Description: A primer on extreme event modeling and mitigation for practitioners, it covers the complete cycle of extreme event risk management, from identifying experience data sources, to extreme event detection, to modeling and dependence analysis, and finally to monitoring and mitigation.

Description: Research material that developed a Liability-Driven Investment (LDI) benchmark framework.

Description: The Society of Actuaries Aging & Retirement Strategic Research Program and Retirement Section are pleased to make available a report that introduces predictive analytics to pension actuaries.

Description: This article summarizes key points from the recently published research paper “Deep Learning for Liability-Driven Investment,” which applies reinforcement learning and deep learning techniques to liability-driven investment (LDI).

Description: The Society of Actuaries’ Committee on Finance Research is pleased to make available a research report that develops a framework for applying deep learning and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven Investment (LDI).

Description: A discussion about how many models can address the over fitting issues caused by too many variables by regularization, variable selection is still meaningful.

Description: With the credit interest rate floor of a cash balance plan—a simple type of option identified by the Project Oversight Group—as a model, this research uses three valuation and risk analysis approaches to explore the existing techniques to value embedded options on an economic basis.

Description: A brief introduction to a new SOA research on liability-driven investment benchmark model.

Description: This Effective Enterprise Risk Management (ERM) Stakeholder Engagement report examines practices for gaining acceptance of a proposed ERM strategy. The researcher has identified the factors, processes and practices that lead to both poor and strong levels of stakeholder acceptance.

Description: Description * This paper proposes a new type of financial derivative named contingent liquidity swap (CLS) to address the liquidity issue. CLS is a swap agreement that the buyer of the swap pays cash in exchange for less-liquid assets in the event of a liquidity event. Those less-liquid assets may include stocks or high-yield bonds. The seller of the CLS makes a series of payments for the contingent liquidity. The payment should be lower than the equity risk premium to reduce the cost of funding but high enough to attract investors.