Description: This abstract describes a paper that derives a simple explicit solution for an efficient portfolio with positive weights.

Description: In this paper, the authors assess the value of a GSA-type annuity within a retiree's portfolio.

Description: This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of derivatives. Quasi-Monte Carlo methods use deterministic sequences that are quasi-random sequences that result in better convergence and deterministic error bounds.

Description: This abstract describes a paper that proposes the use of the Co Conditional Tail Expectation 'CoCTE' to measure systemic risk and endogenizes the pro-cyclicality of capital requirements.

Description: This paper examines the so called 1/n investment puzzle which has been observed in defined contribution plans whereby some participants divide their contributions equally among the available asset classes. It has been argued that this is a very naive strategy since it contradicts the fundamental tenets of modern portfolio theory. We use simple arguments to show that this behavior is perhaps less naive than it at first appears. We show that when we account for estimation error the 1/n rule has some advantages in terms of robustness and we demonstrate this with numerical experiments. From The Actuarial Research Council, Volume 38, No. 1.

Description: Characteristics of Asian Indexed Executive Options. Presented at August 2011 Actuarial Research Conference.

Description: In this paper, the authors assess the value of a GSA-type annuity within a retiree's portfolio.