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: In a paper entitled ‘Using Cash Flows to Allocate Investment Income’ [ARCH 1979.1] reference was made to the conversion of investment rates [and capital gain and loss rates] from rates based upon periods of original contribution to rates based upon dollars of original contribution. Thus arose the topic of this note.

Description: Consensus of viewpoints from a group discussion on economic forecasting at the March meeting of the Canadian Institute of Actuaries.

Description: Given a financial transaction we are often interested in the number of internal rates of return [yield rates] and their location. From an actuarial point of view, the fundamental question is to identify those transactions with a single yield rate, or a single rate in some interval such as the positive reals. In this paper we are concerned with this counting problem. We survey various results concerning this problem, and provide a unifying approach together with some new insights.

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.

Description: This paper illustrates the application of stochastic control methods in managing the risk associated with an insurance business. We present the Hamilton-Jacobi-Bellman HJB equation and demonstrate its use in finding the optimal investment strategy based on some given criteria. Here we consider an insurance business with a fixed amount available for investment in a portfolio consisting of one non-risky asset and one risky asset. The object of the resulting control problem is to determine the investment strategy that minimizes infinite time ruin probability. The existence of a solution to the resulting HJB equation is shown. The relevant verification lemma is not presented in this paper and a numerical algorithm is given instead. Examples applied to exponential claims are also presented.

Description: Constant Proportion Portfolio Insurance (CPPI) performance is assessed on realistic assumptions and dynamic strategies to mitigate the so-called ”gap risk”.

Description: Investment Fallacies: Extended periods of robust macroeconomic growth are healthy for investing.

Description: This session from the 1983 SOA Spring Meeting discusses disintermediation and intermediation risk - C-3 Risk, investment strategy and product design including market value adjusted products. From Record of Society of Actuaries Vol. 9, No. 2.

Description: Panelists discuss: [1] a way to study interest-rate risk using stochastic methods, [2] a conceptual framework needed to evaluate the suitability of an investment strategy for insurance liabilities, and [3] how one company [Capital Holding] develops investment strategies and asset/liability management policies. From the 1988 Record of Society of Actuaries, Vol. 14, No. 2.