Document library
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- Author:
- R C Urwin; S J Breban; T M Hodgson; A Hunt
- Source:
- British Actuarial Journal [BAJ] (2001) 7: 319-364
Risk budgeting in pension investment
RISK BUDGETING IN PENSION INVESTMENT By R. C. Urwin, S. J. Breban, T. M. Hodgson and A. Hunt [Presented to the Faculty of Actuaries, 19 February 2001] abstract This paper extends the concept of investment efficiency from ... read more >>
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- Author:
- Peter Allen
- Source:
- General Insurance Convention 2000
ART [Alternative risk transfer]
Alternative Risk Transfer 27 October 2000 Peter Allen Head of Alternative Risk Transfer Lloyd’s What is ART? ART is an umbrella term for a range of products, other than conventional annual insurance or reinsurance, which handle financial risk. ... read more >>
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- Author:
- Stephen R Walker
- Source:
- General Insurance Convention 2000
Emerging oportunities in the credit derivative market [summary only]
2000 GENERAL INSURANCE CONVENTION 25-28 OCTOBER EMERGING OPPORTUNITIES IN THE CREDIT DERIVATIVE MARKET Presenter Stephen Walker 175 Workshop Emerging Opportunities in the Credit Derivative Market, (A,W) Stephen Walker - GIRO 2000 Biramingham ... read more >>
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- Author:
- John Ryan
- Source:
- General Insurance Convention 2000
Financial Condition Working Party report
Financial Condition Working Party 2000 General Insurance Convention Financial Condition Working Party Members Philip Archer-Lock Andrzej Czernuszewicz Nigel Gillott Peter Hinton Shailesh Malde David Paul John Ryan Nylesh Shah We would like more company ... read more >>
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- Author:
- Richard Rodriguez; Graham Fulcher; Richard Shaw; Richard Bland; Richard Kelsey; Sean Laird
- Source:
- General Insurance Convention 2000
Shareholder value measures in non-life insurance
Shareholder Value Measures in Non-Life Insurance Richard Rodriguez Richard Bland Graham Fulcher Richard Kelsey Richard Shaw Sean Laird Format of the Presentation Introduction to shareholder value Shareholder Value case study Analysis of Shareholder ... read more >>
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- Author:
- Neil Record
- Source:
- Investment Conference 2000
Currency management - Do hedged international benchmarks make sense if sterling is secularly weak?
Record Treasury Management Ltd 1 RECORD TREASURY MANAGEMENT Currency Management - Do hedged international benchmarks make sense if Sterling is secularly weak ? Neil Record 27 June 2000 Record Treasury Management Ltd 2 Defining currency risk Unhedged ... read more >>
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- Author:
- Paul Thornton
- Source:
- Investment Conference 2000
Actuaries and Investment (Slides)
Actuaries and Investment Paul Thornton President, Institute of Actuaries Investment Conference 26 June 2000 Vision and Values Actuaries in 2020 will work in a much wider range of businesses than at present. The actuarial training will be highly ... read more >>
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- Author:
- David Kingston
- Source:
- Investment Conference 2000
Investment strategy of the UK actuarial profession (slides)
Investment Strategy of the UK Actuarial Profession David Kingston Investment Strategy of the UK Actuarial Profession Strategy review, Summer 1999 Conclusions Without a major reemphasis by the actuarial profession on the management of assets we shall: ... read more >>
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- Author:
- Jeroen van Bezooyen; Shyam Mehta
- Source:
- Investment Conference 2000
Interest rate sensitive insurance products (slides)
Finance for Actuaries Interest Rate Sensitive Insurance Products 2000 Investment Conference Jeroen van Bezooyen Shyam Mehta Finance for Actuaries Finance for Actuaries * Agenda Product Description Valuation Methodology Interest Rate Model Example Hedging ... read more >>
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- Author:
- Applications of Style Working Party\; Malcolm Kemp\; Mark Richardson\; Colin Wilson
- Source:
- Investment Conference 2000
Investment manager style analysis
This paper describes investment manager "style" analysis in the UK context. It considers methods for identifying what a manager's style actually is, whether UK managers typically exhibit strong style differentiation, and whether different styles exhibit ... read more >>
