Description: 2011 Enterprise Risk Management Symposium, Chicago. This paper highlights the impact that a change in conditional data would have on a variety of risk assessment models, with specific emphasis on investment forecasting.

Description: 2011 SOA Enterprise Risk Management Symposium, Chicago. This is the abstract of the entitled paper.

Description: In this presentation, session number 10PD at the 1999 Annual Meeting of the Society of Actuaries held October 17-20 in San Francisco, the panelists discuss their experiences with asset valuation methods. Topics include characteristics of an effective asset valuation method, the extent to which recent economic activity should influence the smoothing period selected, whether one method smoothes valuation assets more than another, whether different methods for funding and expense make sense, and whether the current asset valuation method is accomplishing its intended purpose. Discussion from participants is included. From the Record of the Society of Actuaries, Vol. 25, No. 3.

Description: This paper demonstrates that using a conditional probability approach to analyzing investment data yields investment forecast and stock option pricing models which more closely match actual market data, and it demonstrates the impact that conditional probabilities could have on CAPM beta and risk premia calculations. Reprinted from: Journal of Financial and Economic Practice, Vol. 6 No. 2 Spring 2006.

Description: Full version of The Pension Forum, August 2001, Volume 13, Issue No. 1.

Description: Full version of Pension Section News, August 1998, Issue No. 37.

Description: Gives examples of the difference between actual data distribution of investment returns compared with lognormal assumptions.

Description: Feature article discussing arithmetic means.

Description: Panelists discuss issues important to actuaries acting as expert witnesses in legal proceedings, as well as guidelines for the actual presentation of testimony, focusing primarily in the area of pension plans. From the Record of the Society of Actuaries, Vol. 23, No. 1.

Description: Discussion of significant anomalies in option pricing due to the independent identically distributed assumption of the Black Scholes formula.