Description: Risk management and capital budgeting are two critical components of the corporate decision process. They often need to be considered jointly at the corporate level because of their natural interaction through the dependent risk exposures and other synergetic relationships within an intricate corporate structure in a dynamic business environment. . This paper develops an integrated framework that aligns these two important corporate strategies across business divisions to optimize the streamlined enterprise strategic goal in a multi-period setting. The proposed integrated framework can serve as a practical guideline for corporate executives to optimally coordinate capital budgeting and risk management at the enterprise level.

Description: Chairperson’s column discussing the state of the world today and how that influences investment strategies and describes to seminars the section sponsored to keep members apprised of changes.

Description: Panelists discuss: [1] how they determine appropriate issuer and concentration limits in a below-investment-grade portfolio, [2] the best techniques for monitoring and managing exposures as they improve or deteriorate, and [3] opportunities for managing credit risk through synthetic structures and derivatives. From the 2002 Record of Society of Actuaries, Volume 28, No. 3. Session 55PD of the Boston Annual Meeting.

Description: Proposes a benchmark consisting of TIPs and deferred income annuities for retirement asset allocation decisions.

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: ICP 16 and its requirement for an Own Risk and Solvency Assessment (ORSA) will offer opportunities for the actuarial profession to provide uniquely well-educated and professional assistance to this process.

Description: This article deals with enterprise risk management and how the techniques contained within the discipline can help prevent unforeseen large mistakes in strategy, product design, and product management

Description: This session will demonstrate the advantages of approaches to duration matching and cash flow matching. Plan examples and sponsor’s objectives will be presented. An overview of when to choose one approach versus a blend of the two approaches will also be covered.