Description: A presentation on the principle of equivalent utility from the 2001 ARCH. Contains both the static and dynamic model as well as examples with exponential utility.

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 presents a proof on the subject of uniqueness of interest rates in a borrowing/lending model for possible student use in undergraduate classes in the theory of interest. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This report looks at closed form models or 'exact solutions' in which calculus produces 'simple' formulae. The conclusion is that for Gaussian interest rate models we can solve the problem of an American option provided the option holder behaviour can be described by a force of option exercise which is linear or quadratic in the state variables.