Description: Description of new regulatory risk disclosure for private fund advisers.

Description: This study note focuses on actuarial applications and loss distributions for insurance products.

Description: The financial industry has become increasingly interested in understanding and managing financial risks as well as business risk. While often perceived in terms of risk reduction or mitigation in the past, todays focus has expanded to improve performance and add to the value of the firm. Many banks and securities firms have built risk management areas to better manage their financial risks. Some insurance companies are moving in a similar direction, This session focuses on quantification of various financial risks insurers take on. From the Record of the Society of Actuaries, Vol. 24, No. 1. Maui Spring Meeting, June 15-17, 1998, Session 87PD.

Description: This article examines how parameter uncertainty leads to uncertainty in Value at Risk VaR estimates. Lacking a closed form solution, we use a first order approximation of VaR to map parameter changes into changes in the VaR value. When the asymptotic distribution of parameter estimates is normal, this implies a normal approximation of the confidence interval about VaR. We describe this approximation in detail and explore some extensions to risk factor modeling.

Description: Investment Fallacies: Future Equity Returns

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