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 paper develops a new method of determining long-range interest rate assumptions. Followed by discussion papers submitted by 2 authors

Description: Research report describing the results of an Emerging Risks Survey conducted in 2010. This survey attempts to track the thoughts of risk managers about emerging risks across time. The new top five are: 1. Fall in value of US Dollar. 2. International terrorism. 3. Chinese economic hard landing. 4. Oil price shock. 5. Failed and failing states.

Description: This research report introduces the concept of a preference function, which is a generalization of the utility function.

Description: Research material that developed a Liability-Driven Investment (LDI) benchmark framework.

Description: In this paper, the relationship of convexity to the assumption of parallel shifts is explored, and new convexity measures are developed to reflect nonparallel shifts. These new measures can differ dramatically from the traditional values, providing insight into when convexity does not have to be good and when it does.

Description: Financial Accounting Standard Number 91 deals with the calculation of investment income and amortized cost for mortgage backed securities, as well as whole mortgages and callable bonds. The method described in this paper uses a Taylor series to eliminate the storage of all past cash flows, while still providing an accurate FAS 91 adjustment. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This is the agenda for the 28th Annual Actuarial Research Conference held in Madison, WI August 19-21, 1993. From ACTUARIAL RESEARCH CLEARING HOUSE, 1994 VOL. 1.

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: This paper argues that the self-financing axiom with mild assumptions on the conditional expected returns yields a market with an eventual arbitrage. This is accomplished by minimizing the conditional variance of a trade when the conditional expectation is a fixed constant. Examples with common processes shows that most models yield an eventual arbitrage. As a final application, a cost model is applied to prices of stripped coupon and principal payments on U.S. government bonds, where rates of return are estimated and lower bounds on market costs given.