Description: This paper illustrates the application of stochastic control methods in managing the risk associated with an insurance business. We present the Hamilton-Jacobi-Bellman HJB equation and demonstrate its use in finding the optimal investment strategy based on some given criteria. Here we consider an insurance business with a fixed amount available for investment in a portfolio consisting of one non-risky asset and one risky asset. The object of the resulting control problem is to determine the investment strategy that minimizes infinite time ruin probability. The existence of a solution to the resulting HJB equation is shown. The relevant verification lemma is not presented in this paper and a numerical algorithm is given instead. Examples applied to exponential claims are also presented.

Description: This paper discusses both the theoretical and the application aspects of stress testing in managing enterprise risks. Effective stress testing maximizes the risk adjusted enterprise profit by controlling major risks financial, strategic, operational and hazard upon identifying risk metrics and modeling the correlations. A case study is included for demonstration purposes.

Description: Presented at October 1996 Annual Meeting. This panel discusses a prevailing economic scenario, financing economic growth, investment strategies, and risk management.

Description: Describes investment strategy targets used in the investment competition under way for investment section members in 2017.

Description: This session discussion is about tools, techniques, and methods used by the health valuation actuary HVA in dealing with business projections, cash-flow analysis, valuation on nonguaranteed premium business, target surplus analysis, reinsurance and claim reserves. From Record of Society of Actuaries Vol. 18, No. 1A.

Description: Discussion of projected stochastic reserve results under PBR for ULSG product under different baseline projection scenarios and different investment strategies.

Description: This paper explores Indian futures and options market as a market for hedging by equity holders. The authors have tried to examine optimal hedge ratio and hedge efficiency, and to provide empirical evidence from India.

Description: Uses Blackrock's macroeconomic and style factors in asset allocation examples for an insurance portfolio and a pension portfolio.

Description: In this paper we discuss the link between the price of a contingent claim and its replicating strategies. We compute the replicating strategies for some contingent claims when the price of stocks are modeled using either the Wiener process or the Poisson process. These replicating strategies are essential knowledge if one wishes to implement a dynamic trading strategy.

Description: Summarizes a research paper considering insurer performance during the financial crisis, with actions and circumstances that improved results highlighted.