Description: Presenters at session 115PD of the New York Annual Meeting provide an overview of structures used for credit enhancement of GICs as well as an understanding of how financial guarantees work in the GIC market. From the Record of the Society of Actuaries, Vol. 24, No. 3.

Description: In session 74 PD of the New York Annual Meeting panelists examine the necessary steps to ensure that both customers and boards are comfortable with the investment activities of mutual fund managers. From the Record of the Society of Actuaries, Vol. 24, No. 3.

Description: 1994 SOA Spring Meeting, Orlando. This session on credit risk presented a comparative survey of recent and ongoing research related to asset credit risk, and it provided analysis of SOA 1986-89 credit risk data.

Description: Panelists discuss new non-traditional investments, innovative assets and investment-management techniques, and their applications. From the 1987 Record of Society of Actuaries, Vol. 13, No. 2.

Description: Discusses innovative ways in which insurance companies can obtain capital for investment and new business. Includes purchasing collateralized mortgage obligations [CMOs]. From the 1987 Record of Society of Actuaries, Vol. 13, No. 3.

Description: This paper presents a formula for calculating the expected rate of return on shareholders' equity when an insurance company raises capital by issuing subordinated indebtedness. The ROE formula is also applicable to the case of raising capital by issuing nonconvertible preferred shares. From Actuarial Research Clearing House 1991, VOL. 2 .

Description: This paper describes a new approach of calculating duration by taking a portfolio perspective utilizing the idea of internal rate of return. It is presumed the user has a model for projecting cash flows under different interest rate scenarios and knows the current market value of the portfolio. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from 1981 to 1992 for various forms of chaotic behavior. The primary analysis was in determining the Burst Exponent by the use of Rescaled Range Analysis. This paper also discusses other possible uses of Fractional Brownian Motion in Finance Theory, Macroeconomics, and Actuarial Science. From Actuarial Research Clearing House 1994 VOL. 1.

Description: This paper develops the theory of the measurement of interest rate risks from its foundations, beginning with the question of which asset values market or book are economically relevant and therefore at risk. From Transactions of Society of Actuaries 1985, Vol. 37.