Description: We apply decision theory to develop a credibility formula that minimizes a loss function that is a linear combination of a squared-error term and a second-derivative term. The squared-error term measures the accuracy of the estimator, while the second-derivative term constrains the estimator to be close to linear.

Description: Presents a way to study C-1 risk 'default risk' for fixed-income assets in the context of asset/liability management. This approach utilizes cash flow projections and Monte Carlo sampling.

Description: Case Study is used to see how effectively an approach based on combining products can reduce C-3 'interest rate' risk.

Description: Investment Fallacies: The Fallacy of Independence

Description: Investment Fallacies: A real-world approach to Value at Risk

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: This paper discusses the actuarial risk measures and uses a variety of estimation techniques such as nonparametric approach, parametric methods and robust procedures. From 39th Actuarial Research Conference, Iowa City, Iowa, August 5-7, 2004.

Description: This paper presents a straightforward method of building a consistent framework for C-1 risk reserve calculation. Sample levels of required surplus are derived for fixed income and equity investments. From Transactions of Society of Actuaries 1986, Vol. 38.

Description: Analysis of consequences of investment risk taking by public pension plans.

Description: This survey of emerging risks attempts to track the risk manager population‘s thoughts about emerging risks across time. The top 4 emerging risks from this third iteration of the survey are: 1. US current account deficit/fall in US dollar. 2. Blow up in asset prices/excessive indebtedness. 3. Oil price shock/energy supply interruptions. 4. Chinese economic hard landing.