Description: E-book contains 16 topical essays that express the opinions and thoughts of a number of authors on the subject of Investment Fallacies.

Description: Excerpts from Yee's presentation on the S-Curve reserve for Universal life. The S-Curve represents a distribution of amount of assets needed under 550 scenarios which, together with future premiums, will fund all future policy benefits and expenses. The reserve is a specific point on the Curve.

Description: Investment Fallacies: Extended periods of robust macroeconomic growth are healthy for investing.

Description: This paper reviews the Value At Risk concept, a financial risk management tool and discusses its application to insurance. Difficulties with this application are described and modifications suggested. An alternative tool, expressed as a risk adjustment to economic value, is suggested as an additional measure.

Description: This report reviews the academic literature on risk aggregation and diversification as well as the regulatory approaches. We will point out the advantages and disadvantages of the different approaches with a focus on model risk issues.

Description: Much of the push for ERM has come from regulators and rating agencies, but it is being applied in internal company decision-making as well. This paper reviews the progress made and the needs still outstanding in two key areas of application: optimal capital level for an insurer and risk-adjusted profitability of business units. The basic conclusion is that progress has been made in these areas, but more is needed. Building models is not emphasized—it will be assumed that a state-of-the art model is available. The emphasis is on using such models in decision-making.

Description: This study note focuses on actuarial applications and loss distributions for insurance products.

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: Investment Fallacies: The Best Model Doesn't Win

Description: Investment Fallacies: Mathematical modeling of social phenomena