Request for Proposal: Predictive Modeling in Investment

Background and Purpose

‘Predictive modeling’ has become a common catch phase within the current corporate culture, especially since it has been used effectively by the various search engine companies such as Google or for online retailers such as Amazon.  Predictive models, which use large volumes of user specific data, have been able to aid in understanding what a customer may be interested in purchasing decision-making.  The Society of Actuaries has explored predictive modeling with the goals of the education of actuaries, as well as applications to actuarial practice areas. 

With this in mind, the SOA’s Committee on Finance Research is interested in an exploration of these modeling techniques in applications specifically related to investment and financial analysis that can help practitioners with their day to day responsibilities.

Research Objective

The Committee on Finance Research (CFR) is seeking researchers to illustrate various uses of predictive modeling and how they could be used to measure and control investment or financial risk. The following are examples of proposed topics that may be addressed:

  • Can predictive models be used to aid in the calculation of duration or convexity of insurance liability cashflows? 
  • Can predictive modeling be leveraged to develop new metrics on how to manage investment or financial risk?
  • Are there methods where predictive modeling can be used to extract additional information from multiple scenario results and use these results to validate or design new investment strategies or to create hedging programs?
  • Are there effective methods of predictive modeling to aid in the choice of assets for a portfolio, or inform the decision of transferring in and out of a class of assets due to different economic conditions?
  • Can predictive modeling be used to aid in the measurement and management of financial risk – return tradeoff?
  • Can predictive modeling be used to develop a weighting to each scenario in a set, rather than treating each scenario as equally likely?

Note that the above list is not meant to be exhaustive but merely examples of proposed topics that may be researched.


To facilitate the evaluation of proposals, the following information should be submitted:

  1. Resumes of the researcher(s), including any graduate student(s) expected to participate, indicating how their background, education and experience bear on their qualifications to undertake the research. If more than one researcher is involved, a single individual should be designated as the lead researcher and primary contact. The person submitting the proposal must be authorized to speak on behalf of all the researchers as well as for the firm or institution on whose behalf the proposal is submitted.
  2. An outline of the approach to be used (e.g. literature search, model, etc.), emphasizing issues that require special consideration. Details should be given regarding the techniques to be used, collateral material to be consulted, and possible limitations of the analysis.
  3. A description of the expected deliverables and any supporting data, tools or other resources.
  4. Cost estimates for the research, including computer time, salaries, report preparation, material costs, etc. Such estimates can be in the form of hourly rates, but in such cases, time estimates should also be included. Any guarantees as to total cost should be given and will be considered in the evaluation of the proposal. While cost will be a factor in the evaluation of the proposal, it will not necessarily be the decisive factor.
  5. A schedule for completion of the research, identifying key dates or time frames for research completion and report submissions.  The CFR is interested in completing this project in a timely manner.  Suggestions in the proposal for ensuring timely deliver, such as fee adjustments, are encouraged.
  6. Other related factors that give evidence of a proposer's capabilities to perform in a superior fashion should be detailed.

Selection Process

The CFR will appoint a Project Oversight Group (POG) to oversee the project.  The CFR is responsible for recommending the proposal to be funded.  Input from other knowledgeable individuals also may be sought, but the CFR will make the final recommendation, subject to SOA leadership approval. The SOA's Research Actuary will provide staff actuarial support.


Any questions regarding this RFP should be directed to Steven Siegel, SOA Research Actuary (phone: 847-706-3578; email:    

Notification of Intent To Submit Proposal

If you intend to submit a proposal, please e-mail written notification by December 15, 2018 to Barbara Scott.

Submission of Proposal

Please e-mail a copy of the proposal to Barbara Scott.

Proposals must be received no later than January 15, 2019.  It is anticipated that all proposers will be informed of the status of their proposal by the end of February 2019.

Note: Proposals are considered confidential and proprietary.


The selection of a proposal is conditioned upon and not considered final until a Letter of Agreement is executed by both the Society of Actuaries and the researcher.

The CFR reserves the right to not award a contract for this research. Reasons for not awarding a contract could include, but are not limited to, a lack of acceptable proposals or a finding that insufficient funds are available. The CFR also reserves the right to redirect the project as is deemed advisable.

The CFR plans to hold the copyright to the research and to publish the results with appropriate credit given to the researcher(s).

The CFR may choose to seek public exposure or media attention for the research.  By submitting a proposal, you agree to cooperate with the CFR in publicizing or promoting the research and responding to media requests.

The CFR may also choose to market and promote the research to members, candidates and other interested parties.  You agree to perform promotional communication requested by the CFR, which may include, but is not limited to, leading a webcast on the research, presenting the research at an SOA meeting, and/or writing an article on the research for an SOA newsletter.