| Gery Barry |
Credit
risk research: private placement bonds and commercial mortgage
loans |
| Jean-Philippe Baur |
Drames
conjoncturel et structurel des caisses d'epargne a vocation
immobiliere aux Etats-Unis: l'analyse des risques |
| Dominique Larue |
L'analyse
du risque de taux du systeme bancaire francais |
| Jacques Préfontaine and André Thibeault |
Capitalisation
bancaire, risque de solvabilité et croissance soutenable |
| David I W Reynolds, Christopher M George and Nicholas J Greenwood |
Capital
adequacy for banks and other credit institutions |
| Angeles Gil Luezas and Vincente Meneu Ferrer |
A
note on the variables used to describe the term structure
of interest rates |
| Robert R Reitano |
Nonparallel
yield curve shifts and durational leverage |
| James A Tilley and Mark Mueller |
Managing
interest rate risk for long liabilities |
| Pierre Valentin |
Un
modêle d'évaluation des obligations à taux
variable à partir de la courbe des taux zero-coupons
des emprunts d'État |
| Cesar Villazon |
Bond
duration, yield to maturity and bifurcation analysis |
| Jean-François Boulier and J Sikorav |
Yield
curve fluctuations: does French market fit the Ho and Lee's
model |
| Ieuan G Morgan and Edwin H Neave |
A
mean reverting process for pricing treasury bills and futures
contracts |
| Cees J Prins |
Interest
rate models for some financial markets: scenarios and forecasting |
| Colin M. Ramsay |
On
maximising the internal rate of return for zero-coupon bonds |
| J A Soares da Fonseca and Nicolas Zamfirescu |
Une
approche stochastique mixte du risque des obligations a coupon
variable dont le taux de reference est administre |
| Bert Korevaar and Gert Verheij |
Quantifying
the callable risk of a bond portfolio: a binomial approach |
| Jean-Paul
Challet |
Adequation actif-passif en assurance vie capitalisation |
| Karen
Fireman |
Asset liability management: how matched is this company? |
| Prakesh
A Shimpi |
Realized return optimization: a targeted total return approach
to funding liabilities |
| Meye
(Meije) Smink |
Risk measurement for asset liability matching: a simulation
approach to single premium deferred annuities |
| Jean-Claude
Augros |
Evaluation des bons de souscription d'actions ordinaires
et des bons de souscription d'actions remboursables |
| Charles
Kennedy and Paul Kennedy |
The assessment of warrants and convertibles |
| Harold
J Brownle and Richard Daskais |
Pension plans: choosing critical assumptions |
| Sergio
M Coppini |
Consequences of the variations in the rate of return on the
financial equilibrium of a pension fund |
| Steven
Haberman |
Pension funding methods and autoregressive interest rate
models |
| Jihad
S Nader |
Corporate pension plan design in a mean-variance framework |
| John
M Bragg |
The real interest rate |
| Martin
J Hall |
Required rate of return for life insurers |
| Eugenio
Prieto Perez |
Technical rate of interest and risks to the life insurer |
| Naoki
Matsuyama |
Unrealized gains in stocks from the viewpoint of investment
risk management |
| Godfrey
Perrott |
A approach to asset market risk when regulatory valuation
is based on book value |
| Arnaud
Clement Grandcourt |
Portfolio insurance |
| Patrizia
Stucchi |
Some reflections about a simplified algorithm of portfolio
selection |
| Bernard
Bricheux, Claire Guillaumot, Taoufik Kharroubi and Jaques
Werren |
Tests
d'efficience du marché des options notionnel
du MATIF |
| Claudio
De Ferra, Giampaolo Viseri and Susanna Bosio |
An actuarial approach to option pricing |
| Alan
M Judes |
Executive share options |
| Andrew
D Smith |
Option pricing formulae |
| Robert
D Arnott, Peter L Bernstein and Alan V Hall |
Defining and managing pension fund risk |
| Philip
G Scott |
Strategic asset allocation for pension funds |
| Edward
J Levay |
The financial actuary and the European consumer |
| Jihad
S Nader |
Futures market opportunities for a 'homemade' solution to
the pension indexing controversy in Canada: an exploratory
analysis |
| John
H Rowell |
Retirement financial risk management: a US perspective |
