Description: This paper presents enhancements to the classical cash-flow matching approach to developing fixed income portfolio investment strategy by allowing cash carry-forward and borrowing from future surpluses.

Description: In this paper, we consider the relationship between salary growth, stock and long bond returns. We use this to suggest that equities may have a role in hedging final salary-related benefits. Simulations from the empirical distribution for salaries, equities and interest rates are used to demonstrate the quantile hedge.

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

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

Description: This report is an update to a 2014 paper related to changes in the continually evolving pension risk transfer landscape. This updated report seeks to discuss pension risk transfer in depth and identify key de-risking actions, alternatives and triggers that impact pension risk transfer strategies.

Description: This paper investigates how the concepts of asset-liability matching can be used to shape investment strategy. From Transactions of Society of Actuaries 1980, Vol. 32.

Description: This paper attempts to fill the gap in literature by empirically assessing the adequacy of the supply of bonds, quantifying the price impact, gauging the actuarial cost, and proposing appropriate government policy measures.

Description: With this paper, a new theory of immunization is introduced in which the approach is multivariate, and the goal is stochastic in the sense of minimizing stochastic risk. Discussions of this paper are included.

Description: This research report explores investment year methodology to set renewal credited rates. There is an accompanying Excel workbook created as a teaching aide.