Description: Asset Adequacy Analysis for the Long-Term Care Product: A Case Study by Amy Pahl from Long-Term Care Newsletter, December 2004, Issue No. 13.

Description: Invest Fallacies: Active management overall performs different than passive management

Description: This paper suggests a possible flexible solution to the time and resource problems of running a large number of stochastic interest rate scenarios, by selecting a representative subset. Each interest rate scenario consists of 30 future spot yield curves, where a reasonable number of points are specified on each curve such as 12. The distribution of the scenarios is approximated by the subset and each scenario in the subset has equal weight. The method is independent of the interest rate generator used.

Description: Investment Fallacies: The "Dollar Bill" Fallacy

Description: Feature article discussing the implications and uses of market consistent embedded value in developing investment strategy.

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

Description: Investment Fallacies: Simulation of Long-Term Stock Returns: Fat-Tails and Mean Reversion

Description: Investment Fallacies: The Myth of Time Diversification

Description: Given a financial transaction we are often interested in the number of internal rates of return [yield rates] and their location. From an actuarial point of view, the fundamental question is to identify those transactions with a single yield rate, or a single rate in some interval such as the positive reals. In this paper we are concerned with this counting problem. We survey various results concerning this problem, and provide a unifying approach together with some new insights.