Announcing the 2013 Redington Prize winner: LDI in a Risk Factor Framework

Tom AnichiniApproximately every two years the Investment Section awards the Redington Prize for best investment-related paper written or co-written by an actuary and nominated for consideration. For 2013 the SOA Investment Section Council is pleased to announce latest winner of the Redington Prize: LDI in a Risk Factor Framework, by Dan Ransenberg, Philip Hodges, and Andy Hunt.

Typically, liability driven investing (LDI) is in the domain of pension actuaries, while risk factors are more familiar to investment “quants.” In this paper, Ransenberg et al introduce a hybrid framework for pension surplus management, integrating risk factors into the solution to an actuarial problem. The authors present their approach as a method for building efficient pension portfolios.

Daniel J. Ransenberg Jr., FSA, works at Blackrock with his co-authors in Multi Asset Client Solutions. The authors’ paper appeared in the Journal of Investing (JOI) in 2012. While access to full-text JOI articles requires a subscription, Investment Section members should be able to access the full text article by early 2014 via their EBSCO subscription.

The jury for this year’s prize consisted of several members of the Investment Section Council, staff, and SOA Board.

About the Redington Prize
From the SOA website:
The Redington Prize is a competition for the best paper published on an investment-related topic within a certain time-frame. The biennial prize promotes investment research and a cash prize is awarded to the author of the chosen paper. Anyone can nominate a paper for prize consideration. The prize is sponsored by the Investment Section and is named after F. M. Redington, the eminent British Actuary who coined the term “immunization” in a 1952 paper that was published in the Journal of the Institute of Actuaries.

Nominate papers for the 2015 Prize
The Prize’s biennial frequency means our 2015 winner may already have been published. Have you written or do you know of an outstanding investment-related paper published or scheduled to be published in 2013-2014? If so, submit your nomination to Jill Leprich at

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