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

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

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.

Description: This article provides a retrospective on investment risk management while highlighting actuarial tools used by portfolio risk managers.

Description: This session covers the differences between quantitative models and traditional techniques for measuring credit exposure pricing models versus portfolio risk management models and an introduction to some commercially available models, such as J. P. Morgan’s Credit Metrics and Moody’s/KMV Portfolio Manager. From the Record of the Society of Actuaries, Volume 29, No. 1, Washington, D.C. Spring Meeting, May 29–30, 2003, Session 19PD.

Description: Traditional mean-variance method does not take skewness of the random rate of return into consideration. It only considers minimum variance for a given acceptable rate of return, which limited the probability of obtaining higher rate of return. If the skewness of return for the portfolio is incorporated into model of traditional approach, then the resulting non-linear programing model is not computational efficient, which certainly is complicated. On the other hand, possibilistic programming provides more efficient techniques to solve the imprecision nature of rate of return and also preserves the original linear model.

Description: This report reviews the academic literature on risk aggregation and diversification as well as the regulatory approaches. We will point out the advantages and disadvantages of the different approaches with a focus on model risk issues.

Description: This session will provide an overview of recent developments from the perspective of an insurance company and an auditor.

Description: What is the impact of aging populations on economic growth and interest rates?” “Are low interest rates and inflation a short-term phenomenon?” “How will returns from different asset classes be impacted by future demographic trends?” “What are the differences between different countries and regions around the world?”

Description: This paper explores Indian futures and options market as a market for hedging by equity holders. The authors have tried to examine optimal hedge ratio and hedge efficiency, and to provide empirical evidence from India.