Description: This report presents the results of the 1986-92 Credit Risk Event 'CRE' Loss Experience Study which represents a continuation of the 1986-89 pilot study analyzing loss experience by institutional investors on private placement bonds. This continuing study is being conducted under the auspices of the Society of Actuaries and involves thirteen institutional investors which accounted for between 34% and 42% of outstanding life insurance company private placement bond holdings during the study period. The study measures incidence rates, loss severities and economic loss rates associated with credit risk events for privately placed debt during the years 1986-92. From Transactions of Society of Actuaries 1997-98 Reports.

Description: The principal purpose of this paper is to examine some of the factors that must be considered if the concept of investment generations is applied to the distribution of investment income within individual life insurance lines of business. It also includes a discussion of the paper. From Transactions of Society of Actuaries 1977, Vol. 29.

Description: In this paper, the relationship of convexity to the assumption of parallel shifts is explored, and new convexity measures are developed to reflect nonparallel shifts. These new measures can differ dramatically from the traditional values, providing insight into when convexity does not have to be good and when it does.

Description: This paper summarizes default experience on bonds from 1900 through 1987. Although the information is more extensive for publicly traded bonds, the paper includes some information on private placements, some of which is not otherwise available.