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

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.

Description: The Long and Short (Runs) of Investing in Equities by Peter Yoo from Risks and Rewards Newsletter, March 1999, Issue No. 32.

Description: This paper discusses the martingale approach for pricing American-type options without an expiry date. These options include the perpetual American put option and the perpetual maximum option in one stock case. The word “perpetual” means that the option has no expiry date. A main tool in this approach is the principle of smooth pasting.

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: Many risk management decisions involve the timing of implementing risk strategies. The cost of hedging, capital raising and securitization changes with the economic environment. The timing of de-risking and investment in new risk management functions affect the cost and benefit of these projects as well. Like investment timing, it is important to consider the timing in risk management decisions to maximize the gain of risk management projects. This paper discusses methods of determining the appropriate timing of implementing a risk management strategy or investing in risk management projects. It explains the human biases that may lead to inferior timing decisions. It also covers the costs and benefits of risk management projects and the impact of new information on the decision-making process. Timing considerations for financial risk hedging, insurance risk hedging and investment in new risk management projects are explained. Factors used for timing decisions include economic conditions, market volatility, credit rating, borrowing cost, capital adequacy and financial resources.

Description: This paper, originally published in 1992 in the Transactions of Society of Actuaries Vol. 44, deals with a topic that is becoming increasingly important to actuaries in most fields of practice. “Without relying on formulas, this paper presents the important concepts underlying the theory of arbitrage-free pricing of interest-rate-contingent cash flows.” This paper, by James A. Tilley, won the 1992-93 Annual Prize, and the Halmstad Prize for 1992. The paper includes written discussion and the author’s review of the discussions.

Description: Explains that the conflict of two forces – a need for economic growth in a world that can no longer provide growing oil supply – sets the financial system up for a systemic risk of collapse.