Description: Chairperson’s column discussing the state of the world today and how that influences investment strategies and describes to seminars the section sponsored to keep members apprised of changes.

Description: Diverse Risks 2016 Call for Essays

Description: The effects of climate change have been widely documented. Whether it’s rising temperatures, more frequent and violent storms or disruption to wild life, there is a consensus in the scientific community that these effects are real. What are the risks and opportunities that climate change brings to an investment portfolio? As society transitions to more sustainable sources of energy and tries to find more sustainable ways to consume, there will be winners and losers. In this presentation, speakers will discuss their process to identify winners in this changing world and highlight the risks to various industries.

Description: Proposes a benchmark consisting of TIPs and deferred income annuities for retirement asset allocation decisions.

Description: ETFs have seen explosive growth in the past decade. Due to its flexibility and embedded risk management features, insurance companies and pension funds, are showing increasing interest in this asset class. This session covers an introduction to ETFs and the risk/rewards for insurance companies and pension funds as an additional asset class.

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: Traditional mean-variance method does not take skewness of the random rate of return into consideration. It only considers minimum variance for a given acceptable rate of return, which limited the probability of obtaining higher rate of return. If the skewness of return for the portfolio is incorporated into model of traditional approach, then the resulting non-linear programing model is not computational efficient, which certainly is complicated. On the other hand, possibilistic programming provides more efficient techniques to solve the imprecision nature of rate of return and also preserves the original linear model.

Description: Applications of Lagrangian distributions to modelling claim frequency data in an insurance portfolio is a relatively new concept. The major difficulty is that the generating functions of these distributions cannot be expressed in terms of elementary functions. Also deriving moments and/or cumulants is somewhat tedious. This article illustrates how to use Maple effectively to overcome these difficulties.

Description: This article deals with enterprise risk management and how the techniques contained within the discipline can help prevent unforeseen large mistakes in strategy, product design, and product management

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