Description: This article lays out a generic framework on how to hedge a European call option on a non-dividend paying stock using futures in a stochastic interest rate environment.

Description: This abstract describes a presentation that introduces new methods such as Experimental Mathematics, Genetic Algorithms, Predictive Modeling, Deterministic Chaos, Fractal Geometry, Behavioral Economics, Cellular Automata and other topics in Complexity Sciences.

Description: Summary of April 2020 Investment Section Town Hall and come additional commentary.

Description: Institutional investors such as pension plans and insurance companies have enjoyed strong equity returns for a length of time with few historical precedents. Nearly a decade after the end of the financial crisis, strategies to provide downside protection remain expensive and the performance of traditional risk-managed funds has disappointed investors.

Description: The management of the investments of an insurance enterprise has undergone a considerable evolution since the pioneering work of Redington in the mid 20th century. Best practices have evolved to incorporate ever more complex insurance liabilities, expanding investment asset classes and global market opportunities. Strategic asset allocation (SAA), liability driven investing, and other robust optimization approaches form the core of the professional management of insurance company investments.

Description: This paper gives two explicit formulae that estimate the yield of a portfolio of fixed income securities that are not interest-sensitive. The yield is explicitly estimated in terms of the discounting interest rates of the securities that comprise the portfolio. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: 2011 SOA ERM Symposium, Chicago. This paper addresses the contradiction between the financial theory of hedging and management practice. It also examines how consistent hedging policy is incompatible with management’s competencies and role in the company, requiring management to form strong future price expectations. Finally, this paper describes a process that management actually follows when making decisions about hedging and stress the role of the expectations discrepancy in this process.

Description: This article will examine four approaches under two different methods (eight in total) used to combat the non-additivity of key rates and will compare them under a number of rate environments.

Description: Discusses the optimal consumption strategy in the presence of default risk. It highlights the Regime-Switching model, which indicates that the market situation may change and the distribution of an asset's return will change over time.

Description: This paper investigates the implications of using the Basel II motivated Advanced Measurement Approaches as a method to assess operational risk capital charges for banks and insurance companies with regard to U.S. regulations. The AMA developed in the paper uses actuarial loss models complemented by the extreme value theory to determine the empirical probability distribution function of the aggregated capital charges in the context of various classes of copulas. From Actuarial Research Clearing House, 2006.