Description: An overview of the articles in the August 2012 issue of Risk Management and a list of winners of the most recent call for papers, “Risk Metrics for Decision Making and ORSA.”

Description: Constant Proportion Portfolio Insurance (CPPI) performance is assessed on realistic assumptions and dynamic strategies to mitigate the so-called ”gap risk”.

Description: This paper illustrates the application of stochastic control methods in managing the risk associated with an insurance business. We present the Hamilton-Jacobi-Bellman HJB equation and demonstrate its use in finding the optimal investment strategy based on some given criteria. Here we consider an insurance business with a fixed amount available for investment in a portfolio consisting of one non-risky asset and one risky asset. The object of the resulting control problem is to determine the investment strategy that minimizes infinite time ruin probability. The existence of a solution to the resulting HJB equation is shown. The relevant verification lemma is not presented in this paper and a numerical algorithm is given instead. Examples applied to exponential claims are also presented.

Description: Investment Fallacies: Extended periods of robust macroeconomic growth are healthy for investing.

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: This report is an update to a 2014 paper related to changes in the continually evolving pension risk transfer landscape. This updated report seeks to discuss pension risk transfer in depth and identify key de-risking actions, alternatives and triggers that impact pension risk transfer strategies.

Description: This session will provide an overview of recent developments from the perspective of an insurance company and an auditor.

Description: What is the impact of aging populations on economic growth and interest rates?” “Are low interest rates and inflation a short-term phenomenon?” “How will returns from different asset classes be impacted by future demographic trends?” “What are the differences between different countries and regions around the world?”

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: This paper explores Indian futures and options market as a market for hedging by equity holders. The authors have tried to examine optimal hedge ratio and hedge efficiency, and to provide empirical evidence from India.