The Investment Section is hosting a member’s only contest on asset allocation. The results will be reported each week.

This web page, created by the SOA Pension Section Council, contains links to the Citigroup [formerly Salomon Brothers] Pension Discount Curve and Liability Index, and to related explanatory material. These measures can be used by employers to satisfy SEC guidelines when determining the discount rates used for pension and postretirement benefit accounting under FASB Statement of Financial Accounting Standards FAS 87, 'Employers' Accounting for Pensions,' and FAS 106, 'Employers' Accounting for Postretirement Benefits Other Than Pensions.'

In this session from the 2011 Equity-Based Insurance Guarantees Conference in Hong Kong, speakers will offer their thoughts on the less-talked-about risks i.e., basis and model risks associated with quantifying and managing VA-related risks.

The Investment Section has purchased a 2 year subscription to EBSCO for Investment Section members.

The models that seek to determine fair value for stocks use corporate earnings and a capitalization rate such as a price/earning ratio to arrive at fair value. Nearly all such models use interest rates to set the capitalization rate. Current interest rates are assumed to be fair, as if there were no emotions in the bond market. Interest rates themselves are never viewed as too high or too low. For the past 10 years [1984-1993] stocks have been viewed as too high, in relation to interest rates. In reality, interest rates have been too high.

This article describes a pair of revisions to the procedures for constructing the Citigroup Pension Liability Index and the Citigroup Pension Discount Curve.

This session at the 2007 Investment Symposium presents methodology for optimizing an investment portfolio that supports a line of fixed annuities.

This presentation at the 2007 Investment Symposium discusses the establishment of investment performance measures and benchmarks in the face of conflicting goals presented by accounting results versus economic results.

Review of the historical impact of past cycles on the credit markets and what changes have been made in managing credit. Discussion of the evolution of risk management practices and tools in managing credit portfolios, along with ways of defining and measuring sufficient diversification. 2007 Investment Symposium session.

Does asset allocation explain 40 percent, 90 percent or 100 percent of performance? How should active asset allocation strategies optimally incorporate information about uncertainty, distributions and liabilities? Traditional Markowitz mean–variance optimization using fixed asset class estimates of risk–return and covariance can be sub–optimal because of estimate uncertainty and skewed risk–return distributions. This session will evaluate current thinking such as allocation alpha and active beta and the increasing practice of mixing traditional and alternative asset classes.