Briys and Francois De Varenne, “Life Insurance Pricing and the Measurement of
the Duration of Liabilities”
Feldblum, “Asset-Liability Matching for Property/Casualty Insurers”
Gilles, Larry Rubin, John Ryding, Leo Tilman, and Ajay Rajadhyaksha, “Long-term
economic and market trends and their implications for asset-liability
management of insurance companies”
Panning, “Asset Liability Management for a Going Concern”
William Paning, "Managing Interest Rate Risk: ALM, Franchise and Strategy"
sigma, No. 6/2000, Asset-Liability Management For Insurers
Barton Waring, “Liability-Relative Asset Allocation Policies”
Capital markets and investments models
Brizeli, “Variable Annuities – “No Loss” Propositions”
Chow, “Portfolio Selection Based On Return, Risk, and Relative Performance”
Davies, “Risks in Global Investing”
Derrig and Elishia Orr , "Equity Risk Premium: Expectations Great and
Jarvis, Frences Southall, and Elliot Varnell, “Modern Valuation Techniques”
Walter Schachermayer, "The Notion of Arbitrage and Free Lunch in Mathematical Finance"
Mary Hardy, "Regime Switching Model for Long-Term Stock Returns"
Rodney Kreps, "Investment-Equivalent Insurance Pricing"
Gary Venter, “Modeling and Managing Liquidity Risk”
Derivative securities and their role in insurance products and investment management
Group of Thirty , “Derivatives: Practices and Principles”
Nance, Clifford Smith and Charles Smithson, “On the Determinants of Corporate
Jeffrey Prince, "Credit Default Swaps and Structured Credit: A Primer for Wealth Managers"
Rubin, "Hedging with Derivatives in Traditional Insurance Products"
Rene Stulz, "Credit Default Swaps and the Credit Crisis"
American Academy of Actuaries, "A Public Policy Note: C3 Phase II"
American Academy of Actuaries, "Response to Solvency Modernization Initiative regarding Risk Based Capital "
Artzner, "Applications of Coherent Risk Measures to Capital Requirements
Basel Committee on Banking Supervision, "Liquidity Risk: Management and Supervisory Challenges"
D. Besar, P. Booth, K. K. Chan, A. K. L. Milne and J. Pickles, "Systemic Risk in Financial Services"
Neil M. Bodoff, Capital Allocation by Percentile Layer
V. Chandra and M. Sherris, "Capital Management and Frictional Costs in Insurance"
J. David Cummins, “Allocation of Capital in the Insurance Industry”
European Central Bank Potential Impact of Solvency II on Financial Stability
Arthur Fliegelman and Scott Robinson, "One Step in the Right Direction: The New C-3a Risk-Based Capital Component"
Geneva Association, "Variable annuities with guarantees and the use of hedging"
Goldfarb, “P&C Insurance Company Valuation”
“Risk2: Measuring the Risk in Value at Risk”
KPMG, "Evolving Insurance Regulation"
B. John Manistre and Geoffrey H. Hancock, "Variance of the CTE Estimator"
Andre Perold. "Capital Allocation in Financial Firms"
Francesco Salta, "Allocation of Risk Capital in Financial Institutions"
Harry Panjer and Jia Jing, "Solvency and Capital Allocation"
Andrew Tang and Emiliano A. Valdez, "Economic Capital and the Aggregation of Risks using Copulas"
Ishmael Sharara, Mary Hardy and David Saunders, "A comparative analysis of U.S., Canadian, and Solvency II capital requirements in life insurance"
Ishmael Sharara, Mary Hardy and David Saunders, "Regulatory capital standards for property and casualty insurers under the U.S., Canadian, and proposed Solvency II (standard) formulas "
Michael Sherris' visit at the University of Cologne, Germany, lectures and related publications: 1, 2, 3,
4, 5, 6, 7, 8, 9, 10.