Description: This articles explains why many corporations are making massive reductions in risk related to their pension plans despite the fact that this means locking in costs at a time of historically low interest rates. This should help actuaries working with pension plans or pension investments advise clients on investment strategies and other approaches to de-risking.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: This report introduces actuaries and risk managers in the insurance and pension industries to current literature discussing growth rates in the past and future expectations.

Description: This Guide lists sources that the actuary may use to gain knowledge on investments and asset/liability management. Its purpose is to make available a preliminary road map for the actuary seeking direction to enhance his or her knowledge in these areas.

Description: This paper looks at the problem of valuing and managing the ALM risks associated with insurance liabilities that are too long to be matched by available investments. Two options were explored and the paper concludes by arguing that the Static Control Model leads to more useful ALM strategies for long liabilities.

Description: This article explains how duration matching as an asset/liability management tool is insufficient and can lead to a suboptimal asset mix.

Description: Excerpts from Yee's presentation on the S-Curve reserve for Universal life. The S-Curve represents a distribution of amount of assets needed under 550 scenarios which, together with future premiums, will fund all future policy benefits and expenses. The reserve is a specific point on the Curve.

Description: Panelists discussed: [1] investment products oriented toward asset/liability matching, [2] asset/liability management [ALM] including the C-1 and C-3 Risks, [3] current ALM practices among life insurance companies, and [4] regulatory developments in this area. From the 1987 Record of Society of Actuaries, Vol. 13, No. 4B.

Description: This paper investigates how the concepts of asset-liability matching can be used to shape investment strategy. From Transactions of Society of Actuaries 1980, Vol. 32.

Description: This study aimed to study primarily the impact of market performance on a pension plan’s ability to meet its obligations.