Description: Introduction to option pricing, with special attention to issues in applying these tools to price equity-linked insurance products. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.

Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: Feature article describing how due to the recent financial crisis, fund trustees, plan sponsors, and administrators are reconsidering traditional asset-allocation strategies.

Description: Proposes alternatives for estimating the long term interest returns in Indexed Universal Life products. Defends expected return of 20%-45% on hedge budgets.

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: Explains the method used to calculate Liquidity Cost Score and Price Impact Score. Describes the rationale for and applications of these methods.

Description: The author provides an overview, from a banking perspective, of Value at Risk VAR and its use as a risk management tool. This article originally appeared in the August 1997 issue of Financial Engineering News and is reprinted with permission.

Description: The author summarizes the content of a seminar entitled “Integrated Approaches to Risk Management in the Financial Services Industry,” including a description of the papers presented.

Description: Proposes a benchmark consisting of TIPs and deferred income annuities for retirement asset allocation decisions.

Description: The article summarizes a session on asset validation; the featured speakers were an investment manager, a company investment actuary, and a consultant.