Description: This articles explains why many corporations are making massive reductions in risk related to their pension plans despite the fact that this means locking in costs at a time of historically low interest rates. This should help actuaries working with pension plans or pension investments advise clients on investment strategies and other approaches to de-risking.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: E-book contains 16 topical essays that express the opinions and thoughts of a number of authors on the subject of Investment Fallacies.

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

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

Description: This paper investigates how the concepts of asset-liability matching can be used to shape investment strategy. From Transactions of Society of Actuaries 1980, Vol. 32.

Description: This paper presents enhancements to the classical cash-flow matching approach to developing fixed income portfolio investment strategy by allowing cash carry-forward and borrowing from future surpluses.

Description: Consensus of viewpoints from a group discussion on economic forecasting at the March meeting of the Canadian Institute of Actuaries.

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.