Description: The primary focus of this 1997 presentation from the 32nd Actuarial Research Conference is the adaptation of the representative scenario method such that the distribution of the primary rates used for product pricing, are consistent, regardless of the initial random number seed. A preliminary question is how many stochastically generated scenarios are required for consistency. This presentation looks at the implications of: the use of antithetic random normal deviates upon the scenario process, ways of modifying the candidate list, and the choice function within the representative scenario process.

Description: This paper discusses interest rate generators which vary by intended purpose. The primary focus is on fairly elementary generators for studying C-3 risk, with major emphasis on parametric, mean reversionary generators.

Description: This paper suggests a possible flexible solution to the time and resource problems of running a large number of stochastic interest rate scenarios, by selecting a representative subset. Each interest rate scenario consists of 30 future spot yield curves, where a reasonable number of points are specified on each curve such as 12. The distribution of the scenarios is approximated by the subset and each scenario in the subset has equal weight. The method is independent of the interest rate generator used.

Description: From a session at the annual meeting of the Society of Actuaries held in Chicago, Illinois, October 15-18, 2000 Discussion of the Gramm-Leach-Bliley Financial Services Modernization Act - HR-10.

Description: From a session at the annual meeting of the Society of Actuaries held in Chicago, Illinois, October 15-18, 2000 Discussion of purposes and approaches for creating interest-rate scenarios.

Description: Presented at May 1996 Spring Meeting. Teaching session on various types of algorithms that can be used, their applications and their pros and cons.