Description: This 1997 presentation from the 32nd Actuarial Research Conference develops a stochastic generator for the generation of scenarios of the S&P 500 index, dividend yield, consumer price index, and U.S. Treasury yields. The authors first create a set of 'stylized facts' for these series. They estimate statistical models for these series. These in-sample statistical models are themselves not suitable for generation of scenarios for decision making, but instead are additional 'stylized facts' that assist in model development. The 'best' statistical model according to standard statistical model selection criteria can easily lead to a model that is highly unsuitable for generation of scenarios for decision making. The authors develop a stochastic generator that is suitable for decision making under uncertainty.

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: On October 30, 2006, the UK government's Stern Review on the Economics of Climate Change made startling claims about the present value today of climate change effects predicted to emerge primarily 150 years or more in the future. The ensuing debate included challenges to and defenses of the particular methodology used and parameter values selected to perform the discounting of future values. Noticing an overlooked faux pas in the Stern Review, this presentation uncovers the likely motivation for choosing the most mystifying of the parameters values, and provides a lesson on the underpinnings of the basic tool of actuarial science.