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A common risk classification system for the Actuarial Profession

Published online by Cambridge University Press:  19 October 2012

P. O. J. Kelliher ,
D. Wilmot ,
J. Vij  and
P. J. M. Klumpes
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Abstract

Risk terminology varies from organisation to organisation, and actuaries working in different organisations may use different terms to refer to the same risk, or use the same nomenclature for completely different risks. This paper sets out a classification system developed by the Risk Classification Working Party for the Profession that can be used as a common reference point for discussing risk. Actuaries will not be required to use this system, but it is hoped that common terminology will reduce the possibility of confusion in discussing risks.

Keywords

Risk ClassificationMarket RiskActual Inflation RiskCredit RiskProbability of Default (PD)Loss Given Default (LGD)Exposure at Default (EAD)Insurance and Demographic RiskPersistency RiskOption Take-Up RiskProcess RiskHeterogeneity RiskCatastrophe RiskLiquidity RiskOperational RiskGoodwillStrategy RiskFrictional RiskTax RiskAggregation and Diversification RiskLinnaean rank-based classificationcladistic classification.
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 18 , Issue 1 , March 2013 , pp. 91 - 121
Copyright
Copyright © Institute and Faculty of Actuaries 2012, The Institute and Faculty of Actuaries, with whom the copyright of this classification resides, permits re-use of parts without the need to request a specific licence on condition that the source is fully acknowledged. 2012 

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References

Besar, D., Booth, P., Chan, K.K., Milne, A.K.L., Pickles, J. (2009). Systemic risk in financial services. British Actuarial Journal, 16, 195–300.CrossRefGoogle Scholar