Hostname: page-component-78c5997874-mlc7c Total loading time: 0 Render date: 2024-11-11T09:04:09.112Z Has data issue: false hasContentIssue false
  • English
  • Français

This house believes that the contribution of actuaries to investment could be enhanced by the work of financial economists

Published online by Cambridge University Press:  20 April 2012

Get access Rights & Permissions [Opens in a new window]

Abstract

An abstract is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Meeting Report
Information
Journal of the Institute of Actuaries , Volume 120 , Issue 3 , 1993 , pp. 393 - 414
Copyright
Copyright © Institute and Faculty of Actuaries 1993

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCE

(1) Redington, F. M. (1952). Review of the principles of life office valuations. J.I. A. 78, 286.Google Scholar
(2) Markowitz, H. M. (1952). Portfolio selection. Journal of Finance, VII, 77.Google Scholar
(3) Bowers, N. L., Gerber, H. U. et al. (1986). Actuarial mathematics. Society of Actuaries.Google Scholar
(4) Black, F. & Scholes, M. J. (1973). The pricing of options and other corporate liabilities. Journal of Political Economy, 81, 637.CrossRefGoogle Scholar
(5) Cox, J. C., Ingersoll, J. E. & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 58, 385.CrossRefGoogle Scholar
(6) Heath, D. C., Jarrow, R. A. & Morion, A. (1992). Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Econometrica, 60, 77.CrossRefGoogle Scholar
(7) Ho, T. S. Y. & Lee, S.-B. (1986). Term structure movements and pricing interest rate contingent claims. Journal of Finance, 41, 1011.CrossRefGoogle Scholar
(8) Elton, E. J. & Gruber, M. J. (1981). Modern portfolio theory and investment analysis. John Wiley.Google Scholar
(9) Harrington, D. R. (1987). Modern portfolio theory, the capital asset pricing model and arbitrage pricing theory; a user's guide. 2nd edition. Prentice-Hall.Google Scholar
(10) Brealey, R. A. & Myers, S. C. (1991). Principles of corporate finance. 4th edition. McGraw-Hill.Google Scholar
(11) Levay, E. J. (1991). The financial actuary and the European consumer. Proceedings of the 2nd AFIR International Colloquium, 3, 51.Google Scholar
(12) Smith, A. D. (1991). The use of martingales in actuarial work. Proceedings of the 2nd AFIR International Colloquium, 4, 39.Google Scholar
(13) Clarkson, R. S. (1989). The measurement of investment risk. J.I.A. 116, 127 and F.F. A. 41, 677.Google Scholar
(14) Keynes, J. M. (1936). The general theory of employment, interest and money. Macmillan.Google Scholar
(15) Clarkson, R. S. (1978). A mathematical model for the gilt-edged market. T.F.A. 36, 85.Google Scholar
(16) Burman, J. P. et al. (1973). Yield curves for gilt-edged stocks: further investigation. Bank of England Quarterly Bulletin. September 1973.Google Scholar
(17) Pepper, G. T. & Salkin, G. R. (1972). Mathematical applications in the gilt-edged market: mathematics in the Stock Exchange. The Institute of Mathematics and Its Applications.Google Scholar
(18) Clarkson, R. S. (1981 & 1983). A market equilibrium model for the management of ordinary share portfolios. T.F.A. 37, 439 and J.I.A. 110, 17.Google Scholar
(19) Weaver, D. & Hall, M. G. (1967). The evaluation of ordinary shares using a computer. J.I.A. 93, 165.Google Scholar
(20) Wilkie, A. D. (1986). A stochastic investment model for actuarial use. T.F.A. 39, 341.Google Scholar
(21) Clarkson, R. S. (1991). A non-linear stochastic model for inflation. Proceedings of the 2nd AFIR International Colloquium, 3, 233.Google Scholar
(22) Geoghegan, T. J. et al. (1992). Report on the Wilkie stochastic investment model. J.I.A. 119, 173.Google Scholar
(23) Sharpe, W. F. (1970). Portfolio theory and capital markets. McGraw-Hill.Google Scholar
(24) Clarkson, R. S. (1990). The assessment of financial risk. Proceedings of the 1st AFIR International Colloquium, 2, 171.Google Scholar
(25) Plymen, J. & Privitt, R. M. (1972). The computer for investment research. T.F.A. 33, 143.Google Scholar
(26) Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, XXXVI, 394.CrossRefGoogle Scholar
(27) Cootner, P. H. (1964). The random character of Stock Market prices. M.I.T. Press, Cambridge, Mass.Google Scholar
(28) Mandelbrot, B. (1983). The fractal geometry of nature. Freeman, New York.CrossRefGoogle Scholar
(29) Jensen, M. (1968). The performance of mutual funds in the period 1945–1964. Journal of Finance, XXIII, 389.Google Scholar
(30) Pepper, G. T. & Thomas, R. (1973). Cyclical changes in the level of the equity and gilt-edged markets. J.I.A. 99, 195.Google Scholar
(31) Neumann, J. Von & Morgenstern, O. (1944). Theory of games and economic behavior. Princeton.Google Scholar
(32) Markowitz, H. M. (1991). Portfolio selection: efficient diversification of investments. 2nd edition. Blackwell, Oxford.Google Scholar
(33) Markowitz, H. M. (1959). Portfolio selection: efficient diversification of investments. John Wiley&Sons, New York.Google Scholar
(34) Friedman, M. (1953). The methodology of positive economics. Essays on Positive Economics. University of Chicago Press, Chicago.Google Scholar
(35) Nagel, E. (1963). Assumptions in economic theory. American Economic Association.Google Scholar
(36) Cartwright, N. (1983). How the laws of physics lie. Clarendon Press, Oxford.CrossRefGoogle Scholar
(37) Merton, R. C. & Samuelson, P. A. (1974). Fallacy of the log-normal approximation to optimal portfolio decision making over many periods. Journal of Financial Economics, 1, 67.CrossRefGoogle Scholar
(38) Samuelson, P. A. (1971). The ‘fallacy’ of maximizing the geometric mean in long sequences of investing or gambling. Proceedings of the National Academy of Sciences, 66, 2493.CrossRefGoogle Scholar
(39) Fama, E. F. (1965). Random walks in Stock Market prices. Investment Analyst, 13, 20.Google Scholar
(40) Fama, E. F. & French, K. R. (1988). Dividend yields and expected stock returns. Journal of Financial Economics, 22, 3.CrossRefGoogle Scholar
(41) Mehta, S. J. B. (1992). Allowing for asset, liability and business risk in the valuation of a life office. J.I.A. 119, 385.Google Scholar
(42) Nisbet, M. (1990). Transaction costs on the London traded options market and a test of market efficiency based on put-call parity theory. Proceedings of the 1st AFIR International Colloquium, 2, 99.Google Scholar
(43) Pegler, J. B. H. (1948). The actuarial principles of investment. J.I.A. 74, 179.Google Scholar
(44) Moore, P. G. (1972). Mathematical models in portfolio selection. J.I.A. 98, 103.Google Scholar
(45) Box, G. E. P. & Jenkins, G. M. (1976). Time series analysis, forecasting and control. Holden-Day, San Francisco.Google Scholar