Description: This teaching session covers primarily hedging strategies, including mechanisms, assumptions, and simulation. Hedging used for guaranteed living benefits on variable annuities is frequently discussed. Session 7TS of the 2005 Valuation Actuary Symposium.

Description: Diverse Risks 2016 Call for Essays

Description: From the 1985 Valuation Actuary Symposium Discussion of techniques for determining capital requirements needed to support an insurance business, based on the nature of the assets and liabilities on the books and related investment strategies, using ALM modeling

Description: Risk management and capital budgeting are two critical components of the corporate decision process. They often need to be considered jointly at the corporate level because of their natural interaction through the dependent risk exposures and other synergetic relationships within an intricate corporate structure in a dynamic business environment. . This paper develops an integrated framework that aligns these two important corporate strategies across business divisions to optimize the streamlined enterprise strategic goal in a multi-period setting. The proposed integrated framework can serve as a practical guideline for corporate executives to optimally coordinate capital budgeting and risk management at the enterprise level.

Description: A discussion on how, as some have worried, we are entering uncharted territory for countries such as the United States and the Eurozone, as large amounts of money are being expended to stave off major global financial crises.

Description: Presented at August 2011 Actuarial Research Conference. Summarizes the Heston model, discusses hedging equity indexed annuities, and provides numerical results of the Black-Scholes and Heston hedging strategies.

Description: Feature article about: one of the significant contributions of modern academic finance has been to introduce the concept of stochastic investment forecasting