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: In this article the author concludes that “terrorism may foster a sense of conservatism that we may now need in the marketplace. Now that policy may have to be changed. In the process, risk will become better understood, common sense can replace, to some extent, the irrational behavior or excessive risk taking of the past and we will all appreciate our financial situation much more, and won’t expose ourselves to unrealistic expectations as much Hopefully the actuarial profession can respond to the challenge, since we are the best qualified to quantify such risks in the marketplace.”

Description: Investment Fallacies: The Fallacy of Independence

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

Description: Investment Fallacies: The Myth of Time Diversification

Description: Investment Fallacies: Future Equity Returns

Description: Read the February 2017 issue of Risks and Rewards published by the Investment Section.

Description: This session will serve as a guide on how to implement a factor-based optimization in the Strategic Asset Allocation process. The session will review a factor-based investing approach and cover the top-down macroeconomic drivers of risk and return for various asset classes. We will then illustrate implementation of this investing approach and determination of an optimal Strategic Asset Allocation through a pension fund case study. There will be an interactive element to the session as the factor sensitivities of various portfolios can be examined in real-time.

Description: Investment Fallacies: Simulation of Long-Term Stock Returns: Fat-Tails and Mean Reversion

Description: Describes outlook for inflation, generally higher in the US and lower in Japan/Europe. Enumerates macroeconomic drivers of inflation, and comments on the pace of inflation-linked debt issuance globally.