44: Investment Modeling
In this session, presenters will discuss a paper analyzing 54 years of Australian investment performance from 1959 to 2013. The aim is to assess whether the methodology for determining assumptions is still robust enough to produce reasonable financial assumptions. Attendees will also hear a paper reviewing recent literature in capital model construction and fitting and propose testing methodologies for comparing candidate models and calibrations. The last paper explores the market and expected returns for death bonds - a secondary market for life insurance policies. This work aims to analyze the viability of this market by using simulations based on the pricing of the life policy by the insurer and the pricing of these securities by the secondary market.