Description: Investment Fallacies: Gambler’s Fallacy: Probability of Reversion

Description: Investment Fallacies: The Fallacy of Independence

Description: Investment Fallacies: A real-world approach to Value at Risk

Description: From a session at the annual meeting of the Society of Actuaries held in Chicago, Illinois, October 15-18, 2000 Discussion of indexed guaranteed separate accounts, typically issued to defined-benefit pension plans. Contract terms, risks, marketing, financial reporting, reserves, and investment strategies are discussed. Risk-based capital and the National Association of Insurance Commissioners Model Regulation for Separate Accounts with Guarantees are also discussed. A hypothetical indexed separate account is analyzed for return on capital and economic risk.

Description: This is a presentation from 39th Actuarial Research Conference, 8/5-7/2004, University of Iowa in Iowa City, Iowa. The aim of this paper is to consider economic capital for a multi-line insurer and the fair allocation to lines of business. In addition, this paper also allows for a model with assets, liabilities and insolvency exchange option fairly priced, complete markets and no market frictions.

Description: Investment Fallacies: The Myth of Time Diversification

Description: Investment Fallacies: Future Equity Returns

Description: From the Record 1977 Vol. 3, No. 1, this presentation is from a concurrent session at the Society of Actuaries 1977 Regional Meeting, held in Atlanta March 31-April 1. In this session, the presenters discuss investment objectives, strategies and plans. The actuary’s role in investment planning is addressed, including how asset management relates to pricing and reserves, asset liability matching, liquidity, and management of risk exposure.

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: Securitization of mortality risks is an alternative risk management tool that may have some advantages over reinsurance. The purpose of this paper is to study mortality-based securities, such as swaps and mortality bonds, and to price the proposed mortality securities. We focus on group life annuity data, although the techniques could be applied to other lines of annuity or life insurance.