Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: Explains the more granular breakout of bond RBC factors proposed to the NAIC. Evaluates alternative asset allocation choices for insurers under the new rules.

Description: The article makes reference to how the intervention by government agencies and institutions into the financial marketplace are creating distortions. This artificial tampering into market mechanisms will likely result in major financial dislocations down the road as natural economic forces (coined by the term "invisible hand") eventually are allowed to come into play.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: While some people proclaim the imminent triumph of renewable energy, this article argues that fossil fuels will continue to be part of the energy mix.

Description: Describes joint meeting in February 2015 between Investment Section representatives and NY Society for Quantitative Analysts, on pension investing in an LDI framework.

Description: Recaps the evolution of VA products and hedging programs. Reflects on strategic considerations that contributed to relative performance in this market.

Description: Describes investment strategy targets used in the investment competition under way for investment section members in 2017.

Description: Provides an overview of special characteristics of private equity and infrastructure asset classes, based on the perspective of experienced investors

Description: Reviews basic desirable features in an economic scenario generator. Discusses basics of model structure and validation process