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: 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: In session 121IF of the Washington Annual Meeting panelists discuss the results of a special National Academy on Aging research project on issues related to the aging of our society. Also examined are new areas for actuarial involvement. From the Record of the Society of Actuaries, Vol. 23, No. 3.

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

Description: Investment Fallacies: The Fallacy of Independence

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

Description: Investment volatility can lead to unacceptable levels of contribution volatility and wide swings in a retirement plan’s perceived funded status. This paper approaches the volatility problem from a plan design perspective.

Description: Review of Fifty-Second Annual Report of the Board of Actuaries of the Civil Service Retirement System. The authors found it to be a concise well written report discussing a number of issues facing all pensions in an inflationary economy. Both the title and the dull format in the usual Government Printing Office style would seem to insure this document's instantaneous consignment to dead storage. However, behind the cover of this small pamphlet is a concise, well written report discussing-a-number of the issues facing not only federal pension programs at the present time, but all pensions in an inflationary economy. For example, several of the 11 pages devoted to the main report discuss the implications of static assumptions ignoring inflation as opposed to dynamic assumptions including inflation.

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