Description: The goal of this paper is to examine similarities between value investing and enterprise risk management (ERM) methods.

Description: This report presents the results of the 1986-92 Credit Risk Event 'CRE' Loss Experience Study which represents a continuation of the 1986-89 pilot study analyzing loss experience by institutional investors on private placement bonds. This continuing study is being conducted under the auspices of the Society of Actuaries and involves thirteen institutional investors which accounted for between 34% and 42% of outstanding life insurance company private placement bond holdings during the study period. The study measures incidence rates, loss severities and economic loss rates associated with credit risk events for privately placed debt during the years 1986-92. From Transactions of Society of Actuaries 1997-98 Reports.

Description: The goal of this paper is to examine similarities between value investing and enterprise risk management (ERM) methods.

Description: The Society of Actuaries’ Pension Section Research Committee commissioned this study to help actuaries develop forward thinking long-term estimates of future equity risk premiums. Equity risk premium is the amount by which the total return of a stock market index, such as the S&P 500, exceeds that of government bonds. Equity risk premiums, calculated from historical data, have been used to project long term values of equity portfolios in retirement plans. The validity of using historical data to project future equity returns will be examined along with other forward looking methods.

Description: A report providing a high-level review of the literature that addresses the relationship between bond prices/yields and demographic variables, a deep dive into one of the papers, and empirical analysis starting with the methodology of that paper and extending to the stability of the relationship over time, to longer-dated bonds, and to the sovereign bonds of various countries

Description: In this paper the researchers analyze pension plans for three countries (Canada, the UK, and the US) using an ESG that includes a demographic ratio that has been defined consistently for all countries. In that regard the paper extends the literature and opens areas for future research.

Description: This study aimed to study primarily the impact of market performance on a pension plan’s ability to meet its obligations.

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: The goal of the sessions was to learn how advisors are reaching out to this market and to uncover the roadblocks that they think are deterring greater mid-market use of financial services.

Description: A paper on investment results of life insurance companies investing in high-yield, lower quality bonds, September, 1999.