Description: This article shows a comparison of the growth rates of the S&P 500 common stock index vs. the U.S. Consumer Price Index over various 5 and 10 year periods.

Description: This article discusses calculating the present value given a set of non-level interest rates and a stream of cash flow emerging from that context. This is the nub of a problem that surfaces in determining the adequacy of a reserve in a manner which fully takes into account both the assets and liabilities involved.

Description: This article questions the validity of long term market return expectations using macroeconomics and analytical arguments.

Description: Description * This article summarizes Rev. Proc. 2018-54, in which the IRS provides for a new elective procedure that is intended to help segregated asset accounts and insurance-dedicated funds comply with the diversification requirements of Code section 817(h) with respect to investments in a new type of security known as a Uniform Mortgage-Backed Security.

Description: The SOA is pleased to make available a report updating the 2012 risk assessment performed by Porteous et al. The report also provided an economic capital analysis for a stylized US plan with the same member profile and the USS provisions modified to reflect a typical US DB plan.

Description: This article discusses credit default options, the applications, pricing and hedging default risk.

Description: Many insurers preparing market consistent financial statements encounter the issue of developing volatility assumptions for equity options and guarantees that are longer than any observable market data. This presentation develops a generalization of the classical Black Scholes option pricing model that is consistent with the European CRO Forum's framework for valuing non-hedgeable risk. The presentation argues that, with reasonable parameter choices, the model fits observed volatility surfaces well enough that it can be used to estimate implied volatilities where no market data exists.

Description: View The Impact of Disaster Events on Investments – Contagion Channels Perspective.

Description: In reference to the book Fooled by Randomness by Nassim Nicholas Taleb, Steven Scoles describes our ability to detect patterns in certain aspects of life and how these patterns may in fact be simple randomness.

Description: The Society of Actuaries’ Committee on Finance Research and Joint Risk Management Section Research Committee are pleased to make available a research report developing a framework for quantifying and analyzing various forms of contractual designs.