Description: This abstract describes a paper that looks at ways of pricing options under the enhanced diffusion Model.

Description: This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes the depth of default into consideration.

Description: A presentation that summarizes and analyzes the risks catastrophe bond investors are exposed to and have to be aware of.

Description: This article series highlights the growing impact of climate change on health, property, and financial institutions, emphasizing the need for actuaries and risk analysts to evaluate and adapt their practices to manage evolving climate-related risks.

Description: The article offers a more nuanced approach to caregiving as the population ages, suggesting our current focus on planning leaves out most people. Instead find solutions for non-planners!

Description: The COVID-19 pandemic infection has greatly affected the economy, resulting in volatile market conditions. Because market conditions greatly impact the value of insurance company’s assets and liabilities, the fourth survey in this series focused on best practices around asset and liability management (ALM). The survey was directed at actuaries, investment managers and risk managers directly involved in assessing the impact of recent events on ALM. Responses to the survey were collected between April 22-28, 2020. Thirty-two companies responded to the survey.

Description: This article discusses credit default options, the applications, pricing and hedging default risk.

Description: This article aimed to make Liability Driven Investing LDI more accessible by providing a simple definition and by showing how plans of different sizes and circumstances may adopt an appropriate LDI approach.

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: Feature article discussing the 2009 price action - periods of extreme distress and incredible euphoria across the global financial markets. The reversals experienced from asset class lows to their highs have not been seen in decades.