Description: Full version of Risks and Rewards Newsletter, July 2001, Issue No. 37.

Description: Full version of Risks and Rewards Newsletter, February 2002, Issue No. 38.

Description: The author uses a generalized asset risk model to explore C1 risk, drawing heavily from investment theory and pension fund management, applying these to an insurance general account. This article has two parts the first part, contained in this issue of Risk and Reward, describes the basic C1 model itself. The second part, which will be published in the next issue of Risks and Rewards, discusses various implications of the basic C1 model, especially related to managing the company’s investment portfolio.

Description: The article discusses C1 risks in five areas: 1 the economics of risk, 2 portfolio optimization, 3 policy, 4 risk interaction and 5 institutional aspects of C1 risk.

Description: This article analyzes a fixed premium interest sensitive life contract with the objectives of developing an approach to estimating its market value and assessing various notions of its duration. The results of these analyses have implications for market value accounting of life insurance liabilities and for life company portfolio management.