Description: The Investment Section is hosting a member’s only contest on asset allocation. The results will be reported each week.

Description: The article discusses the characteristics of the high-yielding bank loan asset class.

Description: Summarizes a research paper considering insurer performance during the financial crisis, with actions and circumstances that improved results highlighted.

Description: Feature article describing how traditional pension asset allocations contain so much risk that the details of the “liability benchmark” have been largely ignored.

Description: This session from the 1984 SOA New York City Meeting discusses the organizational and practical implications of segregating the General Account including how to allocate existing assets by product line, organizational changes required, regulatory implications and accounting and systems consideratons. Record of the Society of Actuaries Vol. 10, No. 3

Description: From the 1985 Valuation Actuary Symposium Discussion of the process for evaluating the financial soundness of an insurance organization from organizations outside of the Company

Description: For most of the last forty years, corporate defined benefit pension plan assets have been managed to balance risk versus reward in more or less the same way that a risk averse individual would do with his own portfolio. Recently liability cognizant strategies have been developed, but these also attempt to balance risks and rewards. But pension plans are not individuals; they, much like their widely-held corporate sponsors, are pass-through institutions. The economics of such entities are found in the corporate finance literature rather than in the literature of portfolio choice. The corporate finance (and thus the pension finance) objective is economic value added rather than return for risk. Enterprise risk management is a corporate finance activity too and its goal should also be value added rather than return for risk. The intersection of enterprise risk management and pension finance leads to a value-based discipline with two startling results: • Widely-held corporations can increase shareholder value by hedging away their own systematic risk (e.g., CAPM β). • Very many corporate defined benefit pension plans should define their liabilities and manage their assets to develop a net short equity exposure (negative β).

Description: A research report providing a primer on the mechanics and uses of the Hidden Markov Model for actuarial and financial applications.

Description: The author notes that equity investment management is often classified into a number of different styles, the simplest being growth and value. In discussing both approaches the author also brings in the concept of momentum and concludes that momentum should be an additional parameter reviewed in the investment decision.

Description: Dynamically Hedging Insurance Product Risk by Marshall C. Greenbaum from Risks and Rewards Newsletter, April 2000, Issue No. 34. A dynamic hedging program cab be an effective solution to insurance company market risk management problems.