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

Description: This paper presents enhancements to the classical cash-flow matching approach to developing fixed income portfolio investment strategy by allowing cash carry-forward and borrowing from future surpluses.

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

Description: Provides some guidance on how to set a company's investment benchmark.

Description: Insurance companies are not immune to liquidity risks.

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.

Description: Discusses investment strategies that can be used for various product-expense and policyholder-behavior patterns. These include buy/sell, hold, exchange, long-term, optimization, hedging of the business and investment risks, and immunizing strategies. From the 1988 Record of Society of Actuaries, Vol. 14, No. 4A.

Description: This paper explores Indian futures and options market as a market for hedging by equity holders. The authors have tried to examine optimal hedge ratio and hedge efficiency, and to provide empirical evidence from India.