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

Description: Bond Prices, Yields, and Convexity by Macroeconomic Advisers from Risks and Rewards Newsletter, April 2000, Issue No. 34.

Description: When Is It Right To Use Arbitrage-Free Scenarios? by Stephen Britt from Risks and Rewards Newsletter, September 2000, Issue No. 35.

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

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 aimed to make Liability Driven Investing LDI more accessible by providing a simple definition and by showing how plans of different sizes and circumstances may adopt an appropriate LDI approach.

Description: This article lays out a generic framework on how to hedge a European call option on a non-dividend paying stock using futures in a stochastic interest rate environment.

Description: The article describes the 2017 Redington Prize-winning paper "Lapse-and-Reentry in Variable Annuities", by Thorsten Moenig and Nan Zhu, FSA.

Description: Summary of April 2020 Investment Section Town Hall and come additional commentary.

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.