Description: This paper presents the theory of immunization of investments to changes in interest rates and provides an extensive series of examples and formulas used in its implementation. Also presents some implications for investment behavior, product development, interest assumptions, valuation and adjusted earnings. Discussions of this paper are included.

Description: In recent years a lot of time has been spent discussing a variety of different ways to measure the performance of an insurance company. One of the dominating concepts in the discussion of this has been 'Economic Capital' and with this the question of allocation of the [Economic] Capital with the intention of introducing a risk related measure of performance. In this paper, the authors view the performance measuring as a question of determining the appropriate distribution of a risk loading for participants in a risk pool having the overall risk priced by an actuarial premium principle. They show that the covariance principle can be found as the optimal solution to this risk sharing problem and show that the covariance principle fulfills some reasonable requirements. They furthermore suggest how the covariance principle can be at the basis of a target setting procedure for a multi-line insurance company.

Description: Discusses how a small health insurance company may be able to create and successfully maintain its wealth through careful actuarial model considerations used in calculating reserves. A traditional and a conservative approach to calculating the reserves are compared. The conservative approach was found particularly useful when estimating reserves for an individual health insurance company with numerous product lines each relatively small in volume.

Description: This paper will show how the NAIC formula and others can be allocated by line of business by the use of partial derivatives of RBC.

Description: Research projects in pension - Pension Risk Management: Derivatives, Fiduciary Duty and Process.

Description: This paper presents a model designed to help actuaries analyze and quantify C3 risk, which is the risk of loss due to changes in interest rates or the shape of the yield curve.

Description: For several years there has been discussion in the insurance industry of the need for additional capital sources to participate in insuring the financial risk posed by natural catastrophes. A number of methods for accessing the capital markets have been introduced and some insurers are using these to hedge exposure to catastrophe loss. This paper summarizes some of the discussion and describes some of the methods proposed. It then focuses on one of these methods, the use of catastrophe insurance options. Results of simulations are given which may serve as a guide to insurers interested in using these options as part of their risk management strategy and also as an indication to investors of the value of these instruments as a new component of an investment portfolio.