Description: The paper demonstrates that the most popular rationalization for evolving glide paths is flawed and should be discarded. The paper also demonstrates that glide paths should generally evolve for investors that endeavor to optimize outcomes and reevaluate their portfolios regularly.

Description: This article summarizes key points from the recently published research paper “Deep Learning for Liability-Driven Investment,” which applies reinforcement learning and deep learning techniques to liability-driven investment (LDI).

Description: This article speculates on the presence and magnitude of the benefits attributable to regular rebalancing of one's investment portfolio. It surveys the extant literature, discusses certain implications, and presents conclusions.

Description: A feature article discussing the financial opportunities of investing in gold.

Description: Feature article describing a framework for the computation of credit capital requirements under the constant position paradigm, taking into account recovery rates.

Description: Read the August 2018 issue of Risks & Rewards published by the Investment Section.

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: Article introducing a new department in the newsletter by the section's SOA staff partner.

Description: This article examines how the choice of the rebalancing frequency in a variable annuity hedging program impacts hedging.

Description: Case study evaluating CME Group US Treasury futures and options as a key rate duration (KRD) adjustment tool.

Description: Recaps the evolution of VA products and hedging programs. Reflects on strategic considerations that contributed to relative performance in this market.

Description: Reviews basic desirable features in an economic scenario generator. Discusses basics of model structure and validation process

Description: Highlights a new research paper on determining discount rates for pension plans, by John Turner. The paper breaks new ground on deciding on the appropriate discount rate for untradeable benefit obligations, with a comprehensive summary of the field.

Description: Explains the method used to calculate Liquidity Cost Score and Price Impact Score. Describes the rationale for and applications of these methods.

Description: View the August 2016 Risks and Rewards.

Description: Thoughts from Chair of the Investment Section Council

Description: February 2016

Description: Summary of Investment Council sponsored meetings as 2015 annual meeting

Description: In this article we take a look at some of the requirements practitioners will need to consider as they implement a framework for managing the long‑term implications of C-ROSS as they pursue their capital efficiency agenda.

Description: Provides an overview of special characteristics of private equity and infrastructure asset classes, based on the perspective of experienced investors

Description: Recaps April 2015 seminar on derivatives use for fund managers and insurers in China. Describes growth in Chinese derivatives market including CSI 300 futures

Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: Asset modeling is becoming increasingly complex, detailed and important to insurance company financial reporting and risk management. This article describes the author's personal perspective on the current state of asset modeling in insurance companies and the future challenges facing actuaries who develop, maintain and use ALM models.

Description: Describes why, contrary to common opinion among financial economists, investments may be less risky for a longer time horizon. Describes where the assumptions underlying Paul Samuelsons assertion may not apply

Description: Describes qualitative relationships among market factors that should be addressed in a successful "real world" calibration of a stochastic investment scenario set.

Description: Introduction to option pricing using Black-Scholes. Discussion on the limitations of Black-Scholes and of its alternatives such as Heston. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.

Description: Introduction to option pricing, with special attention to issues in applying these tools to price equity-linked insurance products. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.

Description: The August 2012 issue of Risks & Rewards newsletter.

Description: Interview with investment actuary Carl Hess, head of Towers Watson global investment practice, on his background and career path.

Description: Feature article describing how traditional pension asset allocations contain so much risk that the details of the “liability benchmark” have been largely ignored.

Description: This is a book review of Uncertain Times: A Chief Investment Officer's Journey, by Alton R. Cogert.

Description: Feature article discussing how insurers have reflected volatility in asset return assumptions when determining capital requirements, but have largely disregarded the impact of mortality volatility on their liability assumptions when performing stochastic analysis.

Description: Feature article summarizing a talk given by Andrew Lo at the SOA 2009 Annual Meeting on the credit crisis and why risk management failed to stop the excessive risk taking.

Description: Feature article discussing the variable annuity industry rebuilding and reinventing itself.

Description: Feature article discussing hedging programs becoming a mainstay in the risk management arsenal of life insurers. It focuses on the significant stresses on variable annuity hedging programs.

Description: This article discusses Variable Annuity products with significant guaranteed minimum benefits, and hedging strategies used by insurers due to the mark to market accounting requirements for these liabilities under GAAP. It focuses in particular on delta-hedging and the implications of the 2008 market volatility.

Description: This article aimed to make Liability Driven Investing LDI more accessible by providing a simple definition and by showing how plans of different sizes and circumstances may adopt an appropriate LDI approach.

