Description: This paper represents a brief progress report on research, being sponsored by the Casualty Actuarial Society CAS and the Society of Actuaries SOA, in the area of modeling of economic series. In particular, research is being undertaken to provide a foundation for the actuarial community’s modeling of a variety of economic variables, including interest rates, equity returns, inflation, unemployment rates, and real estate price levels. The specific objectives of this research are to provide a summary of the literature in the area of economic scenario modeling, identify data sources and methodologies in this area useful to the actuarial profession, and produce working software for economic modeling, including appropriate documentation, to be made available to the general actuarial community in order to allow actuaries to use and build upon this research.

Description: The underlying premise of this paper is that enterprise risk management (ERM), as it continues to evolve as both a process and a collection of risk management techniques, can benefit from several different (but ultimately somewhat related) “megatrends.” The core of this paper concentrates on the impact on ERM of one of those megatrends: the emergence of a behavioral economics perspective, which is beginning to have a large impact on our understanding of the economy and on certain economic and business processes. The evolution and context of behavioral economics are described, and potential implications for the practice of ERM are discussed. The paper culminates with a variety of specific suggestions for ERM practice in response to findings from behavioral economics research, specifically a number of human cognitive dissonances inconsistent with traditional economic theory.

Description: Applies the economic concept of negative externality (where firms profit but create unacceptable social costs) to systemic of financial institutions. Identifies alternatives to the traditional (Pigou) response of taxing the firm.

Description: Because of the growing significance of Enterprise Risk Management, it is critical to consider how ERM responds and relates to circumstances and conditions. In particular, one megatrend currently impacting our world and our understanding of the economy is the emergence of a behavioral economics perspective. This paper describes the nature of behavioral economics, and considers the potential impact of such a perspective on ERM. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: This paper represents a brief progress report on research, being sponsored by the Casualty Actuarial Society and the Society of Actuaries, in the area of modeling of economic series. In particular, research is being undertaken to provide a foundation for the actuarial community’s modeling of a variety of economic variables, including interest rates, equity returns, inflation, unemployment rates, and real estate price levels. The specific objectives of this research are to provide a summary of the literature in the area of economic scenario modeling, identify data sources and methodologies in this area useful to the actuarial profession, and produce working software for economic modeling, including appropriate documentation, to be made available to the general actuarial community in order to allow actuaries to use and build upon this research. From Actuarial Research Clearing House 2004, Vol. 1.