Description: 1993 SOA Annual Meeting in New York. This session is about an intercompany study on credit risk of private placement bonds and commercial mortgages. The development of the study, results for the 1986-1989 period, ongoing nature of the study, and company leverage were discussed.

Description: This teaching session will examine option-pricing techniques, binomial models, lattice, the hedge portfolio and considerations and reasons for discounting at the short-term rate. It will also include biased probabilities, option-adjusted duration and convexity option-adjusted spread. From the Record of the Society of Actuaries, Vol. 21, No. 1.

Description: In this paper, the relationship of convexity to the assumption of parallel shifts is explored, and new convexity measures are developed to reflect nonparallel shifts. These new measures can differ dramatically from the traditional values, providing insight into when convexity does not have to be good and when it does.

Description: Financial Accounting Standard Number 91 deals with the calculation of investment income and amortized cost for mortgage backed securities, as well as whole mortgages and callable bonds. The method described in this paper uses a Taylor series to eliminate the storage of all past cash flows, while still providing an accurate FAS 91 adjustment. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This paper describes a streamlined procedure for allocating investment income which permits the application of a single current investment-year interest rate, together with an averaged rollover rate, to an adjusted asset base to give essentially the same results as the traditional investment-year method. It also includes a discussion of the paper. From Transactions of Society of Actuaries 1976, Vol. 28.

Description: The principal purpose of this paper is to examine some of the factors that must be considered if the concept of investment generations is applied to the distribution of investment income within individual life insurance lines of business. It also includes a discussion of the paper. From Transactions of Society of Actuaries 1977, Vol. 29.

Description: This guide lists literature sources that an actuary can use to gain knowledge on investments and asset/liability management. It can be viewed as a preliminary road map for the actuary seeking direction to enhance his or her knowledge in these areas. The emphasis of this guide is on fixed-income securities.

Description: This article discusses equity risk premium, what it is, how it should be measured, if a constant risk premium provides the best model and what are reasonable expectations for the future.

Description: During March 2020, COVID-19 concerns escalated in the U.S. and lockdown measures were announced. Market returns in March 2020 were quite extreme and choppy, alternating between days of huge gains and losses. As investors prepare for the future, it is important to understand whether these volatility surges and sharp movements are understood and captured by commonly used models. In this article, we will explore equity market performance in 2020 using the S&P 500 Total Return Index (SP500TR) and the relevant equity modeling implications

Description: This is an abstract of the paper about asset default risk entitled 'Do Junk Bonds Die in Vain? Some Do, Some Don't.' From ACTUARIAL RESEARCH CLEARING HOUSE, 1994 VOL. 1.