‘Most risk management is really just advanced contingency planning and disciplining yourself to realise that, given enough time, very low probability events not only can happen, but they absolutely will happen. The definition of infinity is that you wait long enough, everything happens.’  Lloyd Blankfein, Goldman Sachs CEO, July 2013.

This quotation highlights one of the important reasons for considering extreme risks. Extreme risks are potential events that are very unlikely to occur (therefore infrequent) but could have a significant impact on economic growth and asset returns, should they happen. We would argue that a robust risk management approach must not stop at a particular percentile (whether VaR95 or VaR99.5), but must consider the implications of events in the tail.  In this session, we discuss why we believe extreme risks are important, our ongoing research into extreme risks, our current identification and classification of extreme risks, and their implications for insurers.   We will also present the results of a recent global 'wiki' survey of ERM practitioners that prioritized extreme risks for the insurance industry.