Description: This session from the 1993 Valuation Actuary Symposium looks at asset models and economic scenario generation.

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: 1996 Valuation Actuary Symposium. This session about asset modeling discussed securities with options and derivatives, corporate government debt, mortgage-backed securities, collateralized mortgage obligations, real estate equities, and investment and disinvestment strategies.

Description: 2002 Valuation Actuary Symposium, Lake Buena Vista, FL. In this teaching session the instructor explained how to scrutinize model results and use models to make strategic decisions. Specific topics included validation of asset models, modeling considerations for derivatives and assets with embedded options, using models to assist with portfolio management, and using models to improve portfolio yields and realized product spreads.

Description: This paper explores some of the implications of rejecting the hypothesis that successive interest rate changes are independently, identically lognormally distributed on cash flow analysis. Discussions of this paper are included.

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 session at the 2003 Valuation Actuary Symposium discusses asset model validation techniques. Applying the results of a cash-flow testing model to other uses is explored. Also, the proliferation of embedded option derivatives, both on the asset and liability side of the balance sheet, both for pricing and for valuation, are discussed.

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.

Description: This paper presents a model that projects withdrawal and investment returns for a hypothetical retirement account. From Retirement Needs Framework, M-RS00-1.

Description: Presents a way to study C-1 risk 'default risk' for fixed-income assets in the context of asset/liability management. This approach utilizes cash flow projections and Monte Carlo sampling.