Description: “Global tactical asset allocation GTAA is an invest¬ment approach that seeks to exploit short-term mar¬ket inefficiencies to generate uncorrelated absolute returns by taking positions in various asset classes, regions, styles and currencies. Due to its low correlation with tradi¬tional asset classes, GTAA can diversify an existing portfolio without making material changes to the portfolio’s overall risk characteristics.”

Description: Explains the more granular breakout of bond RBC factors proposed to the NAIC. Evaluates alternative asset allocation choices for insurers under the new rules.

Description: Complete issue of the August 2014 Risk Management newsletter.

Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: It is the purpose of this paper to examine the questions of equity, and practicality of refinements in, the methods of allocation of net investment income and gain by line, class or subclass. Discussions of this paper are included.

Description: Abstract: A model for analyzing the probability and severity of default of sovereign entities and banks. The methodology analyzes the risks inherent in the investment of debt of sovereign governments and large financial institutions side-by-side, taking into consideration macroeconomic interactions among the sovereign fiscal and monetary authorities, the financial institutions, and the real economy. The signature aspect of the methodology is that it adapts a Merton-style default model to use explicit measures of sovereign assets and asset volatility.

Description: This session at the SOA 1990 San Francisco Spring Meeting is about asset segmentation, i.e. segmenting assets among lines of business or liabilities, practical issues involved in the process, and how this enhances asset/liability mangement.

Description: This abstract describes a paper that proposes a quantitative framework which jointly considers the endowment spending policy and the asset allocation decision a-la Markowitz.

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

Description: Editors discuss the articles in this issue.