Description: The behavior of extreme paths in the usual stochastic interest rate models is not nearly so plausible as the behavior of their expected values and variances. This paper proposes a new class of models that deliver more plausible extreme paths while preserving the usual expected value and variance behavior. Along the way we derive the closed form solution for the traditional mean-reverting lognormal process, including the drift compensation.

Description: Presented at August 2011 Actuarial Research Conference. Summarizes the Heston model, discusses hedging equity indexed annuities, and provides numerical results of the Black-Scholes and Heston hedging strategies.

Description: View the complete issue for the August 2014 Reinsurance News newsletter.

Description: Most reasonable risk mitigation strategies provide benefit in some circumstances, but come at a cost that adversely affects results in other scenarios. A research paper by the authors considers the view of multiple stakeholders to answer this question, resulting in a process they call Trifurcation.

Description: Discussion of Capital Market Modeling techniques

Description: Highlight of the ERM Symposium

Description: Read the French language version of the December 2017 issue of Risk Management published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: Restoration of Benefits ROB: the provision of a long-term care policy that allows policyholders to restore their maximum benefit period after they have used some or nearly all of their policy benefits to pay for a covered claim event. This is a provision that should be managed closely.

Description: A framework to measure and evaluate the risk-adjusted investment performance given the characteristics of the insurance liability.

Description: The author describes the 29th. edition of the International Summer School, held in Lausanne, Switzerland, organized by the Swiss Association of Actuaries.