Description: This paper uses the property-liability insurance companies as a research sample to investigate the relation between the enhancement of cost efficiency and the usage of reinsurance and financial derivatives as risk management tools. The stochastic frontier approach is applied to consider not only the mean of cost efficiency, but also its variance. The sample includes both organizational forms, namely, stock and mutual insurers.

Description: The models that seek to determine fair value for stocks use corporate earnings and a capitalization rate such as a price/earning ratio to arrive at fair value. Nearly all such models use interest rates to set the capitalization rate. Current interest rates are assumed to be fair, as if there were no emotions in the bond market. Interest rates themselves are never viewed as too high or too low. For the past 10 years [1984-1993] stocks have been viewed as too high, in relation to interest rates. In reality, interest rates have been too high.

Description: Panelists discuss: [1] how they determine appropriate issuer and concentration limits in a below-investment-grade portfolio, [2] the best techniques for monitoring and managing exposures as they improve or deteriorate, and [3] opportunities for managing credit risk through synthetic structures and derivatives. From the 2002 Record of Society of Actuaries, Volume 28, No. 3. Session 55PD of the Boston Annual Meeting.

Description: ICP 16 and its requirement for an Own Risk and Solvency Assessment (ORSA) will offer opportunities for the actuarial profession to provide uniquely well-educated and professional assistance to this process.

Description: Proposes a benchmark consisting of TIPs and deferred income annuities for retirement asset allocation decisions.

Description: Applications of Lagrangian distributions to modelling claim frequency data in an insurance portfolio is a relatively new concept. The major difficulty is that the generating functions of these distributions cannot be expressed in terms of elementary functions. Also deriving moments and/or cumulants is somewhat tedious. This article illustrates how to use Maple effectively to overcome these difficulties.

Description: This article deals with enterprise risk management and how the techniques contained within the discipline can help prevent unforeseen large mistakes in strategy, product design, and product management

Description: The article discusses the characteristics of the high-yielding bank loan asset class.

Description: Recently, there has been growing interest among insurance and investment experts to focus on the use of a tail conditional expectation as a measure of risk, since it shares properties that are considered desirable and applicable in a variety of situations. This paper examines above risk measure in the case of a multivariate gamma portfolio. We demonstrate the explicit formulas for tail conditional expectation and based on it capital allocation when the proposed multivariate model consists of dependent and independent gamma marginals

Description: Contains two separate articles, called notes. The first note, “A note on correlation in mean variance portfolio theory,” is an elementary discussion of how negative correlation coefficients can be, given any set of N random variables. The second note, “Two essential formulas in actuarial science and financial mathematics,” gives a more or less self-contained introduction to Jensen’s inequality and to another formula, which the author decided to call the “survival function expectation formula.”