Description: Investment Fallacies: The Fallacy of the Fed Model

Description: This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.

Description: Property and casualty insurers face risks in many key areas, such as operations, natural catastrophes and underwriting. Among the underwriting risks is the potential financial impact of adverse loss reserves development.This paper illustrates a model of loss reserve risk that will incorporate how risk evolves over time at annual time horizons.

Description: Investment Fallacies: The Misconceptions of Retirement Risks

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

Description: E-book contains 16 topical essays that express the opinions and thoughts of a number of authors on the subject of Investment Fallacies.

Description: Investment Fallacies: On the Validity of Common Portfolio Return Assumptions

Description: Investment Fallacies: Extended periods of robust macroeconomic growth are healthy for investing.

Description: Investment Fallacies: The "Dollar Bill" Fallacy

Description: Investment Fallacies: The Fable of the Storyteller and the Market