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EWRM

PhD, ARM

2012

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13

14

15
17

19

21

22

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33

35

36

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40

43

43

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ERM

75

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79

82

84

S&PERM

87

ERM

88

CRO

90

91

92

vi

59

95
96

102

106

107

108

124

128

131

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166

171

176

177

177

183

185

185

10

187

188

190

203

205

209

216

217

217

11

219

220

VaR

222

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232

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239

241

242

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245

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ART

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LRRA

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ART

321

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335

349

351

ART

352

354

354

355

17

357

358

360

361

365

366

366

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18 BCM

370

377

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384

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388

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397

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403

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417

427

428

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436

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439

440

452

458

458

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462

463

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ERM

472

480

480

461

23 Basel Solvency II

483
485

Basel

486

RBC Solvency II

493

501

510

510

24 IFRSs

513

IASB IFRSs

514

516

IFRSs

519

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522

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524

524

527

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531

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533

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610

611

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616

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589

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617
619

620

622

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626

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638

639

639

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642

643

EXACT

648

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655

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657

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661

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662

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 Risk

Luhmann,
1991 Risk Danger
Risk and SocietyDenney, 2005
Risk Danger
Risk
Risk
Risk

Risk ( Flanagan and Norman, 1993 ) Risque

Risque
Risicare Risa

Risk
Management Risk
Risk Danger
Risk Management

Risk

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Risk
Risk Management
Assessing Risk
1The Black Swan
Event2008-2009

Crouhy et al, 2003

2InterdisciplinarityAssessing Risk

Pollution RiskAppraisal
/ EvaluationInterest Rate
Risk
1-1

100

75

50
25

1-1

1
2

3
Interdisciplinarity, Multidisciplinarity, Oriordan,T. (1995). Environmental
science on the move. In: Oriordan, T ed. Environmental science for environmental management.
Pp.1-15.Longman Group: UK. Tapiero, C. S. (2004). Risk management: an interdisplinary
framework. In: Teugels, J. L. and Sundt, B. ed. Encyclopedia of Actuarial Science. Vol 3 pp.14831493.

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3Risk Society
Risk-Based Sense

Risk Response

One
DimensionPlural Dimensions
All Dimensions

Integration

Modelling Risk
4Positivism
IndividualisticTaleb, N.N.
2010 IIIIII 1-4

5
3

4
5

Beck, U.
3

1980 The Construction Theory of Risk

The Social Theory of Risk ( The Cultural
Theory of Risk )
SRA: Society of Risk Analysis Denney,
D. (2005). Risk and Society. London: Sage; Renn, O. (1992). Concepts of risk: a classification. In:
Krimsky, S. and Golding, D. ed. Social theory of risk. Westport: Praeger pp.53-83.

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Post-Positivism 8Communal
The Cultural Theory of Risk 9
Plural Rationalities
Single Rationality

Physical DimensionHumanity Dimension

Financial Dimension
( Renn, 1992

PerceptionCognition
Risk
Pricing

1-2

7
8
9

Union Carbide Bhopal, India,1984; Space Shuttle Challenger, USA, 1986; Chernobyl, Former
USSR, 1986; Kings Cross Fire, UK, 1987

GGA: Grid Group Analysis

Clumsy Solusions
Plural RationalitiesUnderwriting Cycle Dave
Ingram Ingram, D. and Underwood, A. The human dynamics of the insurance
cycle and implications for insurers-An introduction to the theory of plural rationalities

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1-2

10

Risk management 11Insurance Risk
Hazard Risk

Financial

Risk Management

ERM / EWRM: Enterprise-Wide Risk Management

Strategic RiskFinancial RiskOperational Risk
10

Blaise PascalPierre de Fermat 1617

Bernstein, P. L. (1996). Against the Gods-the remarkable story of risk. Chichester:
John Wiley & Sons.
11
Underwriting Risk

IRM: Insurance Risk Management

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ERM
ERM

12

Segmented Risk ManagementTRM: Traditional Risk

Management

Corporates / Enterprise Value

ERM ERM

Governance SchemeRisk Management Culture

Risk AppetiteInternal ControlInternal Auditing
Risk-Adjusted Performance Measurement

1-3

Public Risk Management

Risk Society

12

Andersen, T. J. and Schroder, P.W.( 2010 ). Strategic risk management practice-How to deal
effectively with major corporate exposures. Cambridge University press : New york.
ERM ERM
ERM ERM
ERM

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1-3

Insurance Risk
Management

Traditional Risk
Management

Financial Risk
Management

Enterprise-Wide
Risk Management

RM

RM

RM

1950-1970

1970-1990

1990-

IRM / TRM / ERM

Beck, U.
1998b; Beck, 1992

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Taleb, N. N.2010 III

IIIIV

1-4
A

II

1-4

Taleb

2008-2009 2009
2011 311

ERM EREnterprise ResilienceRizzi, 2010

Banks, 2009

13

Public Risk

14

Externalized

Risk
13
14

10

34
9

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Corporate and Government Governance
ERM

