Description: This article shows a different form of the Black-Scholes formula for European calls and puts under risk-neutral assumptions, that permits a comfortable verbal interpretation. The derivation of this alternative form appears at the end of the article.

Description: In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. Consequently, complete price sensitivity information is derived which is equally applicable in all yield curve environments. In addition, this model is practical and relatively easy to apply. From the Actuarial Research Clearing House ARCH 1989 Vol. 2.

Description: Results of survey, conducted recently by the Taxation Section of the Society of Actuaries, on how federal income tax is reflected in the projection work being performed.

Description: An update on the Capital Market Assumptions used for asset allocation maybe useful to actuaries given the parallels with the assumptions an actuary uses to measure plan obligations.

Description: A discussion of the theory underlying risk neutral investment scenarios

Description: This paper examines a differential equation model, whose solutions have yield curve shapes. The paper also examines the relevance of the model with historical monthly U. S. Treasury nominal rates. From the Actuarial Research Clearing House 1992 Vol. 1 .

Description: This article describes methods for addressing technical challenges related to modeling asset cash flows for PBR reserve projections.

Description: The article explores impact of resetting cap vs static cap choice for the GLWB rider for a Fixed Index Annuity for a Point to Point. Moreover, analysis of a Monthly Sum Cap is provided showing impacts of particular choices of market models (e.g. Black, Heston, Bates) used to price this deal.

Description: This article considers considers how the assumptions and statistical methods used to analyze investments are likely to change as a result of the events of Black Monday, October 19, 1987.

Description: This article suggests ways for small insurance companies to obtain modeling information on more intricate assets, such as collateralized mortgage obligations [CMO], at a low cost.