Description: What is the impact of aging populations on economic growth and interest rates?” “Are low interest rates and inflation a short-term phenomenon?” “How will returns from different asset classes be impacted by future demographic trends?” “What are the differences between different countries and regions around the world?”

Description: This article discusses unauthorized trading scandals — commonly referred to as “rogue trading”.

Description: Research projects in pension - Pension Risk Management: Derivatives, Fiduciary Duty and Process.

Description: This session at the SOA 2003 Washington, DC Spring Meeting examines the nuts and bolts of implementing a capital markets hedge program for offsetting the market risk embedded in variable annuity and equity-indexed annuity products..

Description: This paper explains the development of the credit derivative market, describes the most common types of credit derivatives, discusses how insurers can and do use these instruments and explains the role they played in the financial market turmoil of 2008.

Description: In this article the author asserts that issuers of credit default swaps should hold reserves for the liabilities associated with the derivative contracts. This would significantly reduce most of the major problems associated with the trading of these instruments.

Description: In 1993, the Chicago Board of Trade introduced a futures contract on a financial index that reflects the insurance claims emerging from catastrophes in a portfolio of policies. This article presents a valuation formula for the contract, under the assumption that catastrophes emerge as a Poisson process over time and that the claims from each catastrophe emerge as a Compound Poisson process. The formula is developed by taking conditional expectations with respect to a history of information that includes knowledge about the time of the catastrophes.

Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: We consider Libor market model and calibration process. We estimate some interest rate derivatives such as Caps and Swaptions. We use Monte Carlo methods with appropriate dynamics under spot measure and forward measure. Imposing martingale discretization property, the same quantities are estimated again to see a contrast or discrepancy in light of confidence interval. Based on algorithms discussed in the paper, “Arbitrage-free discretizations of lognormal forward Libor and swap rate models” by Glasserman, P and Zhao, X 2000, the algorithms are implemented in excel VBA. Starting with current market data such as FRAs and Bond Prices, we describe steps involved to estimate the price of interest rate derivatives such as Caps and Swaptions, which would be beneficial to the practitioners in the industry.

Description: This session from the 1984 SOA Atlanta Meeting is a teaching session of options and futures and discusses the basics of options and futures, hedging risks, the difference between hedging and arbitrage, taxation and representing policy features in terms of options.