Description: This article describes the proposal selected for research involving the modeling of economic series. The proposal submitted by the research team of Kevin Ahlgrim of Bradley University, Stephen D'Arcy of the University of Illinios and Richard Gorvett of Zurich North America was selected.

Description: When Is It Right To Use Arbitrage-Free Scenarios? by Stephen Britt from Risks and Rewards Newsletter, September 2000, Issue No. 35.

Description: By necessity, attributions of financial processes require approximations. Tools used for approximations include Aumann-Shapley, time step, step-through, average step-through, partial derivative, and average partial derivative. Significantly non-linear paths can cause problems during attribution. Time (theta) and market factors must be handled concurrently. Typically contractual factors can be handled separately. Average Step-Through, Aumann-Shapley and Aumann-Shapley-3 points perform the best given the same time period. Attribution should be done with fairly small time steps as opposed to using a lot of points in the Aumann-Shapley calculation, but using Aumann-Shapley-3 points as a last step has some advantages.

Description: Abstract of Research Project on Interest Rate Risk

Description: The author discusses the review of a recent 2001 Wall Street Journal’s semiannual survey of economists’ forecasts, starting by asking if there is a simple way to summarize the results and to extract a consensus forecast, and from this extraction, determine when an individual forecast is significantly different from that of the consensus.This article is reprinted with permission. It last ran in the Jan. 10, 2001 issue of The La Jolla Economics newsletter.

Description: A discussion of methods used to determine the liability of segregated fund or separate account investment guarantees.

Description: What is going on with the exchange rate, anyway? In 2002, $1 U.S. bought $C 1.60, and now in May 2005 you only get $C 1.25—that’s 20 percent less! Where’s it going next? One way to answer that question is with a time series model.

Description: Feature article discussing how insurers have reflected volatility in asset return assumptions when determining capital requirements, but have largely disregarded the impact of mortality volatility on their liability assumptions when performing stochastic analysis.

Description: Provides a metric based on the concept of "entropy" from information theory/signal processing, for modifying a stochastic scenario set to meet pre-defined targets on average across the set. Explains the concept and develops it in simple examples. Illustrates why an optimal adjustment to the scenario set is one that maximizes entropy. Provides guidelines to limit use of the technique appropriately and avoid invalid application of the tool.

Description: Announcement of an upcoming 2003 Stochastic Modeling Symposium.