| Pierre
Devolder |
Actualization process and financial risk |
| Werner
Hürlimann |
A stochastic dynamic valuation model for investment risk |
| Thomas
J Kozik |
Another proof that the proper rate for discounting insurance
loss reserves is less than the risk free rate |
| Geraldine
D Kaye |
Risk factors affecting the level of expenses in UK life offices |
| Michael
Bayard Smith |
The need for expense and efficiency measures for financial
institutions |
| E
Demerle and L Bouaziz |
Approche globale dynamique du risque de taux d'une compagnie
d'assurance-vie |
| Tapen
Sinha |
Relation between spot and futures: an analysis of Nikkei
index and Nikkei futures during the October 1987 crash |
| Matthew
S Easley and Stephen A J Sedlak |
Risk based pricing of life assurance products |
| Michael
Gendron and Denis Moffet |
On the coexistence of mutualist and capitalist shareholders
in insurance companies: ownership considerations in a new legal
structure of life insurance companies |
| Robert S Clarkson |
A non-linear stochastic model for inflation |
| Paul Doran |
Search
for empirical evidence of strange attractors in historic
gold price data |
| N E Maddocks, Mary J Nisbet, R M Nisbet and S P Blythe |
Determinism
and chaos in long financial series |
| Cees L Dert and Alexander H G Rinnooy Kan |
Fixed
income asset liability management |
| Peter E B Ford |
Cashflow
matching using modified linear programming |
| Robert Meneu Gaya and Elieseo Navarro Arribas |
Immunization
as a maximin strategy: the effects of transaction costs and
imperfect divisibility of financial assets |
| Nicholas Day, Solomon J Green, Alan Pendleton and John Plymen |
Active
investment models |
| Peter F Rains, A M Rubinstein, Anthony H Silverman, L P Tomlinson |
Indexation
and tilted funds |
| Corynne Jaffeux |
Signal
et efficience des marchés: impact d'une notation lors
de l'emission de billets de Trésorerie sur le marché à rêglement
mensuel |
| Angus S Macdonald |
On
investment strategies using the Wilkie model |
| Cees J Prins |
A
simple model for the determination of stock prices on Wall
Street 1871-1990 |
| Dominique Ami, Robert Kast and Andre Lapied |
Generalized
Arrow pricing to understand financial markets |
| Heikki Bonsdorff |
A
model for investment return: asymptotic behaviour |
| Andrew D Smith |
The
use of martingales in actuarial work |
| Sidney Benjamin |
A
practical approach to dynamic financial control of a non-life
insurance company |
| Stewart M Coutts and Gordon J Clark |
A
stochastic approach to asset allocation within a general
insurance company |
| Chris D Daykin and G Brian Hey |
A
stochastic cash-flow model of a general insurance company |
| Stan Beckers |
Measuring
risk in internationally diversified bond portfolios |
| Y K. Ip |
International
diversification and exchange rate risk |
| Shuji Tanaka |
International
investing by Japanese life insurance industry |
| Eduardo Melinsky |
New
financial instruments for financial risk in inflationary
conditions: financial index linked loans |
| Jason S Propp and Michael Rosenblatt |
Implications
for life insurance in Israel of the break from an index-linked
economy |
| Peter Albrecht |
Financial
approach to actuarial risks? |
| Douglas A Eckley |
Quantifying
the risk of deviation from experience assumptions |
| Richard Noble |
Translating
traditional asset allocation into a quantitative model: the
risk is getting it wrong |
| Roger C Urwin |
Identifying
tomorrow's highflier today: an analysis of the factors which
can help forecast the relative performance of investment
managers |
| T Canel, B Gautier and Nicolas Zamfirescu |
Mesure
de performance-risque des SICAV |
| Alex Carpenter |
Reporting
and performance measurement of futures and options |
| Albert Hayem, Beatrice Levy and Bernard Peglion |
Les
arbitrage sur indice CAC 40: attention au risque de deport. |
| P Simonnet and M Favreau |
La
mesure des risques sur le MATIF et la determination de regles
prudentielles adequates |
| Oakley E Van Slyke |
Solvency
standards |