Description: This paper summarizes default experience on bonds from 1900 through 1987. Although the information is more extensive for publicly traded bonds, the paper includes some information on private placements, some of which is not otherwise available.

Description: 1993 SOA Spring Meeting, Boston. This session is about applications of the capital asset pricing model in the fixed-income environment, in the international investment environment, and in the property/casualty environment. Topics addressed: • Single-index model. • Multiple-index model. • Impact on risk.

Description: The investment grade corporate bond market continues to expand in size and is now nearing record levels. The Bloomberg Barclay’s U.S. Corporate Bond Index, representative of the U.S. corporate bond market, now measures over $5 trillion, nearing its all-time high compared to its $2 trillion mark in 2008. The BBB-rated segment of the index has experienced significant growth, and now represents more than 50% of the corporate bond market. Corporate bond market risk has increased beyond what the ratings indicate. Today's investing landscape of relatively low yields, higher corporate leverage and a later-stage credit cycle presents challenges for both insurance and pension portfolios where corporate bonds are a core investment. <br> <br>With representation from a U.S. portfolio manager, Canadian portfolio manager and an investment consultant, attendees will get a full perspective of the North American environment and how to apply this information when making client recommendations.

Description: This article shows how market participants’ view of risk impacts not just their own choices, but also how they impact on everyone else&#39;s choices as well.

Description: U.S. bond markets have undergone dramatic changes due to the 2008 Global Financial Crisis (GFC) and the COVID-19 pandemic. In taking a retrospective view, we can see that bond markets, viewed through the lens of major bond indices, have been evolving for quite some time. Within this paper, TD Asset Management Inc. (TDAM) will explore underlying changes that have occurred within the U.S. Corporate Bond Index, a sub-component of the larger U.S. investment grade bond market, over the past decade. We will highlight key structural changes that have occurred within bond markets and why they are noteworthy

Description: This article discusses how FHLB advances, i.e. low cost loans, can supply valuable risk management benefits. By carefully structuring an advance to mature coincident with the anticipated premium inflows generated by insurance products, a company can largely eliminate future net cash flows and consequently the need to invest them in uncertain capital markets.

Description: During March 2020, COVID-19 concerns escalated in the U.S. and lockdown measures were announced. Market returns in March 2020 were quite extreme and choppy, alternating between days of huge gains and losses. As investors prepare for the future, it is important to understand whether these volatility surges and sharp movements are understood and captured by commonly used models. In this article, we will explore equity market performance in 2020 using the S&P 500 Total Return Index (SP500TR) and the relevant equity modeling implications

Description: 1993 SOA Annual Meeting in New York. This session is about an intercompany study on credit risk of private placement bonds and commercial mortgages. The development of the study, results for the 1986-1989 period, ongoing nature of the study, and company leverage were discussed.

Description: The purpose of this paper is to examine a special case of option pricing theory in which the insurance company promises the customer to exercise the option for him. This paper presents a simple formula for valuing the option. From the Actuarial Research Clearing House 1991, Vol.1.

Description: 1994 SOA Spring Meeting, Orlando. The first report on a study of bond investment results of life insurance companies with high-yield bond portfolios was presented at this session. The study, covering years 1986-92, was commissioned by the Society of Actuaries Ufe Insurance Practice Research Committee.