Modeling of Economic Series Coordinated with Interest Rate Scenarios

The SOA's Committee on Finance Research is pleased to make available the results of this research project, jointly sponsored by the SOA and CAS, that explores economic series and provides an Excel–based tool for generating future economic scenarios.

The research was conducted by the team of Kevin Ahlgrim of lllinois State University, and Stephen D'Arcy and Richard Gorvett, both of University of Illinois.

The following items are available for download (click on them to download):

• The Complete Report excluding Appendices (Acrobat Reader)
• Section 7 of the Report – Results of Model Simulations (Excel)
• Appendix A: User's Guide to the Model (Acrobat Reader)
• Appendix B: Presentations on the Research (Acrobat Reader)
• Appendix C: Simulated Financial Scenario Data (Excel) (A CD–ROM with this file is available from the SOA office for $15.00. Please contact Jeanne Nallon at or Steve Siegel at for further information.)
• Appendix D: The Financial Scenario Model (Excel)

Please note the Financial Scenario Model in Appendix D requires @RISK, an Excel add–in, to operate properly. @RISK can be purchased from the following web site:

http://www.palisade.com

For those who do not wish to purchase @RISK, Appendix C contains hundreds of scenarios (i.e., simulation paths) of financial and economic variables, generated as output from the Financial Scenario Model. This data can be used directly, in lieu of actually running the model and requiring @RISK; the "pre–simulated" scenario paths can be used as an input to a user's application or model.

The Committee on Finance Research would like to acknowledge the following reviewers that represented the SOA in this effort:

• Sarah Christiansen
• Sam Cox
• Steve Craighead
• Thomas Edwalds
• John Gould
• John Hegstrom
• Steve Siegel

If you have any questions or comments, please contact Steve Siegel, SOA Research Actuary.