Description: The management of the investments of an insurance enterprise has undergone a considerable evolution since the pioneering work of Redington in the mid 20th century. Best practices have evolved to incorporate ever more complex insurance liabilities, expanding investment asset classes and global market opportunities. Strategic asset allocation (SAA), liability driven investing, and other robust optimization approaches form the core of the professional management of insurance company investments.

Description: Discusses the optimal consumption strategy in the presence of default risk. It highlights the Regime-Switching model, which indicates that the market situation may change and the distribution of an asset's return will change over time.

Description: This presentation examines the measurement and hedging of synthetic CDO tranche spread risks based on market spread data following the sub-prime crisis. A range of methods proposed for pricing bespoke CDOs are examined to assess their ability to hedge the credit spread risk. The methods assessed are calibrated to the traded CDO index spread and then compared based on the mean absolute pricing errors over a time period including the sub-prime crisis. Standard pricing methods and variations used to price bespoke CDOs generally perform poorly in hedging credit spread risk. Past data can be used to improve the performance of the methods. The results of this analysis also raise concerns with the accuracy of 'mark-to-model' valuations of bespoke CDOs using standard market methods.