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

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

Description: Comments on how US insurers have compensated for low interest rates by investing in a range of less liquid and lower quality assets.

Description: Explains the more granular breakout of bond RBC factors proposed to the NAIC. Evaluates alternative asset allocation choices for insurers under the new rules.

Description: Update on accounting and capital/RBC issues subsequent to tax reform.

Description: This is a presentation from 39th Actuarial Research Conference, 8/5-7/2004, University of Iowa in Iowa City, Iowa. The aim of this paper is to consider economic capital for a multi-line insurer and the fair allocation to lines of business. In addition, this paper also allows for a model with assets, liabilities and insolvency exchange option fairly priced, complete markets and no market frictions.

Description: Abstract: A model for analyzing the probability and severity of default of sovereign entities and banks. The methodology analyzes the risks inherent in the investment of debt of sovereign governments and large financial institutions side-by-side, taking into consideration macroeconomic interactions among the sovereign fiscal and monetary authorities, the financial institutions, and the real economy. The signature aspect of the methodology is that it adapts a Merton-style default model to use explicit measures of sovereign assets and asset volatility.

Description: Investment Fallacies: The Fallacy of the Fed Model

Description: Invest Fallacies: Active management overall performs different than passive management

Description: Investment Fallacies: The Fallacy of Independence