Description: In this paper, we illustrate how to value American-style options using the Least-Squares Monte Carlo LSM approach proposed by Longstaff and Schwartz 2001 and investigate whether there exists an optimal regression complexity in the LSM framework for options pricing. In particular, we use the smoothing spline in the regression step, which allows us to control the regression complexity on a continuous scale with just one tuning parameter. Numerical results on American put options indicate that we need to use more than a linear regression, but as the regression becomes more complex, the accuracy of the LSM method quickly deteriorates. From 39th Actuarial Research Conference.

Description: How assumptions like market returns and variable like saving rate should be incorporated into sound financial planning. How to analyze retirement readiness.

Description: Public DB plans have fatal designs such as basing benefits on a few years of earnings. Redesigning DB to be similar to SS will alleviate solvency challenges.

Description: Presented at May 2005 Spring Meeting. This session examines financial, economic and traditional actuarial methodological approaches used for solving investment-risk problems.

Description: In this paper, the authors take an axiomatic approach to characterize insurance prices in a competitive market setting. Four axioms are presented to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability.

Description: Great damage is being done to the U.S. economy as a result of the widespread misunderstanding that the Consumer Price Index measures changes in the cost of living.

Description: This essay explores the role that the emerging defined contribution retirement system may be playing in the growth of wealth inequality in the United States. The current system leaves many Americans with little or no retirement savings. Those with higher accumulation levels appear to invest proportionally more in equities, which may have an exponential effect of balances over long time periods. The author hypothesizes that willingness to take investment risk involves the relationship between the amount an investor has accumulated and what she/he needs in order to cover basic costs of living. This is one reason that investors with greater accumulation levels may be able to earn higher rates of return. The essay concludes by suggesting that the U.S. defined contribution system should include all workers and provide additional fiduciary guidance. Examples reforms, both in the U.S. and other countries, are provided.

Description: Some are arguing to require actuaries to fund public plans like an insurance company. It is not the place of the actuary to make this call.

Description: Discusses the effects of inflation and the impact on business. This article sites several challenges that business will encounter during times of inflation.

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.