Casualty Actuarial Society


Research Projects in Finance

The Effect of Deflation or High Inflation on the Insurance Industry

The North American Actuarial Council Collaborative Research Group (NAAC CRG) is pleased to make available a research report examining issues in measuring inflation, the effect of inflation or deflation on the insurance industry, and risk mitigation strategies. Also included is a model that can be used to develop inflation/deflation projections under a regime switching approach. The report was authored by Kevin Ahlgrim and Stephen D'Arcy.

The report, model, and model user guide can be accessed below:

If you have any questions or comments regarding the report, please contact Steve Siegel, Research Actuary at

The NAAC CRG would like to thank the following individuals for their input and review:

    Guy Barker
    Steve Craighead
    Steve Easson
    Dan Finn
    Louise Francis
    Shiraz Jetha
    Mike McLaughlin
    Dave Sandberg
    Alice Underwood
    Steve Siegel, SOA Research Actuary
    Barbara Scott, SOA Research Administrator

Disclaimer for Software Posted on Web site

Important: The Model posted on this site is the property of the sponsoring organizations and is protected under U.S. and international copyright laws. It was created for the sponsoring organizations by Kevin Ahlgrim and Stephen D'Arcy.

The Model has been developed for the benefit of actuaries FOR EDUCATIONAL USE ONLY, although others may find it useful. The sponsoring organizations make the Model available to individual users for their personal use on a non-exclusive basis. No commercial use, reproduction or distribution is permitted whatsoever.

The sponsoring organizations and the authors make no warranty, guarantee, or representation, either expressed or implied, regarding the Model, including its quality, accuracy, reliability, or suitability, and HEREBY DISCLAIM ANY WARRANTY REGARDING THE MODEL'S MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE. The sponsoring organizations and the authors make no warranty that the Model is free from errors, defects, worms, viruses or other elements or codes that manifest contaminating or destructive properties. In no event shall the sponsoring organizations or the authors be liable for any damages (including any lost profits, lost savings, or direct, indirect, incidental, consequential or other damages) in connection with or resulting from the use, misuse, reliance on, or performance of any aspect of the Model including any instructions or documentation accompanying the Model. The sponsoring organizations and the authors make no representation or warranty of non-infringement of proprietary rights of others with respect to the Model. The entire risk as to the uses, outputs, analyses, results and performance of the Model is assumed by the user. This Disclaimer applies regardless of whether the Model is used alone or with other software.