Document library
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- Author:
- M A H Dempster; M Germano; E A Medova; M Villaverde
- Source:
- British Actuarial Journal [BAJ] (2003) 9: 137-216
Global asset liability management
GLOBAL ASSET LIABILITY MANAGEMENT By M. A. H. Dempster, M. Germano, E. A. Medova and M. Villaverde [Presented to the Institute of Actuaries, 25 November 2002] abstract Dynamic financial analysis (DFA) is a technique which ... read more >>
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- Author:
- G Heywood; J R Marsland; G M Morrison
- Source:
- British Actuarial Journal [BAJ] (2003) 9: 1061-1140
Practical risk management for equity portfolio managers
PRACTICAL RISK MANAGEMENT FOR EQUITY PORTFOLIO MANAGERS By G. C. Heywood, J. R. Marsland, and G. M. Morrison [Presented to the Institute of Actuaries, 28 April 2003] abstract The paper highlights the role of risk ... read more >>
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- Author:
- Martyn Dorey
- Source:
- Younger Members' Convention 2002
Risk budgeting (slides)
Investment management Investment Consulting Risk Budgeting Martyn Dorey 2nd December 2002 Aon Consulting Limited is regulated by the Financial Services Authority for investment business Risk Budgeting (RB) Agenda • What is risk budgeting? • Why do it? ... read more >>
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- Author:
- Mark Roberts
- Source:
- Younger Members' Convention 2002
An insider's guide to exchange traded funds (ETFs) (slides)
Investment management 1 By Mark Roberts, Head of iShares Product Strategy BARCLAYS GLOBAL INVESTORS Insider’s Guide to Exchange Traded Funds (ETFs) Younger Members Convention � What are Exchange Traded Funds (ETFs) � History of ETFs and iShares � ... read more >>
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- Author:
- Mark Teeger
- Source:
- Younger Members' Convention 2002
Stochastic asset models: a random walk into credit (slides)
Asset allocation; Stochastic models The Younger Members Convention 2-3 December 2002 The De Vere Daresbury Park Hotel, Warrington, Cheshire Stochastic Modelling: A Random Walk Into Credit Credit and Alternative Assets Mark Teeger, Morgan Stanley ... read more >>
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- Author:
- Martyn Dorey
- Source:
- Younger Members' Convention 2002
Risk budgeting
Investment management Investment Consulting Risk Budgeting Martyn Dorey 2nd December 2002 Aon Consulting Limited is regulated by the Financial Services Authority for investment business Risk Budgeting (RB) Agenda What is risk budgeting? Why do it? What is ... read more >>
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- Author:
- Mark Roberts
- Source:
- Younger Members' Convention 2002
An insider's guide to exchange traded funds (ETFs)
Investment management Insider’s Guide to Exchange Traded Funds (ETFs) Younger Members Convention By Mark Roberts, Head of iShares Product Strategy BARCLAYS GLOBAL INVESTORS What are Exchange Traded Funds (ETFs) History of ETFs and iShares Global ETF ... read more >>
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- Author:
- Nicola Paul
- Source:
- Younger Members' Convention 2002
Pensions on the front page (FRS17) (slides)
Accounting and auditing PENSIONS ON THE FRONT PAGE Nicola Paul Aon Consulting INTRODUCTION Is FRS17 the final nail in the coffin for Final Salary Pension Schemes? Publicity Member appreciation OVERVIEW Why FRS17 was introduced Method and ... read more >>
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- Author:
- Nicola Paul
- Source:
- Younger Members' Convention 2002
Pensions on the front page (FRS17) (handout)
Accounting and auditing PENSIONS ON THE FRONT PAGE Nicola Paul Aon Consulting INTRODUCTION • Is FRS17 the final nail in the coffin for Final Salary Pension Schemes? – Publicity – Member appreciation OVERVIEW • Why FRS17 was introduced • Method and ... read more >>
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- Author:
- M A H Dempster; M Germano; E A Medova; M Villaverde
- Source:
- Sessional Meeting paper
Global asset liability management
Dynamic financial analysis (DFA) is a technique which uses Monte Carlo simulation to investigate the evolution over time of financial models of funds, complex liabilities and entire firms. Although of increasing popularity, the drawback of DFA is the ... read more >>
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- Author:
