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: When Is It Right To Use Arbitrage-Free Scenarios? by Stephen Britt from Risks and Rewards Newsletter, September 2000, Issue No. 35.

Description: Comments on how US insurers have compensated for low interest rates by investing in a range of less liquid and lower quality assets.

Description: Read the September 2020 issue of Risks & Rewards published by the Investment Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

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.

Description: “What is the likelihood of market crashes? This article seeks to provide an answer to this and related questions by focusing mainly on the crash of October 1987. Specifically, we shall seek answers to three questions: 1. Given the history of market returns, was the crash of ‘87 unusual? 2. How do conditional variance models such as GARCH behave around periods of extreme moves in the market? 3. What is the impact of the crash on backtesting and performance evaluation?” Editor’s Note: The following article originally appeared in the Winter 1998 issue of The BARRA Newsletter, Horizon, and is reprinted here with permission.

Description: Proposes alternatives for estimating the long term interest returns in Indexed Universal Life products. Defends expected return of 20%-45% on hedge budgets.

Description: This article discusses asset-liability management from two different paradigms, one a simulation of the firm as an external observer e.g. shareholder would view it, and the other a “still life” at a given moment from an internal viewpoint.

Description: As stochastic modeling has evolved, it has divided down two paths—real-world and risk-neutral. This article discusses this division and shows how these paths may be re-united through the use of deflators.