Description: This article discusses the recent low interest rate environment and the asset-liability management challenges it presents for insurers. With respect to products such as deferred annuities, universal life and settlement options, it introduces the more robust duration measure called effective duration, which is the product of option-adjusted analysis OAA.

Description: In it’s insurance capital model, Standard & Poor’s Ratings Services has established criteria to adopt the NAIC’s stochastic approach to variable annuity risk. This approach, which replaces existing static charges, better reflects the products’ risk.

Description: In insurance companies and pension plans currency risk arises when a company has future obligations in one currency and investments in another currency. The question that is often asked is whether this currency risk should hedged or not.

Description: Feature article discussing the use of stochastic volatility models in the pricing of investments and options.

Description: Feature article about: one of the significant contributions of modern academic finance has been to introduce the concept of stochastic investment forecasting

Description: Describes progress of the 134 portfolios entered in the 2016 contest. Categories are: Create Alpha, Accumulation, and Drawdown.

Description: Argues renewable energy will displace fossil fuels, leading to investment opportunities and risks

Description: Case study evaluating CME Group US Treasury futures and options as a key rate duration (KRD) adjustment tool.

Description: This article takes a look at how defined benefit (DB) pension plan financials ended the third quarter of 2023 on a solid footing, improving the capacity to take meaningful de-risking actions; as DB plans look to de-risk at reasonable costs, they may find it beneficial to consider a broad range of investment options; and completing a core bond allocation with private credit and income-oriented alternative strategies can help achieve important savings over other frequently pursued de-risking approaches, without materially increasing the funded status volatility or downside risk

Description: This is the second part of a 2 part series on Real options analysis (ROA). This article looks into the limitations of using financial option theory when doing real options analysis with projects that are long-dated and uncertain, such as: 1. First-degree homogeneity, 2. Uncertainty must derive from Brownian motion, and 3. Risk neutrality.