Description: Provides an example of using numerical methods to estimate the credit risk spread curve from sparse historical data. Applies Baysian and Normal models. Uses Gibbs sampling and Rejection sampling methods for multivariate estimates. Critically evaluates these techniques.

Description: The authors outline the elements of new ALM paradigm for life insurers based on process governance, accountability, alignment and technology.

Description: Feature article describing how due to the recent financial crisis, fund trustees, plan sponsors, and administrators are reconsidering traditional asset-allocation strategies.

Description: In this article, we will analyze the recent value investing experience in the Canadian equity market, determine the main macroeconomic variables that drove the value cycle performance in that period, and draw some conclusions about the benefits of style rotation between value- and growth-oriented styles in the management of an investment portfolio.

Description: The article contemplates whether there is heightened sensitivity towards how investment activity is portrayed and described.

Description: By necessity, attributions of financial processes require approximations. Tools used for approximations include Aumann-Shapley, time step, step-through, average step-through, partial derivative, and average partial derivative. Significantly non-linear paths can cause problems during attribution. Time (theta) and market factors must be handled concurrently. Typically contractual factors can be handled separately. Average Step-Through, Aumann-Shapley and Aumann-Shapley-3 points perform the best given the same time period. Attribution should be done with fairly small time steps as opposed to using a lot of points in the Aumann-Shapley calculation, but using Aumann-Shapley-3 points as a last step has some advantages.

Description: Part one of a two-part article, to be contined in Feb 2014. Provides useful rules of thumb for breaking out investment return into components of periodic arithmetic return, geometric return, the volatility of returns and the correlation of returns by asset class. Develops and relates these axiomatic concepts into rules of thumb for estimating quantiles of a range of stochastic returns.

Description: Provides a lively overview and summary of key topics and speakers at 2013 Life & Annuity Symposium, held in Toronto in May. Provides a good feel for social events at the conference, including game transcriptions and pictures from Thomas C. Barham III Speed Chess Tournament.

Description: Your correspondents couldn’t have asked for better weather in Orlando during the 2014 SOA Annual Meeting held at the Rosen Shingle Creek facility from Oct. 27-29. Just imagine them—notepads in hand,with their faithful portable typewriters and SLR cameras slung over their shoulders, tip-toeing around the alligators basking in the warm Florida sunshine in their quest to bring you the latest news. Shades of Hemingway! Well, maybe it wasn’t quite like that—given the ubiquity of modern wireless devices and the advent of the responsible drinking ethic. But hopefully you will find their brief reports about various Investment Section sponsored sessions and events diverting nonetheless.