Description: Insurance companies are not immune to liquidity risks.

Description: This research report explores investment year methodology to set renewal credited rates. There is an accompanying Excel workbook created as a teaching aide.

Description: An update on the Investment Section's asset allocation contest

Description: Provides some guidance on how to set a company's investment benchmark.

Description: The Federal funds rate increased by 4.25% in 2022 with further increases in 2023, which have already resulted in a liquidity crisis for a few banks. As the rapid increase of the interest rates pushed the new money rates above the yields of many life insurers’ investment portfolios, insurance companies are facing a dilemma between compressed margins from peer pressure and the concern with liquidity shortfalls and realized capital losses should mass surrenders happen. This paper discussed main emerging risks under rising interest rate environment, and several ways to mitigate these risks.

Description: The article compares the return characteristics, return, volatility, and correlation, to that of other possible selections as a DC safe option. It concludes that stable value is pareto superior to all other safe option candidates, and is therefore the optimal safe option.

Description: Diverse Risks 2016 Call for Essays

Description: Investment Fallacies: The Best Model Doesn't Win

Description: This research report explores investment year methodology to set renewal credited rates. There is an accompanying Excel workbook created as a teaching aide.

Description: In a stochastic world consideration of only a few deterministic scenarios can potentially be dangerous. The aim of the present research is to study the computation of the cost of mismatch using stochastic interest rate models instead of scenario testing. In this paper, two commonly used Stochastic interest rate models are considered: the one introduced by Vasicek 1977 and the one proposed by Cox, Ingersoll and Ross 1985.