Description: This article introduces the reader to probabilistic methods used to model interactions in the financial market place. Three topics are specifically discussed, two concern modeling methods and the other concerns data analysis methods.

Description: This paper is about an Interacting Particle System [IPS] approach to modeling treatment costs associated with a multiple stage pandemic. The model population receives differing treatments with possibly differing costs depending on the stage of exposure/infection. The total cost of treatment is a time varying utility function of the ensemble population for which this approach uses particle system methods to simulate the cost of maintaining survival of the population. The paper gives a brief background on particle systems with specific focus on 'the contact process', followed by expanding the contact process to represent more realistic state transitions.

Description: This report, part of the Society of Actuaries [SOA} ‘Research Projects – Finance/Investment,’ is sponsored by the SOA Committee on Finance Research. This research report examines modeling of cash flow associated within a pool of mortgages, specifically focusing on the effectiveness of infusing a limited amount of capital into the pool. The report was prepared by Michael Ekhaus of Gibraltar Analytical, LLC.

Description: A research report that examines modeling of cash flow associated within a pool of mortgages and specifically focusing on the effectiveness of infusing a limited amount of capital into the pool.

Description: This research report addresses two purposes: [1] to incorporate phase transitions into a copula framework, and [2] to calculate the probability of defaulting in the context of a portfolio of correlated mortgages when a contagion effect exists. Understanding and measuring the effects that contagion has on the probability of defaulting, for both single assets and portfolios of assets, are crucial to collateralized debt obligation [CDO] markets.