Description: A study of the effect of random interest rates on life insurance programs and on annuities both certain and non-certain. This is done under several assumptions on the stochastic structure of the interest rates.

Description: This paper investigates how the concepts of asset-liability matching can be used to shape investment strategy. From Transactions of Society of Actuaries 1980, Vol. 32.

Description: The theme of this presentation relates to solving portfolio selection problems using linear and fractional programming. Two key contributions: 1. Generalization of the CVaR linear optimization framework. 2. Equivalences among four formulations of Coherent Distortion Risk Mearures optimization problems. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: Prepared for the Society of Actuaries by STATLAB at the University of Western Ontario, this report contains the results of a cash flow testing, ‘CFT,’ software survey performed in 2004. The results were based on the responses of 110 life insurance companies in the U.S. and Canada. The goal of the survey was to produce a report that will serve as a reference for comparing the available CFT packages and lead to better software and modeling techniques. CFT refers to analysis which is used to support both the Asset Adequacy Analysis for the Actuarial Opinion for U.S. companies, and the ALM Provision for Adverse Deviations in applying the Canadian Asset Liability Method to determine reserves for Canadian companies.

Description: This paper presents best upper and lower bounds on the expected value of a reinsurance payment under the terms of a contract written on a random loss with known moments. Bounds on the expected exercise value of a financial option are considered also because the mathematical model used for valuing options is similar to that used in reinsurance net premium calculations. From the Actuarial Research Clearing House ARCH 1990 Vol. 1.

Description: This presentation discussed the Copula Methodology, which is the most popular methodology in multivariate modeling in finance and insurance. The definition, advantages, limitations, and uses of the Copula Methodology were presented. Some other multivariate models were discussed as well. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: This paper introduces the Bond Manager's Method for ALM which allows the impact of a change in interest rate levels on the present value of a stream of cash flows to be directly determined from the coupon rates and prices on benchmark bonds without the intermediate step of determining spot rates. From Actuarial Research Clearing House 1993, VOL. 3.

Description: In this paper a C-1 bond risk analysis is used as an example in a presentation of a generalized approach to solvency risk quantification. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This paper investigates the implications of using the Basel II motivated Advanced Measurement Approaches as a method to assess operational risk capital charges for banks and insurance companies with regard to U.S. regulations. The AMA developed in the paper uses actuarial loss models complemented by the extreme value theory to determine the empirical probability distribution function of the aggregated capital charges in the context of various classes of copulas. From Actuarial Research Clearing House, 2006.

Description: Constant maturity credit default swaps [CMCDS] are useful as hedging tools. In intensity model approach, the default time is defined as the first arrival time of the Poisson process. From the market quotes of CDS forward rates and bonds, we are able to numerically compute the default probabilities. Approximating CMCDS price depends largely on CDS forward rates’ volatilities and their correlations. This paper implements the price algorithm based on Brigo’s work [2006]. Starting with current market data such as CDS forward rates and nondefaultable bond prices, the paper describes steps involved to obtain the price CMCDS. The paper demonstrates the impact of convexity on the CMCDS price structure.