Description: This article discusses actuarial appraisal value and explores the relationship between cost of capital, market fair value of assets and liabilities, and the option pricing method.

Description: “It’s interesting to note that, given the past year’s reversal of fortunes in the stock markets, all the media rap about heated inquiries around back-dating options has stopped.”

Description: Applies the economic concept of negative externality (where firms profit but create unacceptable social costs) to systemic of financial institutions. Identifies alternatives to the traditional (Pigou) response of taxing the firm.

Description: The author uses a generalized asset risk model to explore C1 risk, drawing heavily from investment theory and pension fund management, applying these to an insurance general account. This article has two parts the first part, contained in this issue of Risk and Reward, describes the basic C1 model itself. The second part, which will be published in the next issue of Risks and Rewards, discusses various implications of the basic C1 model, especially related to managing the company’s investment portfolio.

Description: This article discusses the pricing of life insurance contracts in the risk-neutral world. Specifically it deals with three aspects: 1 the motivation for pricing contracts using a risk-neutral methodology in valuing life insurance contracts 2 development of some ‘intuition’ behind the risk-neutral valuation techniques and 3 some caveats which need to be recognized.

Description: Abstract of Research Project on Interest Rate Risk

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: “Many commentators have suggested that firms need to do stress tests to examine their vulnerability to adverse situations that are not within the data set used to parameterize their risk models. We suggest the adop¬tion of a terminology to describe stress tests and also a meth¬odology that can be adopted by any risk model user to test and communicate a test of the stability of model results.”

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).