Description: Summarizes the state of US government balance sheet and defends the view that inflation will not rise sharply in the next few years.

Description: Uses Blackrock's macroeconomic and style factors in asset allocation examples for an insurance portfolio and a pension portfolio.

Description: Discussion of significant anomalies in option pricing due to the independent identically distributed assumption of the Black Scholes formula.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: Provides a metric based on the concept of "entropy" from information theory/signal processing, for modifying a stochastic scenario set to meet pre-defined targets on average across the set. Explains the concept and develops it in simple examples. Illustrates why an optimal adjustment to the scenario set is one that maximizes entropy. Provides guidelines to limit use of the technique appropriately and avoid invalid application of the tool.

Description: Feature article describing the use of arithmetic means in the production of return results predictions.

Description: This articles describes the multi-pillar system of 1 pay as you go and 2 individual capital accounts to fund public pension plans which exists in Eastern Europe and Central Asia.

Description: The article summarizes a session on asset validation; the featured speakers were an investment manager, a company investment actuary, and a consultant.

Description: The winners of the Investment Section's 2016 Asset Allocation Contest are announced, along with a recap of the contest and market performance.

Description: A paper entitled “A Regime-Switching Model of Long-Term Stock Returns” appears in the April 2001 issue of the North American Actuarial Journal. In it, Dr. Mary Hardy describes a model for future equity returns and some reasons why that model might better reflect real equity price movements than the often-used lognormal model. The purpose of this article is to apply a two-regime model to variable annnuity GMDB pricing and compare the results to those from a lognormal model.