Description: There has been a large increase in money being poured into deferred annuities in the past year. Management must decide to spend time understanding and monitoring investments, regulatory developments and pricing spreads for these products.

Description: When fitting a model to any data, there is some uncertainty about which model is best. Green [1995] quantifies this uncertainty through the Reversible Jump Markov Chain Monte Carlo [RJMCMC] method. When using the RJMCMC method in a regime-switching situation, the chain determines the optimal number of regimes by jumping between various possibilities. This method gives each model its posterior probability of being the best. After an overview of the methodology, the authors apply it to various datasets and discuss the applications in modern actuarial science.

Description: Presented at August 2011 Actuarial Research Conference. Summarizes the Heston model, discusses hedging equity indexed annuities, and provides numerical results of the Black-Scholes and Heston hedging strategies.

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.

Description: Asset Adequacy Analysis for the Long-Term Care Product: A Case Study by Amy Pahl from Long-Term Care Newsletter, December 2004, Issue No. 13.

Description: Recaps the content of leading presentations at 2016 Inv Symposium. Topics include bond liquidity, investment outlook, low rate portfolio strategies

Description: Using data from 12,571 publicly traded U.S. industrial firms spanning 1980 to 2004 for which quarterly firm specific financial variables and macroeconomic variables are available, this is the abstract of a paper that estimates the probability of bankruptcy/merger for each company and hence a prediction of bankruptcy/merger in the next quarter.

Description: This article discusses challenges in achieving ERM stakeholder buy- in and ways to improve stakeholder engagement.

Description: This is presentations slides summarizing the many concepts presented in the research paper. “When Black Swans Aren’t: Holistically Training Management to Better Recognize, Assess, and Respond to Extreme Events”, by Guntram Fritz Albin Werther and Thomas Herget.