Description: While the major market crash subsequent to the widespread contagion of the COVID-19 virus was readily predictable, the rapid recovery and ongoing growth subsequent to it was not. Market dynamics around the recovery resist characterization by most traditional analytical approaches. In examining the circumstances around the emergence of a large retail class of investors, one sees that ingrained human tendencies, particularly optimism bias, have fueled much investor behavior responsible for the recovery. Understanding this makes it possible to predict potential future crashes and develop behavioral interventions for subsequent market recoveries.

Description: This article summarizes key points from the recently published research paper “Deep Learning for Liability-Driven Investment,” which applies reinforcement learning and deep learning techniques to liability-driven investment (LDI).

Description: All things considered, caution needs to be applied to the use of so-called “standard” mortality tables. Sharpening up these blunt estimates by using individual assumptions reveals material differences in the structure of longevity, both between plans and within plans.

Description: GDP growth has slowed as numerous headwinds have emerged. This article summarizes a research paper by Mark Alberts and Max Rudolph that addresses reasons why this is so and how risk managers can address using scenarios.

Description: This article explores the possibility of using innovations from the financial markets to reduce some portion of the LTC risk and thus encourage the growth of the product.

Description: This article explains the 2009 changes to the Global Credit Default Swap contract and North American conventions. It is reprinted with permission from The Markit Magazine.

Description: Feature article discussing numerical short cuts, rules of thumb, estimators, modeling tips, etc. The featured problem is fitting the intermediate points for a real-world stochastic model of interest rates.

Description: Chairperson’s column discusses recent events in the investment industry.

Description: In this article, we will analyze the recent value investing experience in the Canadian equity market, determine the main macroeconomic variables that drove the value cycle performance in that period, and draw some conclusions about the benefits of style rotation between value- and growth-oriented styles in the management of an investment portfolio.

Description: The Investment Section will be sponsoring several sessions at the upcoming 2013 Life & Annuity Symposium in Toronto from May 6-7.