Description: A framework to measure and evaluate the risk-adjusted investment performance given the characteristics of the insurance liability.

Description: Institutional investors seeking to hedge have no shortage of choices, and need the right framework to manage the different risks in portfolios as they arise. This article analyzes performance of different equity hedging strategies over the last 15 years, and lays out a potential hedging framework that takes into account types of risks being hedged, fundamental views, and current market pricing of protection.

Description: Feature article discussing the insurance industry in Australia.

Description: The Academy's Life Financial Reporting Committee announces the soon to be released practice note on EV. The Practice Note focuses on traditional and European Embedded Values, while leaving the thornier issues relating to Market Consistent Embedded Values for a future Note.

Description: This article discusses the possibility of high inflation down the road. The high levels of debt incurred due to the COVID-19 pandemic will be difficult for many countries to support. Central bank activity is "standing in the gap" but this is not necessarily the optimal solution. Inflation can also become an issue due to contagion coming from less financially stable countries, resulting a crisis of confidence, driving up interest rates.

Description: Overview of Investment Section activity and vision ahead.

Description: The CAS is pleased to present its Research Paper, “Users’ Guide to Economic Scenario Generation in Property-Casualty Insurance”. Although there are cases in the literature about the use of economic scenario generators (ESGs) in the property casualty industry, they are far more commonly used for life insurance companies. Our hope is that this paper will serve as a comprehensive guide to the implementation of ESGs in the non-life space and spark interest in research into new applications of ESGs.

Description: The values of life insurance and annuity liabilities move in opposite directions in response to a change in the underlying mortality. Natural hedging utilizes this to stabilize aggregate liability cash flows. Our study shows empirical evidence that insurers who utilize natural hedging also charge lower premiums than otherwise similar insurers. This indicates that insurers who are able to utilize natural hedging have a competitive advantage. In addition, we show how a mortality swap might be used to provide the benefits of natural hedging to a firm that writes only one of the lines of business.

Description: Presented at August 2011 Actuarial Research Conference. Provides examples of how to model extremes in weather utilizing Monte Carlo simulations and discusses how to create a derivative financial instrument that pays-off if target extreme weather conditions are met.

Description: This abstract describes a paper that develops by line of business forecasts of the relativity to the Property/Casualty industry Loss Ratio.