Description: The author previously wrote about extending the general nonparallel shlft approach to duration analysis. This paper explores the immunization properties of that model. In addition, applications to asset-liability management are explored. From Actuarial Research Clearing House 1990 VOL. 2.

Description: Regime switching models have become a popular tool in econometric time series modeling since their introduction in Hamilton [1989].These models have been widely applied for equity-returns for investment guarantees. A prominent risk management challenge is hedging these guarantees, given the equity regime switching process. This presentation develops some methodologies for regime-switching portfolio replication and use real world data to demonstrate and evaluate their effects. A Bayesian approach for regime switching model fitting is used, which allows for the examination of the robustness of each of the optimization methods when parameter uncertainty is present.

Description: Discusses the three complexity science sessions at the Annual Meeting that were sponsored by the Section.