Important Dates

08/14/2008

43rd Actuarial Research Conference

08/20/2008

Limited Attendance Seminar on Predictive Modeling

08/21/2008

EC Meeting

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Report on Modeling of Economic Series Coordinated with Interest Rate Scenarios

In May 2001, the Casualty Actuarial Society (CAS) and the Society of Actuaries (SOA) jointly issued a request for proposals on the research topic "Modeling of Economic Series Coordinated with Interest Rate Scenarios."

This Web page represents the report, produced by the three researchers selected by the CAS / SOA, which summarizes the research and the development of a scenario generation model available for public use. Full descriptions of the project, the research methodology, analytical implications, and the model itself - a spreadsheet-based stochastic simulation model - are provided in the report.

Researchers:

  • Kevin C. Ahlgrim, ASA, MAAA, Ph.D.
    Illinois State University
  • Stephen P. D'Arcy, FCAS, MAAA, Ph.D.
    University of Illinois at Urbana-Champaign
  • Richard W. Gorvett, FCAS, MAAA, ARM, FRM, Ph.D.
    University of Illinois at Urbana-Champaign

Report and Attachments:
Section 1: Introduction and Overview
Section 2: Excerpts from Original CAS / SOA Request for Proposals
Section 3: Excerpts from Proposal of Selected Researchers
Section 4: Literature Review
Section 5: Descriptions of Data and Approach
Section 6: Discussions of Issues
Section 7: Results of Model Simulations
Section 7: Results - Figures and Tables (.xls)
Section 8: Conclusions and Acknowledgements
Appendix A: User's Guide to Model
Appendix B: Presentations on This Research
Appendix B-1 - ARC 2003 Presentation
Appendix B-2 - WRIA 2004 Presentation
Appendix B-3 - ERM 2004 Presentation
Appendix B-4 - ARCH Paper
Appendix C: Simulated Financial Scenario Data (.xls)
Appendix D: The Financial Scenario Model (.xls)