Description: Presented at June 1996 Spring Meeting. Provides overview of modern pricing of assets such as derivatives. It includes theory and practical applications, particularly how they relate to insurance companies.

Description: This paper presents a model that projects withdrawal and investment returns for a hypothetical retirement account. From Retirement Needs Framework, M-RS00-1.

Description: In a stochastic world consideration of only a few deterministic scenarios can potentially be dangerous. The aim of the present research is to study the computation of the cost of mismatch using stochastic interest rate models instead of scenario testing. In this paper, two commonly used Stochastic interest rate models are considered: the one introduced by Vasicek 1977 and the one proposed by Cox, Ingersoll and Ross 1985.

Description: Panelists discuss the process and challenges presented by mergers or acquisitions. From the Record of the Society of Actuaries, Vol. 24, No. 2.

Description: Article discusses possible effects of negative interest rates on product development, risk management, investment management and in-force management.

Description: The purpose of this discussion is to introduce a few additional points and discuss how different assumptions will alter the results in some cases.

Description: Presents a way to study C-1 risk 'default risk' for fixed-income assets in the context of asset/liability management. This approach utilizes cash flow projections and Monte Carlo sampling.

Description: Case Study is used to see how effectively an approach based on combining products can reduce C-3 'interest rate' risk.

Description: In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This presentation estimates several models of interest rates, including seven without and four with regime shifts.