Description: This paper examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities. Therefore the pricing of catastrophe risk bonds requires an incomplete markets setting and this creates special difficulties in the pricing methodology. The paper briefly discusses the theory of equilibrium pricing and its relationship to the standard arbitrage-free valuation framework. Equilibrium pricing theory is used to develop a pricing method based on a model of the term structure of interest rates and a probability structure for the catastrophe risk. This pricing methodology can be used to assess the default spread on catastrophe risk bonds relative to traditional defaultable securities.

Description: This 2001 article discusses the requirement to assess hedge effectiveness in the Financial Accounting Standards Board’s new statement on derivatives accounting, FAS 133, Accounting for Derivative Instruments and Hedging Activities, as critical for qualifying for “special” hedge accounting. The article provides analysis of different approaches and the potential difficulties encountered. This article is reprinted with permission from Derivatives Week.

Description: This article explains the 2009 changes to the Global Credit Default Swap contract and North American conventions. It is reprinted with permission from The Markit Magazine.

Description: The Investment Symposium is a day-and-a-half long seminar that will focus on the issues and questions faced by investors and risk managers, especially related to insurance companies and retirement plans. Presenters will discuss the big picture issues and explore practical solutions to today’s challenges. Experts will share new approaches to portfolio management and cutting edge research in asset-liability management. Technology, regulation and the economic environment will

Description: Article, Swaps and the Swaps Yield Curve by Joseph G. Haubrich, reprinted with permission. From Risks and Rewards, February 2004, Issue No. 44. This article was originally published in Economic Commentary in December 2001. Reprinted with permission.

Description: Describes the construction of the CBOE's VIX index. Shows mathematically how the variance of investment returns is reflected in the price of the index. Provides a rational explanation of technical factors that lead the index to perform inconsistently with market sentiment. Highly relevant for any hedger seeking to use the VIX index.

Description: Competition for space in distribution channels has resulted in a proliferation of exotic options embedded in variable annuity products. This article discusses how this has created a need which can be addressed, in part, by hedging variable annuity guarantees with long-dated equity derivatives.

Description: 1994 SOA Spring Meeting, Orlando. In this session the speaker provided an overview of derivatives including: 1. Definition. 2. Uses. 3. Types of risks - market, credit, legal, and systems. 4. Risk management. 5. US regulatory guidelines and developments.

Description: In this session from the 2005 SOA New Orleans Meeting, panelists discuss the ever-growing range of credit-derivative instruments that are becoming available including credit default swaps - CDSs, replicated synthetic asset transaction - RSAT and synthetic collateral debt obligations - CDOs. From the Record of the Society of Actuaries, Volume 31, No. 1.

Description: This is the abstract of the paper 'A Stochastic Definition of Future Shares'. The traditional definition of actuarial future values and stochastic definition of Ramsay are discussed. A modification of Ramsay's definition is proposed and an application to life insurance reserves is presented.