Description: We apply decision theory to develop a credibility formula that minimizes a loss function that is a linear combination of a squared-error term and a second-derivative term. The squared-error term measures the accuracy of the estimator, while the second-derivative term constrains the estimator to be close to linear.

Description: A presentation on the principle of equivalent utility from the 2001 ARCH. Contains both the static and dynamic model as well as examples with exponential utility.

Description: This presentation suggests a possible flexible solution to the time and resource problems of running a large number of stochastic interest rate scenarios, by selecting a representative subset. Each interest rate scenario consists of 30 future spot yield curves, where a reasonable number of points are specified on each curve such as 12. The distribution of the scenarios is approximated by the subset and each scenario in the subset has equal weight. The method is independent of the inter rate generator used.

Description: This presentation outlines strategies for optimal return on bonds and presents the advantages of liability driven investing. From the Actuarial Research Clearing House ARCH 1990 Vol. 1.