Description: This paper provides a summary of the report, Back Testing of Investment Performance by Asset Class.

Description: This discussion focuses on investments and the outlook for interest earnings from the year 1961.

Description: This paper argues that the self-financing axiom with mild assumptions on the conditional expected returns yields a market with an eventual arbitrage. This is accomplished by minimizing the conditional variance of a trade when the conditional expectation is a fixed constant. Examples with common processes shows that most models yield an eventual arbitrage. As a final application, a cost model is applied to prices of stripped coupon and principal payments on U.S. government bonds, where rates of return are estimated and lower bounds on market costs given.

Description: This research report explores investment year methodology to set renewal credited rates. There is an accompanying Excel workbook created as a teaching aide.

Description: This paper presents enhancements to the classical cash-flow matching approach to developing fixed income portfolio investment strategy by allowing cash carry-forward and borrowing from future surpluses.

Description: This paper investigates a technique for developing investment assumptions for pricing that are consistent with the investment practices of the company for use in the pricing of single premium immediate annuities. From Transactions of Society of Actuaries 1979, Vol. 31.