Description: This session from the 2003 SOA Orlando Meeting provides an overview of how insurers, pension plans and other institutional investors measure and report manager performance, the benchmarks used and capital at risk CAR. From the Record of the Society of Actuaries, Volume 29, No. 3.

Description: The goal of this paper is to examine similarities between value investing and enterprise risk management (ERM) methods.

Description: Presents results of 2003-2012 cohorts of insurance company private placement bonds. Finds private bonds show a 15bp annual advantage relative to public bonds, due to lower loss severity.

Description: Uses Blackrock's macroeconomic and style factors in asset allocation examples for an insurance portfolio and a pension portfolio.

Description: This session from the 1995 SOA Boston Meeting examines the use of derivatives to help optimize the inurance company portfolios and using pension theory in developing optimized portfolios in an insurance company environment. From the Record of the Society of Actuaries, Vol. 21, No.4b.

Description: This paper is concerned with the evaluation of the common portfolio management strategy which consists of delegating to different managers portions of the assets to be invested. This practice is shown to be close to optimal under the realistic assumption that the private signals of the financial experts are positively correlated. This is accomplished by comparing this multi-manager approach to an optimal investment policy derived under full information, within the context of a standard normal returns/exponential utility market timing model.

Description: ETFs have seen explosive growth in the past decade. Due to its flexibility and embedded risk management features, insurance companies and pension funds, are showing increasing interest in this asset class. This session covers an introduction to ETFs and the risk/rewards for insurance companies and pension funds as an additional asset class.

Description: Chairperson’s column discussing the state of the world today and how that influences investment strategies and describes to seminars the section sponsored to keep members apprised of changes.

Description: The author, head of Alternatives Investment Specialists at Fortis Investments, recently presented a research paper on the potential benefits and possible pitfalls of investing in illiquid assets. This newsletter provides a brief summary of that paper. The full paper is available upon request.

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?