Finance Research Reports

If you’re looking for research projects and reports on finance, you’ve come to the right place. The SOA offers research, authored by an individual or a team of authors, for download in just a few clicks.

2025

• Artificial Intelligence in Investment and Retirement
  July
  Explores AI's role, risks, and opportunities in investment and retirement planning.
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• Resources for ALM Practitioners
  May
  A guide and survey resource for ALM best practices and strategic insurer risk evaluation.
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• A Comprehensive Life-cycle Fund Design for the U.S. Pension System
  January
  This report designs a comprehensive life-cycle fund model, including a detailed sensitivity analysis, to optimize portfolio allocation for U.S. retirement plans.

2024

• The Impact of Artificial Intelligence/Large Language Models on Investment Actuaries and Other Investment Professionals - Essay Collection
  March
  The Society of Actuaries Research Institute’s Committee on Finance Research is pleased to release two essays addressing the impact of Artificial Intelligence/Large Language Models on investment professionals..

2023

• Demographics and Productivity: Drivers of Economic Growth
  November
  The Society of Actuaries’ Committee on Finance Research and Investment Section are pleased to make available a research report which explores gross domestic product (GDP) as a metric of economic growth.
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• Market Volatility Risk in an Era of Extreme Events
• June
• The Society of Actuaries’ Investment Section and Committee on Finance Research and Investment Section is pleased to make available a research report using a comprehensive attribution analysis to identify meaningful relationships between market volatility and potential causes.
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• The Impact of Disaster Events on Investments - Contagion Channels Perspective
  April
  The Society of Actuaries’ Committee on Finance Research is pleased to make available a research report covering the extent to which investment sectors have been contagiously affected by major disasters.
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• What Can Insurers and Pension Funds Learn from Bank Failures – Expert Panel Discussion
• April
• Over a short span of two weeks, the financial system has observed the collapse of two mid-sized U.S. commercial banks, California-based Silicon Valley Bank (“SVB”) and New York-based Signature Bank, and a takeover of troubled Credit Suisse by a rival in Europe. The current turmoil in the financial system is a stark reminder of the importance of effective risk management and regulation.
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• Practitioner Considerations for Guideline Excess Spread Attribution Methodology under Actuarial Guideline LIII (AG53)
  January
  The SOA Research Institute’s Committee on Finance Research is pleased to make available a paper that specifies general considerations to guide the development of a methodology to attribute spread to different investment risks related to AG53.

2021

• Pension Risk Transfer: Evaluating Impact and Barriers for De-Risking Strategies - Update
  June
  The Society of Actuaries Aging & Retirement Strategic Research Program is pleased to make available an update to a 2014 paper related to changes in the continually evolving pension risk transfer landscape. This updated report seeks to discuss pension risk transfer in depth and identify key de-risking actions, alternatives and triggers that impact pension risk transfer strategies.
  
  

 

• Deep Learning for Liability-Driven Investment
  June
  The Society of Actuaries’ Committee on Finance Research is pleased to make available a research report that develops a framework for applying deep learning and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven Investment (LDI).

 

• Managing Investment Risks of Insurance Contractual Designs
  The Society of Actuaries’ Committee on Finance Research and Joint Risk Management Section Research Committee are pleased to make available a research report developing a framework for quantifying and analyzing various forms of contractual designs.

2020

• COVID-19 Investment Section Member Survey Summary Report
  September
  As part of its ongoing effort to provide useful information on COVID-19, the Society of Actuaries issued a brief survey to its Investment Section members to gain insight as to how COVID-19 is impacting investment professionals. The survey results are intended to help members compare their thinking and future expectations of COVID-19 with their peers.
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• Real Time Delphi Study of Four Economic Variables
  June
  The Society of Actuaries Predictive Analytics and Futurism Section, the Financial Reporting Section, the Investment Section and the Canadian Institute of Actuaries are pleased to release a new and improved version of the 2005 Society of Actuaries (SOA) Delphi study of four economic variables. Performed by Theodore J. Gordon, the research acquaints actuaries with the application of futures methods that could supplement traditional actuarial forecasting practices.

2019

• Population Aging, Implications for Asset Values, and Impact for Pension Plans: An International Study
  November
  The Society of Actuaries is pleased to make available material for a multi-phased research effort investigating Population Aging and its impact on pension plans.

 

• A Low-Growth World: Implications for the Insurance Industry and Pension Plans
  June
  The Society of Actuaries is pleased to make available a research report that introduces actuaries and risk managers in the insurance and pension industries to current literature discussing growth rates in the past and future expectations.

 

• Investment Year Method: Aligning Renewal Credited Rates with Investment Strategy
  May
  The Society of Actuaries Committee on Finance Research is pleased to make available a research report that explores investment year methodology to set renewal credited rates.

 

• Liability-Driven Investment – Benchmark Model
  April
  The Society of Actuaries’ Retirement Section Research Committee and Committee on Finance Research are pleased to make available research material that developed a Liability-Driven Investment (LDI) benchmark framework.

 

• Actuarial Utility and Preference Functions 
  April 
  The Society of Actuaries is pleased to make available a research report that introduces the concept of a preference function, which is a generalization of the utility function.

