Description: The purpose of this paper is to survey some new results concerning the term structure of interest rates and discuss actuarial applications. The term structure of interest rates exhibits the relationship among the yields on default free debt instruments of different maturities. Although there is a considerable volume of literature dealing with the determinants of the term structure the analysis has until recently been presented for the most part in a deterministic i.e. non- stochastic framework. This constrasts with the treatment of capital assets where equilibrium prices have been obtained under the assumption that returns on these assets are random variables.

Description: Investment Fallacies: Future Equity Returns

Description: In this paper, chapter V of the 1987 Valuation Actuary Handbook, the authors start with a discussion of how the recent economic environment with volatile interest rates has changed the valuation and surplus management process to one more dependent on actuarial judgment. In a discussion of surplus policy, the authors identify four “layers” of surplus which have been identified by scenario testing. These surplus layers, along with policy reserves, are based on specific invested assets. The paper discusses implications for the future and notes the actuary’s ability to advise management on surplus adequacy is a basic tool of risk management.

Description: Investment Fallacies: Gambler’s Fallacy: Probability of Reversion

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

Description: Investment Fallacies: Mathematical modeling of social phenomena

Description: Invest Fallacies: Active management overall performs different than passive management

Description: Investment Fallacies: The "Dollar Bill" Fallacy

Description: E-book contains 16 topical essays that express the opinions and thoughts of a number of authors on the subject of Investment Fallacies.

Description: Investment Fallacies: Simulation of Long-Term Stock Returns: Fat-Tails and Mean Reversion