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- Author:
- Quantitative Techniques Working Party; Dan Jelicic; Mike Brooks; Steve Holt; Simon Jagger; Malcolm Kemp; Paul Lavin; Colin Wilson
- Source:
- Investment Conference 2000
Demystifying active quant
This paper aims to remove certain misconceptions that hinder the broader acceptance and understanding of quant techniques. There is no universally accepted definition of what constitutes active quant. The paper focuses on managing equity portfolios and ... read more >>
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- Author:
- Joanna Munro\; Dan Jelicic
- Source:
- Investment Conference 2000
The relative importance of industry and country influences
The relative importance of industry and country influences on stock returns has long been a subject of debate, despite consistent anecdotal evidence in support of increasing global integration. In this paper we summarise the literature on the subject and ... read more >>
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- Author:
- Dan Jelicic\; Joanna Munro
- Source:
- Investment Conference 2000
Market neutral investing
This paper aims to introduce the concept of market-neutral investing and discusses the similarities as well as differences between the market neutral investing style and the traditional long only investment style. We demonstrate the additional flexibility ... read more >>
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- Author:
- Applications of Style Working Party Malcolm Kemp Mark Richardson Colin Wilson
- Source:
- Investment Conference 2000
Investment manager style analysis
This paper describes investment manager "style" analysis in the UK context. It considers methods for identifying what a manager's style actually is, whether UK managers typically exhibit strong style differentiation, and whether different styles exhibit ... read more >>
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- Author:
- Andrew Smith
- Source:
- Investment Conference 2000
Information structures
1 INFORMATION STRUCTURES Prepared for the 2000 Investment Conference Andrew Smith of the Applications of Financial Theory Working Party andrew.d.smith@bacon-woodrow.com Abstract: This paper briefly ... read more >>
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- Author:
- Patrick Lee; David Wilkie
- Source:
- Investment Conference 2000
A comparison of stochastic asset models
1 A COMPARISON OF STOCHASTIC ASSET MODELS P J LEE AND A D WILKIE, UNITED KINGDOM ABSTRACT A number of actuarial models designed for simulating future economic and investment conditions have been published. We discuss eight such models developed in ... read more >>
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- Author:
- Andrew Smith
- Source:
- Investment Conference 2000
Introduction to convenience yields
1 INTRODUCTION TO CONVENIENCE YIELDS Prepared for the 2000 Investment Conference Andrew Smith of the Applications of Financial Theory Working Party Abstract This paper seeks to explain the concept of convenience ... read more >>
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- Author:
- Graeme Charters; Hugh Cutler; Peter Rains; Bobby Riddaway
- Source:
- Investment Conference 2000
Can retail investors exploit techniques used by investment consultants to financial institutions in the selection of investment managers?
1 INVESTMENT MANAGER SELECTION Working Party: Graeme Charters, Hugh Cutler, Peter Rains, Bobby Riddaway Can retail investors exploit techniques used by investment consultants to financial institutions in the selection of investment managers? “ A Mission ... read more >>
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- Author:
- Emmanuel Acar
- Source:
- Investment Conference 2000
Incentive fees, rewards for risk or return?
1 Incentive Fees, Rewards for Risk or Return ? Emmanuel Acar Investment Conference, Faculty and Institute of Actuaries, Hatfield Heath, June 2000 Abstract This paper attempts to quantify how management fees and performance fees could be setup ... read more >>
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- Author:
- Andrew Smith
- Source:
- Investment Conference 2000
Investment strategy and valuation of with-profits products
This brief note outlines an option pricing approach to valuing stakes in a with-profits fund. We depart from previous work in this area by not making direct use of Black and Scholes formula. Instead of trying to approximate the benefit structure with the ... read more >>