Description: This paper explores some of the implications of rejecting the hypothesis that successive interest rate changes are independently, identically lognormally distributed on cash flow analysis. Discussions of this paper are included.

Description: Article discusses possible effects of negative interest rates on product development, risk management, investment management and in-force management.

Description: Case Study is used to see how effectively an approach based on combining products can reduce C-3 'interest rate' risk.

Description: This paper examines the risks involved with equity investing for pension funds. From Transactions of Society of Actuaries 1959, Vol. 11, No. 31.

Description: The article explores impact of resetting cap vs static cap choice for the GLWB rider for a Fixed Index Annuity for a Point to Point. Moreover, analysis of a Monthly Sum Cap is provided showing impacts of particular choices of market models (e.g. Black, Heston, Bates) used to price this deal.

Description: In a stochastic world consideration of only a few deterministic scenarios can potentially be dangerous. The aim of the present research is to study the computation of the cost of mismatch using stochastic interest rate models instead of scenario testing. In this paper, two commonly used Stochastic interest rate models are considered: the one introduced by Vasicek 1977 and the one proposed by Cox, Ingersoll and Ross 1985.

Description: This paper studies the internal rate of return of a finite series of cash flows in terms of three natural axioms. Examples of rate of return functions are constructed and their economic significance is discussed. From the Actuarial Research Clearing House 1992 Vol. 1.

Description: This research paper examines the justification of using the one-factor general equilibrium model of Cox, Ingersoll, and Ross to model the term structure of interest rates and their volatility. From the Actuarial Research Clearing House ARCH 1990 Vol. 1.

Description: This article shows a different form of the Black-Scholes formula for European calls and puts under risk-neutral assumptions, that permits a comfortable verbal interpretation. The derivation of this alternative form appears at the end of the article.

Description: Panelists discuss the process and challenges presented by mergers or acquisitions. From the Record of the Society of Actuaries, Vol. 24, No. 2.