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: 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: An experience study of individual payout annuities covering calendar years 2009 through 2013.

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: Report on follow-up survey conducted in Jul/Aug 2017, which covered accelerated underwriting and predictive analytics.

Description: This e-book contains topical essays that express the opinions and thoughts of a number of authors on the subject. It should be understood that the thoughts and insights shared herein are the opinion of the authors and not necessarily those of the Society of Actuaries, the Casualty Actuarial Society, the Canadian Institute of Actuaries, or corresponding employers of the essayists.

Description: The paper o ers a simple framework for ranking the common reinsurance struc- tures in practice with the theory of stochastic orders. The basic idea is to slice the space of reinsurance structures into groups by expected loss cost to facilitate the comparisons within the group and between groups. Given the standard risk aversion assumption in economics, a spectrum of reinsurance structures with the same expected loss cost can be compared analytically with one another and sequenced based on their risk coverages under the convex order. The paper then expands the dimension of the comparison to groups of reinsurance structures with di erent expected loss costs, which can be ranked under the increasing convex order and the usual stochastic order. As such, the paper maps out the ordering for the entire space of reinsurance structures and presents it in a ma- trix format for quick reference. The implication of this stochastic ordering to reinsurance pricing is also investigated.