Description: Investment Fallacies: The "Dollar Bill" Fallacy

Description: Guaranteed Annuity Options GAOs are options available to holders of certain pension policies. This paper studies GAOs using two models for the interest rate the Vasicek and the Cox-Ingersoll-Ross models. An actuarial approach is used to value the GAOs and compared with the value of a replicating portfolio.

Description: Investment Fallacies: The Fallacy of the Fed Model

Description: Invest Fallacies: Active management overall performs different than passive management

Description: Investment Fallacies: The Misconceptions of Retirement Risks

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

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

Description: This paper illustrates the application of stochastic control methods in managing the risk associated with an insurance business. We present the Hamilton-Jacobi-Bellman HJB equation and demonstrate its use in finding the optimal investment strategy based on some given criteria. Here we consider an insurance business with a fixed amount available for investment in a portfolio consisting of one non-risky asset and one risky asset. The object of the resulting control problem is to determine the investment strategy that minimizes infinite time ruin probability. The existence of a solution to the resulting HJB equation is shown. The relevant verification lemma is not presented in this paper and a numerical algorithm is given instead. Examples applied to exponential claims are also presented.

Description: In a paper entitled ‘Using Cash Flows to Allocate Investment Income’ [ARCH 1979.1] reference was made to the conversion of investment rates [and capital gain and loss rates] from rates based upon periods of original contribution to rates based upon dollars of original contribution. Thus arose the topic of this note.