Consultancy
2009
May 2009 Techniques for market-consistent valuation of contingent claims
May 2009 Libor Market Model: Market Consistent Calibration Methodology
Feb 2009 Simulating the Libor Market Model Under Different Probability Measures: A Cure for Exploding Rates?
2007
Oct 2007 Annuity Business: Shareholder Returns and Profitability
Oct 2007 Projecting the Solvency Capital Requirements for Annuities
Oct 2007 A Comparison of Traditional Embedded Value and Market Consistent Embedded Value
Oct 2007 Projecting the TEV and MCEV
Sep 2007 Defined Contribution Pension Saving: Part 2 -Managing Investment Choice in DC Pension Schemes
Aug 2007 Variable Annuity Style Investment Products
Mar 2007 Annuity Risk Management: Mortality ICA Analysis
Feb 2007 Annuity Risk Management. One-year VaR Decomposition: A case study
2006
Nov 2006 Credit Risk and Annuity ICAs: A Comparison of Alternative Approaches
Sep 2006 Valuing and Hedging Complex LPI Liabilities
Aug 2006 Market Risk Capital Definitions and Market Risk: Capital to do what?
Jul 2006 Mortality Risk Capital for Different Annuity Types: Quantifying the Relative Impact of Longevity Unc
Jul 2006 Least Squares Monte Carlo: Application to Nested Simulation
Jul 2006 Annuity Pricing Risk from a Funding Perspective: Quantifying the Impact of Longevity Uncertainty
Jun 2006 The Barrie & Hibbert UK With-Profit Risk Survey
Jan 2006 Standard Errors in Run-Off RBC Calculations
2005
Sep 2005 Developing Closed-Form Approximations for Realistic Liability Valuations
Sep 2005 Life Assurers, Market Risk and Internal Stochastic Models
Sep 2005 Managing Duration Risk in Continental European With-Profits
May 2005 Allowing for Yield Curve Twist Risk in RBC and ICA Calculations
Apr 2005 Defined Benefit Pension Funds: Identifying, Quantifying and Managing Asset-Liability Risks
Mar 2005 A Discussion of Alternative Approaches to Calculating the ICA
Jan 2005 Using Equity Options In Market-Consistent Calibration
Jan 2005 Managing Long-Term Equity Option-Implied Volatility Risk
2004
Nov 2004 Defined Benefit Pension Funds: A Finance Director’s Perspective
Aug 2004 Gilts or Swaps?
Apr 2004 Selecting Stress Test Scenarios
2003
Sep 2003 Minimising the CP195 Risk Capital Margin
Jun 2003 Annuity Pricing Update
Mar 2003 Realistic Valuations and Shareholder Risks
Jan 2003 Calculating Deflators
Jan 2003 Risk-Based Capital and the Equity Risk Premium
2002
Oct 2002 Risk Capital and Economic Value for Insurers
Apr 2002 Assessing Risk-Based Capital Requirements: VaR and run-off approaches
Apr 2002 Risk-neutral methods or deflators?
Mar 2002 Risk-Neutral Pricing of With-Profits Policies in the Presence of Contingent Bonuses
2001
Apr 2001 Some Basic Annuity Pricing Formula
Mar 2001 Some Illustrative Pension Fund Contribution Calculations
Jan 2001 Comparison of Historic & Predicted Death Rates
2000
Jul 2000 Calibrating a Multivariate Model for Stock Specific and Portfolio Risk
1999
Mar 1999 GAO Breakeven Interest Rate
Mar 1999 Notes on the Aggregation of With-Profits Policy Data
1997
Aug 1997 Calculation of the IRR on a WP Policy Using Newton-Raphson