Description: This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from 1981 to 1992 for various forms of chaotic behavior. The primary analysis was in determining the Burst Exponent by the use of Rescaled Range Analysis. This paper also discusses other possible uses of Fractional Brownian Motion in Finance Theory, Macroeconomics, and Actuarial Science. From Actuarial Research Clearing House 1994 VOL. 1.

Description: Article recapping session 35—Education and Research Section Continental Breakfast: Review of Section Activities.

Description: This article list descriptions of the sessions that are either sponsored or co–sponsored by the Education and Research Section.

Description: As a life reinsurer, understanding mortality risk is mission critical. Superior models of mortality risk lead to more competitive pricing in profitable market segments and more efficient use of capital. Surprisingly, modern statistical tools such as predictive modeling have not previously been used to model mortality data to gain this edge. In this paper, we present the use of a predictive modeling technique called projection pursuit regression PPR to model mortality data. We first describe the process of creating a PPR model using inter-company mortality data collected by the Individual Life Experience Committee of the Society of Actuaries, and present the resulting model. We then discuss the process of using this model as a starting point for creating a more detailed PPR model of internal company mortality data.

Description: This article discusses how to get data into and out of R, an open source language for statistical computing.

Description: Discusses the graphics capabilities of the computer language R.

Description: Feature article discussing the computer language R, cluster analysis and predictive modeling.

Description: This article discusses the Extreme Value Seminar at the 2004 Bowles Symposium.