- Andrew Smith; Martin White
- Source:
- General Insurance Convention 2002
Investment strategy [slides]
1 Investment Strategy Andrew Smith Martin White Acknowledgements to: • Roger Boulton • Michael Eabry • Dix Roberts • Alpesh Shah • Gary Wells • Brian White Workshop Overview • Current strategies: rationale • Capital structure to maximise value • ... read more >>
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- Author:
- Andrew Smith
- Source:
- General Insurance Convention 2002
Dependent tails
Both investment and insurance markets can show phenomena known as tail dependency. Two lines of business can appear to operate independently most of the time, but in adversity all lines deteriorate together. Even if we can estimate well the loss ratio for ... read more >>
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- Author:
- Jon Exley; Andrew Smith
- Source:
- Finance and Investment Conference 2002
Estimating the relative performance of equities and bonds over the next 25 years
This paper estimates the risk that equities will under-perform bonds over the next 25 years. Reasonable estimates are that, over the next 25 years: l) The probability that equity will under-perform bonds is 23.0%. 2) The cost of guaranteeing an equity fund ... read more >>
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- Author:
- ALM Working Party; Andrew Slater (Chairman)
- Source:
- Finance and Investment Conference 2002
Monitoring the effectiveness of asset allocation decisions
In this paper we describe the main approaches to asset allocation decisions in the life and pension industries, discuss the issues regarding measuring the effectiveness of asset allocation advice, and suggest possible ways in which the effectiveness of ... read more >>
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- Author:
- Jon Exley; Andrew Smith
- Source:
- Finance and Investment Conference 2002
Modelling corporate bonds: considerations for stochastic modelling
Many of the newly issued corporate bonds are finding their way into insurance and pension fund asset portfolios. Modelling these bonds is tricky. Historic return distributions are well behaved and the observed credit spreads exceed all estimates of ... read more >>
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- Author:
- Jon Exley; Andrew Smith; Tom Wright
- Source:
- Finance and Investment Conference 2002
Mean reversion and market predictability
This paper examines some arguments for the predictability of share price and currency movements. We examine data from 1976-2001, and reproduce some classical regression results. On further investigation, we find biases in the classical estimation ... read more >>
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- Author:
- Bruce Porteous
- Source:
- Insurance Risk, June 2002
Managing post-convergence risks in financial conglomerates
As financial services firms converge, the range of products they offer naturally increases. The next task is to choose the best methods to most effectively manage risk and economic capital. This article, prepared under the auspices of the UK actuarial ... read more >>
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- Author:
- Tim Congdon
- Source:
- Ageing Population Conference 2002
Depopulation, employment and economic growth in Europe in the 21st century (slides)
Long-run equity returns 1. In the long run total return on equities approximates to initial dividend yield plus growth rate of dividends and growth rate of dividends is dominated by growth rate of national output. Economic growth is fundamental to the ... read more >>
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- Author:
- Ros Altman
- Source:
- Ageing Population Conference 2002
Encouraging life time savings (slides)
Encouraging Savings in the UK A Lifetime Savings Framework The ‘LifeSaver’ 21st January 2002 Dr. Ros Altmann ros.altmann@genesys.net Outline UK savings situation Barriers to saving Government savings policy Tax relief and fairer incentives Framework ... read more >>
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- Author:
- David Forfar
Utility theory. Glossary of terms
GLOSSARY OF TERMS UTILITY THEORY Prepared by David Forfar,MA, FFA with the assistance of David Raymont, Librarian of Institute of Actuaries, London. Opportunity set :- the opportunities or options open to the investor. Indifference curves :- ... read more >>