Risk Civilization15
Risk
Distribution

ERM
Public
Value

16

ERM

Beck, 1992

16

15

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Basel

17

Solvency II

18

1-5

ERM

1-5

Basel Basel Basle

BIS: Bank for International SettlementsCapital Adequacy
1988 Basel I Basel II Basel III
ERM
18 Solvency II Solvency
Margin Requirement Solvency I. Solvency II
Solvency II ERM
17

12

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1. 1998b
2. 2009 -2008-2009

3. Andersen, T. J. and Schroder, P. W. (2010). Strategic risk management practice-how to deal

effectively with major corporate exposures. Cambridge: CUP.
4. Banks, E.(2009). Risk and nancial catastrophe. Palgrave Macmillan.
5. Beck, U. ( 1992). Risk society-towards a new modernity. London: Sage.
6. Bernstein, P. L. (1996). Against the Gods-the remarkable story of risk. Chichester: John
Wiley & Sons.
7. Crouhy, M. et al(2003). Risk management. McGrow / Hill.
8. Denney, D. (2005). Risk and Society. London: Sage.
9. Flanagan, R. and Norman, G. (1993). Risk Management and construction. Edinburgh:
Blackwell Scientific Publications.
10. Ingram, D. and Underwood, A. The human dynamics of the insurance cycle and
implications for insurers-An introduction to the theory of plural rationalities.
11. Luhmann, N. (1991). Soziologie des Risikos. Berlin: de Gruyter.

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12. Taleb, N. N. (2010). The Black Swan-the impact of the highly improbable.
13. Tapiero, C. S. (2004). Risk management: an interdisplinary framework. In: Teugels, J. L.
and Sundt, B. ed. Encyclopedia of Actuarial Science. Vol 3 pp.1483-1493.
14. Oriordan, T. (1995). Environmental science on the move. In: Oriordan, T ed.
Environmental science for environmental management. Pp.1-15.Longman group:UK.
15. Renn, O. (1992). Concepts of risk: a classification. In: Krimsky, S. and Golding, D. ed.
Social theories of risk. Westport: Praeger. Pp.53-83.
16. Rizzi, J. (2010). Risk management-techniques in search of a strategy. In: Fraser, J. and
Simkins, B. J. ed. Enterprise risk management. pp.303-320. John Wiley & Sons.

14

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Risk TheoryResponding to Risk

Managing Risk

OpportunityThreat

Beck,U.

Bernstein, 1996

4
Taking Risk

Tapiero, 2004
Interdisciplinarity
1

4
5

18

RiskMetrics Algorithmics

Jerome R. Ravetz
Post-Normal ScienceNormal Science
Funtowicz and Ravetz (1996)Risk management, post-normal science, and extended peer
communities.

Bernstein, P. L. (1996)
003
(Bernstein, 1996) 025

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Uncertainty

7 8

10

Knight, F.1921

11

MaCrimmon and Wehrung, 1986; Rowe, 1994; Fichhoff, et al, 1984

Risk (Bernstein, 1996) Against

the Gods-the remarkable story of risk

8 1956 Gallagher,
1956(Safety Management) 1985
RIMSRisk and Insurance Management Society 101 8
8 For any significant loss exposure, neither loss control nor loss
financing alone is enough; control and financing must be combined in the right proportion
9 Taleb, N. N. (2010)The
Black Swan-the impact of the highly improbable

10
11 Knight, F. If you dont know for sure what will happen, but you know the odds, thats risk, and
is you dont even know the odds, thats uncertainty. Knight, F. (1921). Risk, uncertainty and
profit. New York: Harper & Row.
7

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12

13

Fone and Young, 2000

Objective Uncertainty

Subjective Uncertainty

SARSSevere Acute Respiratory

Syndrome

12

Annual death toll

Loss of life expectancyLost working days

13 IRM: Insurance Risk ManagementTRM:

Traditional Risk Management MPL (Maximum Possible Loss
or Maximun Probable Loss), MPY( Maximum Probable Yearly Aggregate Dollar Loss)
ERM / EWRM:Enterprise-Wide Risk ManagementVaR
Value-at-Risk VaR VaR

20

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2-1

2-1

Knight, F1921

Renn, 1992Lupton, 1999

14

14

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15

Principle of Loss Indemnity

16Expectation
(Reality)

Berger and Luckmann,

1991Reality
Fatalist

The
Royal Society, 1992; Renn, 1992; Lupton, 1999
Individualisti
Communal

Value-Free
Positivisim

17

15

22

16

17 SRA: The Society of Risk Analysis 1980

Risk Analysis SRA
1980

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