identify company-wide risks, evaluate their frequency and severity, come up with risk management and loss control methods, implement said methods, and monitor their effectiveness over time. In this case study, I identify risks for Lion Rock Summer Camps, Inc. and suggest various risk management and loss control methods. Lion Rock Summer Camps, …

How Information Technology Investment Influences Firm Financial Vulnerability, Andrew S. Miller

Theses and Dissertations

Information technology (IT) investments have increased over the last half-century without clear justification in academic or practice-based literatures. One area that has not been adequately addressed in the past literature is the role of IT investments in mitigating firm financial vulnerability. This dissertation specifically attempts to understand the marginal effects of IT investments on financial vulnerability as defined by firm risk and R&D depreciation. Two research questions are pursued to help explain the role IT investments play in firm financial vulnerability: 1) What is the relationship between IT investments and R&D depreciation? and 2) What is the relationship between IT …

Uri And Its Students: A Contract For The Provision Of A Safe Environment, Danielle Joan Beatrice

Senior Honors Projects

DANIELLE BEATRICE (English; Philosophy; Business) URI and Its Students: A Contract for the Provision of a Safe Environment

Sponsor: Judith Swift (Communication Studies, Coastal Institute)

When students begin to attend college, they expect to be consumed with busy schedules, heavy workloads, and an exciting social life. Students do not anticipate being in dangerous situations. However, this does not mean that such situations do not occur. Therefore, it is essential to teach students to be active participants in educating themselves and their peers regarding prevention and response to emergency situations. My Honors Project aims to increase the awareness of safety-related issues …

Event Risk : Three Essays Exploring Nonprofit Organizations' Finances After The September 11 Attacks, Santiago Guerrero

Legacy Theses & Dissertations (2009 - 2024)

The three essays of this dissertation explore the experience of nonprofit organizations after the September 11 attacks to gain a better understanding of one specific type of risk nonprofit organizations face— “event risk” — which I broadly define as the risk of a negative impact on the operations of a nonprofit organization as a result of unexpected events. Essay One finds that overall nonprofit sector revenues were not reduced after the September 11 attacks and identifies characteristics of the revenue mix that make nonprofit organizations less susceptible to event risk. Essay Two identifies characteristics of nonprofit organizations’ financial conditions that …

Project Finance: Transactional Evidence From Australia, Michael Regan

Michael Regan

The international project finance market is experiencing a period of significant change. The new Basel III capital adequacy rules will make it harder for banks to provide long-term project finance, and alternative sources of finance such as the shadow banking sector, fund managers, sovereign wealth funds, and institutional investors will take time to bridge the financing gap. In the meantime, it is difficult to source project finance for tenors beyond seven years, risk premiums are higher, and finance is difficult to source. Recent innovations in the form of the European Investment Bank’s Project Bond Initiative, and the ASEAN Infrastructure Fund …

Rapid Calculation Of The Price Of Guaranteed Minimum Death Benefit Ratchet Options Embedded In Annuities, Eric R. Ulm

Journal of Actuarial Practice (1993-2006)

This paper presents a new method of obtaining quick and accurate values and deltas for discrete look back options using Taylor series expansions. This method is applied to the case of ratchet guaranteed minimum death benefits attached to annuity contracts, and the method is extended to include annuities where a fixed fund is attached to the variable account. Finally, both the speed and the accuracy of the method are compared to Monte Carlo simulation and the exact analytic solution. The Taylor expansion method is shown to be faster and, in most cases, more accurate than the alternative methods.

Determination Of Optimal Premiums As A Constrained Optimization Problem, Farrokh Guiahi

Journal of Actuarial Practice (1993-2006)

A simple stochastic model of an insurer's underwriting and related investment operations is used to determine the optimal amounts of written premiums for one period for the insurer's book of business. The written premium for each class is determined by the solution of a constrained optimization problem. The insurer's objective function is the expected profit on a book of business over the period. The insurer has a safety constraint where a certain portion of capital and surplus can be depleted with a small probability. This paper provides an explicit solution for optimum expected profit and corresponding written premiums by classes. …

Dynamic Immunization And Transaction Costs With Different Term Structure Models, Eliseo Navarro, Juan M. Nave

Journal of Actuarial Practice (1993-2006)

A bond portfolio selection model is developed in a dynamic framework using different term structures, but without transactions costs. We show that the optimal portfolios are consistent with Khang's dynamic immunization theorem, i.e., the optimal path consists of making portfolio duration equal to the investor's horizon planning period. The model is then extended to include transaction costs. The resulting optimal portfolios are no longer consistent with Khang's dynamic immunization theorem. In fact, the strategy for constructing the optimal portfolio consists of initially choosing a portfolio with a duration that is smaller than the horizon planning period.

Asset Allocation In Investing To Meet Liabilities, Anthony Dardis, Vinh Loi Huynh

Journal of Actuarial Practice (1993-2006)

We present some rudimentary concepts on asset/liability management and describe an approach to asset allocation modeling for institutions that invest to meet liabilities. The traditional risk/reward framework of financial economics is used as a starting pOint. The definitions of risk and reward are then refined with regard to the institution under consideration. A simple model of a U.S. life office is examined. We assume that the only investments available are domestic stocks and long-dated government bonds. Stochastic simulation is used to create a large number of future investment scenarios using historical total return data for these asset classes. The ability …

Actuarial Conservatism: Not In Public Sector Defined Benefit Pension Plans, Brian A. Jones

Journal of Actuarial Practice (1993-2006)

Most actuaries tend to be conservative, and most, including this writer, probably would be happy to be so categorized. But actuarial conservatism may not be the best rule in defined benefit public sector pension plans. This paper argues that it is not appropriate for actuaries to employ conservatism assumptions in such public sector plans.

A Critique Of Defined Contribution Plans Using A Simulation Approach, David M. Knox

Journal of Actuarial Practice (1993-2006)

During the 1980s there was a trend in many countries away from defined benefit plans toward defined contribution plans. This development means that the individual member bears the full investment risk in the preretirement period and the annuity rate risk at retirement, as no pension benefit (expressed as a percentage of salary) is provided. This paper, through the use of a stochastic model for both inflation and a range of investment returns, analyses the distribution of retirement incomes that will be produced from a defined contribution plan. The impacts of changing entry and exit ages, different investment strategies, alternative career …