Description: Many insurers preparing market consistent financial statements encounter the issue of developing volatility assumptions for equity options and guarantees that are longer than any observable market data. This presentation develops a generalization of the classical Black Scholes option pricing model that is consistent with the European CRO Forum's framework for valuing non-hedgeable risk. The presentation argues that, with reasonable parameter choices, the model fits observed volatility surfaces well enough that it can be used to estimate implied volatilities where no market data exists.

Description: This paper proposes a combinatoric approach to express higher moments of the quadratic variation process in terms of higher order variations of the original process and autocorrelations of the original process.

Description: The ideal business situations for securitization would be those where a company faces significant risks or has significant growth opportunities and where conventional sources of risk hedging or financing are not available or are too expensive. Ultimately, securitization should be able to provide hedging and/or financing that is more effective and less expensive than the alternatives.

Description: This article discusses the pending book entitled 'Dynamic Risk Modeling Handbook.' The proposed scope and outline of the book is reviewed. This is a revision of the 'DFA Handbook' which was published in 1995.

Description: This article discusses how insurers that focus on their core competencies and astutely outsource other functions will become more competitive and improve their performance.

Description: The COVID-19 pandemic infection has greatly affected the economy, resulting in volatile market conditions. Because market conditions greatly impact the value of insurance company’s assets and liabilities, the fourth survey in this series focused on best practices around asset and liability management (ALM). The survey was directed at actuaries, investment managers and risk managers directly involved in assessing the impact of recent events on ALM. Responses to the survey were collected between April 22-28, 2020. Thirty-two companies responded to the survey.

Description: ALM #2 Survey Questions

Description: The Society of Actuaries’ Committee on Finance Research is pleased to make available a research report that develops a framework for applying deep learning and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven Investment (LDI).

Description: Case Study for Fall 2009 Exam AFE.

Description: This paper presents a formula for calculating the expected rate of return on shareholders' equity when an insurance company raises capital by issuing subordinated indebtedness. The ROE formula is also applicable to the case of raising capital by issuing nonconvertible preferred shares. From Actuarial Research Clearing House 1991, VOL. 2 .