Investment Section - The Redington Prize
The Redington Prize is a competition for the best paper published on an investment-related topic within a certain time-frame. The biennial prize promotes investment research and a cash prize is awarded to the author of the chosen paper. Anyone can nominate a paper for prize consideration. The prize is sponsored by the Investment Section and is named after F. M. Redington, the eminent British Actuary who coined the term "immunization" in a 1952 paper that was published in the Journal of the Institute of Actuaries .
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The Risk of Asset Default
TSA XLI (1989): 547-582
by Irwin T. Vanderhoof, Faye Albert, Aaron Tenenbein and Ralph Verni -
Multivariate Duration Analysis
TSA XLIII (1991): 335-376
by Robert R. Reitano -
Multivariate Stochastic Immunization
TSA XLV (1993): 425-461
by Robert R. Reitano -
Interest Rate Risk Management: Developments in Interest Rate Term Structure Modeling
NAAJ Vol. 1 No. 2 (April 1997)
by Andrew Ang and Michael Sherris -
Quasi-Monte Carlo Methods in Numerical Finance
Management Science (1996) and reprinted in Chapter 24 of Monte Carlo: Methodologies and Applications for Pricing and Risk Management (1998)
by Corwin Joy, Phelim Boyle and Ken Seng Tan -
Term Structure Models: A Perspective from the Long Rate
NAAJ, Vol. 3, No. 3 , (1999)
by Yong Yao. -
Market Value of Insurance Liabilities: Reconciling The Actuarial Appraisal and Option Pricing Methods
NAAJ, Vol. 4, No. 1 , (January 2000)
by Luke N. Girard, FSA. -
Reinventing Pension Actuarial Science
The Pension Forum, Volume 15, No. 1, (January 2003)
by Lawrence N. Bader and Jeremy Gold -
The Earnings Implications of Pension Expense: A Stochastic Analysis of Ten Canadian Companies
NAAJ, Vol.9 No. 4 (October 2005)
by Paul Joss -
The Intersection of Pensions and Enterprise Risk Management
Published in " Frontiers in Pension Finance "
by Jeremy Gold -
LDI in a Risk Factor Framework
Published in "The Journal of Investing" Summer 2012, Vol. 21, No. 2, pp. 105-116
By Daniel J Ransenberg Jr., FSA, Philip Hodges, PhD & Andy Hunt, FIA, CFA