Description: Feature article summarizing a talk given by Andrew Lo at the SOA 2009 Annual Meeting on the credit crisis and why risk management failed to stop the excessive risk taking.

Description: Highlights a new research paper on determining discount rates for pension plans, by John Turner. The paper breaks new ground on deciding on the appropriate discount rate for untradeable benefit obligations, with a comprehensive summary of the field.

Description: The article makes reference to how the intervention by government agencies and institutions into the financial marketplace are creating distortions. This artificial tampering into market mechanisms will likely result in major financial dislocations down the road as natural economic forces (coined by the term "invisible hand") eventually are allowed to come into play.

Description: Risk management techniques do not include system science. System science requires that the uncertainty of the world is incorporated into the results. The articles explains the difference between risk and uncertainty. Learn how risk practices create an overoptimistic view of future outcomes.

Description: This article presents some observations on inverted yield curves of U.S. Treasury securities and the correlation of volatility of Treasury security interest rates with their absolute level. The time covered by the study is December 1953 to December 1988. From Society of Actuaries Financial Reporting Monograph, M-AS99-1.

Description: In this session, we will explore investment solutions that aim to maintain the long-term viability of a pension plan, with considerations on hedging interest rates, credit, inflation, longevity and other risks, while accounting for the many particularities associated with underlying liabilities and their corresponding ramifications.

Description: Analysis of IASB position on the discount rate to use in computing the Fair Value of Insurance Liabilities

Description: There have been continual advances in the modeling of financial series but most are aimed at the pricing of derivatives. Different criteria are needed for development of scenarios for risk management. Some recent methods will be reviewed with an eye on risk-management applications, including using the simulated method of moments to parameterize multifactor models, fractional differencing and other methods to model series with persistent autocorrelation, and models to flatten out the volatility smile, such as jump-diffusion models. These methods will be illustrated with applications to inflation, interest rates, equity prices and exchange rates.

Description: This article is a summary of a November 1981 actuarial club presentation by Robert D. Shapiro. It begins with the rise of Universal Life in 1981 with the climate of high interest rates and minimization of company federal income tax and then discusses the year 1982 with declining interest rates and the changes made to UL.

Description: This article discusses equity risk premium, what it is, how it should be measured, if a constant risk premium provides the best model and what are reasonable expectations for the future.