Description: A follow-up to the first Preferred Class Structure Report, which contains the additional analysis of areas identified while preparing the first report of preferred class structure data from statistical agent submissions.

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

Description: Statistics about entertainment industry pension plans.

Description: Statistics about funded status of the National Basketball Association players pension plan.

Description: This article discusses a number of product variations seen in the market with respect to Universal Life products with secondary death benefit guarantees, factors leading to those designs and considerations regarding the adequacy of reserves that emerge under AXXX formulas. This article also identifies a series of factors that authors believe will make it difficult to quickly and equitably resolve these issues through formula-based changes.

Description: Embedded Risk in Settlement Options on Older Life and Annuity Contracts

Description: This paper discusses some of the models used to quantify risk, note some areas where improvements in standard methods are needed, and in some cases suggest alternative approaches for risks in Property and Casualty Insurance and Life Insurance.

Description: Risk management theory prescribes a few legitimate reasons for management to hedge corporate revenues and reduce income volatility. In this paper we will use the oil tanker industry to illustrate some of these strategic considerations and how management can account for them in their decisions regarding whether and how much to hedge. Further work is needed to incorporate these considerations into a broader theoretical framework. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: Regularization, by means of trading restrictions, is an effective way to obtain sparse replicating portfolios. By including only the most relevant replicating instruments, the resulting portfolio is more efficient computationally, easier to interpret, and better able to approximate the liability on an out-of-sample basis. The instruments selected depend largely on their respective trading costs. This paper evaluates a number of alternative methods for specifying trading costs. We find that trading costs based on simple statistics of the instrument and liability cash flows are an effective choice in practice. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This paper addresses specific details of measurement principles and practice that the actuary should consider when planning to conduct or review a study of care management interventions. Three major topics are covered: Measurement Principles, Study Design Issues, and Risk Factors. Paper 2 of an 8 paper series on 'An Introduction to Care Management Interventions and Their Implications for Actuaries'