Description: Financial illiteracy has been identified as a major obstacle to effective retirement planning for Americans. Anna Rappaport’s article provides actuaries with helpful ideas about ways to make the public more aware of the increasing need for financial literacy and some of the resources currently available to help individuals.

Description: Catastrophic insurance futures are being traded, albeit thinly, at the Chicago Board of Trade. This paper examines the broad context for trading insurance risk. The motivation for trading insurance risks, specifically to increase the capacity to cover risk, is discussed. From Securitization of Insurance Risk: The 1995 Bowles Symposium, M-FI97-1.

Description: This presentation considers the pricing of European derivatives in a Black-Scholes model with stochastic volatility. The presentation shows how Parseval’s theorem may be used to express those prices as Fourier integrals. This is a significant improvement over Monte Carlo simulation in many cases. The main ingredient in this presentation's method is the Laplace transform of the ordinary [constant volatility] price of a put or call in the Black-Scholes model, where the transform is taken with respect to maturity [T]. The presentation derives these formulas and then applies them to the case where volatility is modelled as a Markov chain in continuous time, the so-called 'Markov regime switching model'. This model has been used previously in stochastic volatility modelling, but mostly with only N=2 states. The presentation shows how to use N=3 states without difficulty, and how larger number of states can be handled. Numerical illustrations are given, including the volatility smile in a three-state model.

Description: This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes the depth of default into consideration.

Description: This presentation revisits Tilley’s approach to approximating the value of a derivative through simulation and compares it to the Least Squares Monte Carlo Method developed by Longstaff and Schwartz.

Description: This presentation presents a minimal model that allows for a fine assessment of required own funds.

Description: Read the May 2019 edition of NewsDirect published by the Marketing and Distribution Section of the Society of Actuaries.

Description: The article is based on a study of root causes in insurer insolvencies and impairments, with the focus on potential risk factors and prevention measures.

Description: This abstract describes a paper that considers an optimal investment and risk control problem for an insurer under the mean-variance criterion.

Description: This article discusses the details of what happened in equity repo in 2013.