Description: Recaps the content of leading presentations at 2016 Inv Symposium. Topics include bond liquidity, investment outlook, low rate portfolio strategies

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: Chairperson’s column discussing the state of the world today and how that influences investment strategies and describes to seminars the section sponsored to keep members apprised of changes.

Description: Description of new regulatory risk disclosure for private fund advisers.

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: This articles explains why many corporations are making massive reductions in risk related to their pension plans despite the fact that this means locking in costs at a time of historically low interest rates. This should help actuaries working with pension plans or pension investments advise clients on investment strategies and other approaches to de-risking.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

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: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

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