Description: Introduction to option pricing using Black-Scholes. Discussion on the limitations of Black-Scholes and of its alternatives such as Heston. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.

Description: Presentation from the Actuarial Research Conference describing risk management at a leading Canadian Bank.

Description: Introduction to option pricing, with special attention to issues in applying these tools to price equity-linked insurance products. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.

Description: Proposes alternatives for estimating the long term interest returns in Indexed Universal Life products. Defends expected return of 20%-45% on hedge budgets.

Description: From a panel discussion session at the 2000 Valuation Actuary Symposium held in Washington DC, September 14-15, 2000 Overview of New York Regulation 163, including the limits on different types of derivative activities, the Derivative Use Plan required by New York, and the reporting and control requirements.

Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: Despite a clear need and demographics which should be favorable to LTCI growth, the market remains stalled due to lack of understanding on the consumer side, and uncertainty on carriers' side. The 3 key risk areas for carriers are morbidity, terminations, and investment earnings. Financial market innovations which can address these include: repackaging risks as derivative securities, interest rate swaps and options, and inflation swaps.

Description: Fear and Loathing in Swaps by Jim Sweeney from Risks and Rewards Newsletter, April 2000, Issue No. 34. Discussion of Interest Rate Swaps.

Description: From the 41st ARC: a presentation focusing on risk management of a pension plan whose benefit is the greater of a defined benefit DB and a defined contribution DC plan. Hedging strategies are derived and illustrated, recognizing that the DB guarantee is like an option.

Description: Institutional investors seeking to hedge have no shortage of choices, and need the right framework to manage the different risks in portfolios as they arise. This article analyzes performance of different equity hedging strategies over the last 15 years, and lays out a potential hedging framework that takes into account types of risks being hedged, fundamental views, and current market pricing of protection.