Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: The Society of Actuaries’ Pension Section Research Committee commissioned this study to help actuaries develop forward thinking long-term estimates of future equity risk premiums. Equity risk premium is the amount by which the total return of a stock market index, such as the S&P 500, exceeds that of government bonds. Equity risk premiums, calculated from historical data, have been used to project long term values of equity portfolios in retirement plans. The validity of using historical data to project future equity returns will be examined along with other forward looking methods.

Description: Feature article discussing the PBGC’s asset reallocation plan.

Description: The article introduces a cashflow matching strategic asset allocation (SAA) framework for life insurers. Given the recent shift to higher interest rates after two decades of persistent low interest rates, insurers have an opportunity to enhance their asset liability management by rebalancing asset portfolios to narrow duration gaps and attain higher risk-adjusted yields. The framework aims to align investment objectives with economic, regulatory, and rating agency requirements. It prioritizes cashflow matching as the primary optimization goal and incorporates security-level asset information to assist portfolio managers in executing SAA seamlessly. The article highlights the benefits of the cashflow matching SAA framework, including greater attention to cashflow matching, unbiased results, readily executable strategies, and stable economic reserves. A case study is included to demonstrate the effectiveness of the framework in improving risk-adjusted return and cashflow matching for a representative liability block.

Description: This is a Fellowship Credit Research Paper. A portfolio of different insurance policies such as temporary, endowment and whole-life insurance policies is studied in a stochastic mortality and interest environment. The first two moments of the present value of the benefits of the portfolio are derived. The riskiness of the portfolio as measured by the variance of the present value of the benefits can be divided into an insurance risk and an investment risk in two different ways. One way leads to a more natural interpretation of the two risk components. A simple portfolio is used to illustrate the results.

Description: Reviews anecdotal evidence that the current shift to passive investing is an indication that investors are irrationally ignoring market risk.

Description: Investment opportunities are driven by events in the economy and how participants in the financial markets react to those events. This keynote address will highlight current economic themes and their impact on investment opportunities.

Description: A strategy is shown to yield greater amount and sustainability of retirement income by coordinating draws from retirement savings and home equity.

Description: This is the abstract of the paper Hedging of Insurance Contracts. ls the tinting of liabilities e.g. the IBNR case irrelevant to investment decisions in an insurance company? Even in the extreme case of independence between claim developments and movements in the financial markets, the assumption of constant insurers' absolute measure of risk aversion is necessary for a positive answer to the initial question.