Description: The article warns against treating the results of a stochastic model with more deference than other actuarial analysis, and describes some hidden risks involved with choice of model and calibration.

Description: The article introduces a cashflow matching strategic asset allocation (SAA) framework for life insurers. Given the recent shift to higher interest rates after two decades of persistent low interest rates, insurers have an opportunity to enhance their asset liability management by rebalancing asset portfolios to narrow duration gaps and attain higher risk-adjusted yields. The framework aims to align investment objectives with economic, regulatory, and rating agency requirements. It prioritizes cashflow matching as the primary optimization goal and incorporates security-level asset information to assist portfolio managers in executing SAA seamlessly. The article highlights the benefits of the cashflow matching SAA framework, including greater attention to cashflow matching, unbiased results, readily executable strategies, and stable economic reserves. A case study is included to demonstrate the effectiveness of the framework in improving risk-adjusted return and cashflow matching for a representative liability block.

Description: Time Track: Analyzing Historical Asset Returns by Richard Q. Wendt from Risks and Rewards Newsletter, September 2000, Issue No. 35.

Description: Why Write Variable Products When You Can Put the Money Directly into the Stock Market?

Description: This article discusses facts and issues related to the selection of a stock’s price distribution.

Description: This article discusses Asset-Backed Securities as a low volatility alternative to Intermediate Government Bonds.

Description: This article discusses equity risk premium, what it is, how it should be measured, if a constant risk premium provides the best model and what are reasonable expectations for the future.

Description: This article presents recent developments and trends with respect to Economic Capital based on the work of the EC subgroup of the SOA's Risk Management Task Force.

Description: The investment risk taken by a pension fund comprises strategic risk and active risk. This paper discusses the relative merits of these two types of risk to the pension fund, possible rationales for the levels of strategic and active risk typically adopted mechanisms for capturing manager skill without taking on equity risk, and issues in setting liability-based benchmarks for investment managers

Description: This article examines how the choice of the rebalancing frequency in a variable annuity hedging program impacts hedging.