Description: By necessity, attributions of financial processes require approximations. Tools used for approximations include Aumann-Shapley, time step, step-through, average step-through, partial derivative, and average partial derivative. Significantly non-linear paths can cause problems during attribution. Time (theta) and market factors must be handled concurrently. Typically contractual factors can be handled separately. Average Step-Through, Aumann-Shapley and Aumann-Shapley-3 points perform the best given the same time period. Attribution should be done with fairly small time steps as opposed to using a lot of points in the Aumann-Shapley calculation, but using Aumann-Shapley-3 points as a last step has some advantages.

Description: The selection of a discount rate is one of the most important assumptions for the calculations of present values. The paper presents the basic properties of the key measurements of investment returns and the discount rates associated with these measurements.

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

Description: A paper entitled “A Regime-Switching Model of Long-Term Stock Returns” appears in the April 2001 issue of the North American Actuarial Journal. In it, Dr. Mary Hardy describes a model for future equity returns and some reasons why that model might better reflect real equity price movements than the often-used lognormal model. The purpose of this article is to apply a two-regime model to variable annnuity GMDB pricing and compare the results to those from a lognormal model.

Description: Summarizes the state of US government balance sheet and defends the view that inflation will not rise sharply in the next few years.