Description: In this presentation, the authors develop a stochastic generator for the generation of scenarios of the S & P 500 index, dividend yield, consumer price index, and U.S. Treasury yields. They first create a set of 'stylized facts' 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. From Actuarial Research Clearing House 1997, Vol. 1.

Description: This paper is a theoretical examination of the structure of the property-casualty insurance industry using economic theory to compare companies with agency distribution versus direct distribution. The purpose of the paper is to justify the existence of both types of distribution systems in equilibrium.

Description: This article provides a retrospective on investment risk management while highlighting actuarial tools used by portfolio risk managers.

Description: This section features various book reviews: 'How to Cope with the Developing Financial Crisis' by Bladen, 'Policymaking for Social Security' by Derthick, '1979 Annual Report of the Board of Trustees of the Federal OASDI Trust Funds' by US Congress, 'Integration of Plans with Social Security and Funding' by Grubbs, 'Pension and Profit Sharing Plans - a Basic Guide' by Mamorsky, 'Joint Trust Pension Plans' by McGinn, 'Financing the Civil Service Retirement Systems...' by McGill, 'Pension Task Force Report on Public Employee Retirement Systems' by Committee on Education and Labor. Brief descriptions of additional readings are also included.

Description: This paper summarizes default experience on bonds from 1900 through 1987. Although the information is more extensive for publicly traded bonds, the paper includes some information on private placements, some of which is not otherwise available.

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.