Asset-liability management

Eric Briys and Francois De Varenne, “Life Insurance Pricing and the Measurement of the Duration of Liabilities”

Sholom Feldblum, “Asset-Liability Matching for Property/Casualty Insurers”

Christian 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”

William Panning, “Asset Liability Management for a Going Concern”

William Paning, "Managing Interest Rate Risk: ALM, Franchise and Strategy"

Swiss Re, sigma, No. 6/2000, Asset-Liability Management For Insurers

M. Barton Waring, “Liability-Relative Asset Allocation Policies”

Capital markets and investments models

Boris Brizeli, “Variable Annuities – “No Loss” Propositions”

George Chow, “Portfolio Selection Based On Return, Risk, and Relative Performance”

Simon Davies, “Risks in Global Investing”

Richard Derrig and Elishia Orr , "Equity Risk Premium: Expectations Great and Small"

Stuart 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”

Deana Nance, Clifford Smith and Charles Smithson, “On the Determinants of Corporate Hedging”

Jeffrey Prince, "Credit Default Swaps and Structured Credit: A Primer for Wealth Managers"

Larry Rubin, "Hedging with Derivatives in Traditional Insurance Products"

Rene Stulz, "Credit Default Swaps and the Credit Crisis"

Capital regulation

American Academy of Actuaries, "A Public Policy Note: C3 Phase II"

American Academy of Actuaries, "Response to Solvency Modernization Initiative regarding Risk Based Capital "

Philippe Artzner, "Applications of Coherent Risk Measures to Capital Requirements in Insurance"

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"

Richard Goldfarb, “P&C Insurance Company Valuation”

Philippe Jorion, “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.