 

• Yield Curve Extrapolation Methods: Methodologies for Valuing Liability Cash Flow that Extend Beyond the Maximum 
  March 
  The Society of Actuaries Committee on Finance Research is pleased to make available a research report that summarizes methodologies used for yield curve extrapolation to value liability cash flows that extend beyond the maximum observable portion of the yield curve.

 

• The Potential Effect of Brexit on the U.S. Insurance Industry: Analyzing the U.K.’s Exit from the European Union
  February
  The Society of Actuaries Committee on Finance Research is pleased to make available a research report that models the impact on the U.S. insurance market resulting from a post-Brexit economy in the UK.

2018

• Reinvestment Strategies for Life Insurance Products in a Changing Economic Environment
  September
  The Society of Actuaries Committee on Finance Research is pleased to make available a research report that addresses how to model different reinvestment strategies to determine those that maximize results in different economic conditions.

 

• Letting Insurance Asset Data Speak for Itself – Asset Allocations of Life Insurers in Asia
  March
  The Society of Actuaries Committee on Finance Research is pleased to make available a research report that describes trends in asset allocation of major life insurers across eight Asian markets (China, Hong Kong, Indonesia, Malaysia, Singapore, South Korea, Taiwan, and Thailand).

 

• Managing Climate and Carbon Risk in Investment Portfolios
  February 2018
  This report focuses on analyzing and managing climate change and carbon risk in the equity investment portfolios of insurance company and pension fund assets.

 

• Actuarial Review of Insurer Insolvencies, Future Preventions
  January
  Sponsored by the Canadian Institute of Actuaries (CIA), Casualty Actuarial Society (CAS), and Society of Actuaries (SOA), this study looks at causes of insolvency and decisions made by management, regulators, and policyholders over the life cycle of the insolvency. This study is intended to educate insurance professionals on historical insurer impairments and insolvencies and possible future prevention indicators.

2017

• The Financial Impact of Student Debt on Working and Retired Americans
  August
  The Society of Actuaries’ Pension Section is pleased to make available a research report addressing the potential consequences of accumulating education debt for retirement security.

 

• Hidden Markov Model for Portfolio Management with Mortgage-Backed Securities Exchange-Traded Fund
  April
  This report provides a primer on the mechanics and uses of the Hidden Markov Model (HMM) for actuarial and financial applications and also includes development of a new application for the HMM to mortgage-backed securities exchange-traded funds.

2016

• Economic Capital for Life Insurance Companies
  November

 

• Economic Scenario Generators – A Practical Guide
  July

 

• Investigating the Link between Population Aging and Deflation
  February

2015

• Life Insurance Regulatory Structures and Strategy: EU Compared to US
  September

 

• Predictive Modeling:  A Modeler’s Introspection – A Paper Describing How to Model and How to Think Like a Modeler
  June

 

• Future Equity Patterns and Baby Boomer Retirements
  January

 

• Lapse Modeling for the Post-Level Period – A Practical Application of Predictive Modeling
  January

2014

• Pension Risk Transfer – Evaluating Impact and Barriers for De-Risking Strategies
  December

 

• Cash-Flow Risk Management in the Insurance Industry: A Dynamic Factor Modeling Approach
  November

2013

• Interest Rate Swaps – An Exposure Analysis
  July

• Comparative Failure Experience in the U.S. and Canadian Life Insurance and Banking Industries from 1980 to 2010
  March

• Value Investing and Enterprise Risk Management: Two Sides of the Same Coin
  January

 

2012

• A Survey of Actuarial Modeling Controls in the Context of a Model-Based Valuation Framework
  December

 

• Credit Risk Modeling Techniques For Life Insurers
  September

 

• Survey on Market Risk
  August

 

• Optimal Distribution Rules for Defined Contribution Plans: What Can the United States and Australia Learn from Other Countries?
  May

 

• Will Retirement of Canadian Baby Boomers Deflate Asset Values?
  May

 

• The Effect of Deflation or High Inflation on the Insurance Industry
  February

 

• U.S. Insurance Company Investment Strategies in an Economic Downturn
  January

2010

• Collateralized Debt Obligations: Reducing Loss or Market Risk via Mortgage Assistance
  March

2009

• The Financial Crisis and Lessons for Insurers
  September

2007

• Interest Rate Hedging on Traditional Life and Health
  September

 

• Survey on Pension Risk Management and Impact of Funding Gap
  March

 

• Results of the Survey on Variable Annuity Hedging Programs for Life Insurance Companies
  January

 

2005

• Delphi Study of Economic Variables Report
  November

 

• The Impact of Investment Advice Regulations on Personal Actuaries
  June

 

• Retirement Planning Software Report
  January

 

• Cash Flow Testing Software Survey
  January

2004

• Modeling of Economic Series Coordinated with Interest Rate Scenarios
  December

 

• Dynamic Financial Models of Life Insurers
  January

 

• IntraCompany Capital Allocation Papers
  January

 

• Life Insurance Companies Investing in High–Yield Bonds
  January

 

• Marketing Research: Actuaries Serving Individuals
  January

 

• Risk Position Reporting
  January

 

• The Viatical and Life Settlement Industry: New Perspectives for Actuaries
  January