Description: August 2008 full issue of the Investment Section newsletter, Risks & Rewards.

Description: As we meet with pension plan sponsors and consultants across Canada we find that the subject of liability-driven investing LDI comes up repeatedly even when we do not initiate the discussion. We also find that LDI seems to mean something different to each person we meet. Is LDI just a new name for asset/liability management ALM? Or is LDI just about hedging interest rate risks with fancy securities? In this article we describe a framework for understanding what LDI is, how it relates to ALM, and how it can be used to solve real-life problems for Canadian pension funds.

Description: Newsletter for the Investment Section

Description: This article provides key insights and data samples about various approaches to pension investing. Article from Risk and Rewards, August 2006, Issue No. 48.

Description: This article discusses a simple simulation model that analyzes the implications of using real world assumptions for determining customer behavior when calculating hedge positions to support minimum guarantees for variable annuities. Article from Risk and Rewards, August 2006, Issue No. 8.

Description: The SOA’s Committee on Finance Research recently made available the results of a research study that explores economic series and provides an Excel-based tool for generating future economic scenarios. From Risks and Rewards Newsletter, August 2005, Issue No. 47.

Description: Are Your Scenarios on Target?From Risks and Rewards Newsletter, August 2005, Issue No. 47. Actuaries are faced with the dilemma of how to incorporate advances in insurance products and modeling technology into their work. Increasingly, this means looking at a large number of potential outcomes using stochastic simulations.

Description: This article, with some humor, describes a movement known as “econophysics” of physicists modeling economic systems, including capital markets, using techniques and concepts developed in studying the out-of-equilibrium dynamics of complex systems. A version of this article appeared in The Actuary UK in August 2004. Reprinted with permission.

Description: Full version of Risks and Rewards Newsletter, July 2003, Issue No. 42.

Description: An overview of the recent Advanced Risk Management Seminar New York, December 2002.

Description: Announcement of an upcoming 2003 Stochastic Modeling Symposium.

Description: This article presents recent developments and trends with respect to Economic Capital based on the work of the EC subgroup of the SOA's Risk Management Task Force.

Description: The second of three articles exploring the new technology offered by Santa Fe, New Mexico-based Assuratech, Inc. Describes the development of the applied complex adaptive systems technology behind Assuratech’s highly sophisticated program that uses simulation and data mining techniques for accurate, reliable versatile risk modeling.

Description: Risk Management and Actuaries—SOA Risk Management Task Force Update

Description: This articles gives an overview of the recent Investment Actuary Symposium.

Description: Full version of Risks and Rewards Newsletter, February 2003, Issue No. 41.

Description: This articles describes some of the industry issues that new-generation risk modeling technologies can address and the emerging technology of simultion as it applies to risk modeling.

Description: This article describes the proposal selected for research involving the modeling of economic series. The proposal submitted by the research team of Kevin Ahlgrim of Bradley University, Stephen D'Arcy of the University of Illinios and Richard Gorvett of Zurich North America was selected.

Description: This article summarizes Hubert Mueller's presentation at the SOA's Risk Management Seminar on the risk management of guarantees on equity-oriented products. It discusses 1 the market background, 2 the risk management process and 3 a case study on dynamic hedging.

Description: The author notes that “current market value is highly relevant, but its accuracy is limited. Historical accounting, on the other hand, is highly accurate, but is of little relevance.” The article then goes on to discuss two leading methods for performing fair valuation of liabilities: the actuarial appraisal method and the option pricing method, and how they can be reconciled.

Description: When Is It Right To Use Arbitrage-Free Scenarios? by Stephen Britt from Risks and Rewards Newsletter, September 2000, Issue No. 35.

Description: Dynamically Hedging Insurance Product Risk by Marshall C. Greenbaum from Risks and Rewards Newsletter, April 2000, Issue No. 34. A dynamic hedging program cab be an effective solution to insurance company market risk management problems.

Description: This article is an overview of the Financial Risk Managment of Insurance Enterprises course. The course incorporates financial risk management, asset pricing models and all risks facing an insurance company. The basics are then applied to asset-liability management and valuation.

Description: The article discusses under which conditions it is appropriate to use the true probability distribution or the risk-neutral probability distribution for interest rate scenario generation. It addresses which should be used for valuation purposes and strategy development.

Description: This article notes that life insurance companies have long used sophisticated techniques for appraising capital investment, and explores the question of whether these techniques can be applied to other industries.