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: 1994 SOA meeting, Orlando. This session is entitled survivorship in finance. This was a free flowing discussion about finance and economics.

Description: 1994 SOA Spring Meeting, Orlando. This session focused on the possible impacts of a return to higher interest rates and explored risk management strategies that may be appropriate.

Description: This paper discusses contracts sold by states which promised to provide tuition in the future for a fixed price. Because these contracts provide a benefit whose dollar value is uncertain at the time of sale, these contracts contain significant risks to the states and create a challenge to the actuaries who opine on the adequacy of the trust funds to provide the benefits promised by these contracts. This article discusses some of the implications of the method used by the major states to project tuition inflation and explores other possible methods. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This abstract describes a presentation that introduces new methods such as Experimental Mathematics, Genetic Algorithms, Predictive Modeling, Deterministic Chaos, Fractal Geometry, Behavioral Economics, Cellular Automata and other topics in Complexity Sciences.

Description: The CAS is pleased to present its Research Paper, “Users’ Guide to Economic Scenario Generation in Property-Casualty Insurance”. Although there are cases in the literature about the use of economic scenario generators (ESGs) in the property casualty industry, they are far more commonly used for life insurance companies. Our hope is that this paper will serve as a comprehensive guide to the implementation of ESGs in the non-life space and spark interest in research into new applications of ESGs.

Description: Interest rates steadily declining ever since the Volcker Fed tackled inflation in the early eighties. Ten years of stimulating monetary policy brought new lows. We should have braced ourselves for a return to neutrality, but that concept remains elusive. We will explore structural issues that have brought rates to these low levels and the potential impacts on the insurance business.

Description: The CAS is pleased to present its Research Paper, “Users’ Guide to Economic Scenario Generation in Property-Casualty Insurance”. Although there are cases in the literature about the use of economic scenario generators (ESGs) in the property casualty industry, they are far more commonly used for life insurance companies. Our hope is that this paper will serve as a comprehensive guide to the implementation of ESGs in the non-life space and spark interest in research into new applications of ESGs.

Description: This paper defines a concept of equivalence for profit standards. The central principle advanced is that the company should set prices on all its products to produce marginal profits that are equal in proportion to the products' marginal use of surplus. From Transactions of Society of Actuaries 1981, Vol. 33.