Description: This presentation outlines strategies for optimal return on bonds and presents the advantages of liability driven investing. From the Actuarial Research Clearing House ARCH 1990 Vol. 1.

Description: In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: Discussion about recent ALM and Benchmarking survey conducted by strategic consulting firm Patpatia & Associates.

Description: Using a case study, this session discussed the asset-liability matching process, uses of the process, and the strengths and weaknesses.

Description: Brief summary of how asset/liability management for life insurance companies has evolved over the last decade.

Description: How to set asset assumption, at the cycle or through the cycle and other considerations

Description: This paper reviews Redington's theory of immunization and sketches how it may be extended to the general case of stochastic flows by means of modern option-pricing theory. From the Actuarial Research Clearing House 1992 Vol. 1 .

Description: This paper discusses extending the general nonparallel shift approach to duration analysis developed previously and explores the immunization model within the multivariate context. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: The author describes immunization with a simple illustration requiring only high school algebra rather than the ordinary and stochastic calculus that has been applied to this subject. It illustrates that if you have three invesmtents with different durations, we can take some combination of any two of them to get the same duration as the third.

Description: Valuation Actuary Symposium This is a session on cash flow testing issues in small companies.