Description: Investment Fallacies: Extended periods of robust macroeconomic growth are healthy for investing.

Description: The paper o ers a simple framework for ranking the common reinsurance struc- tures in practice with the theory of stochastic orders. The basic idea is to slice the space of reinsurance structures into groups by expected loss cost to facilitate the comparisons within the group and between groups. Given the standard risk aversion assumption in economics, a spectrum of reinsurance structures with the same expected loss cost can be compared analytically with one another and sequenced based on their risk coverages under the convex order. The paper then expands the dimension of the comparison to groups of reinsurance structures with di erent expected loss costs, which can be ranked under the increasing convex order and the usual stochastic order. As such, the paper maps out the ordering for the entire space of reinsurance structures and presents it in a ma- trix format for quick reference. The implication

Description: Investment Fallacies: The Best Model Doesn't Win

Description: This paper investigates the use of models of dependent mortality for determining annuity values. We discuss a broad class of parametric models using a bivariate survivorship function called a copula. Using data from a large insurance company to illustrate our methods, we calculate maximum likelihood estimates to calibrate the rnodel.

Description: Investment Fallacies: Mathematical modeling of social phenomena

Description: Investment Fallacies: On the Validity of Common Portfolio Return Assumptions

Description: Investment Fallacies: Gambler’s Fallacy: Probability of Reversion

Description: Investment Fallacies: The Fallacy of Independence

Description: Investment Fallacies: A real-world approach to Value at Risk

Description: This paper discusses the actuarial risk measures and uses a variety of estimation techniques such as nonparametric approach, parametric methods and robust procedures. From 39th Actuarial Research Conference, Iowa City, Iowa, August 5-7, 2004.