Description: This paper, part of the Society of Actuaries [SOA} ‘Research Projects – Finance/Investment,’ is presented by the SOA’s Committee on Finance Research. This research project, jointly sponsored by the SOA and the Casualty Actuarial Society [CAS], explores economic series and provides an Excel-based tool for generating future economic scenarios. In addition to the paper, which includes an excel workbook containing results of model simulations, there are the following appendices - Appendix A, a 26 page ‘user’s guide,’ Appendix B, a 91 page document entitled ‘Presentations of This Research,’ Appendix C, a zipped file containing hundreds of scenarios i.e., simulation paths of financial and economic variables, generated as output from the Financial Scenario Model, and Appendix D, the model itself in an Excel workbook.

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: This is the User's Guide that accompanies the Inflation Generator Excel spreadsheet which is associated with the research report entitled 'The Effect of Deflation or High Inflation on the Insurance Industry.'

Description: In May, 2001, the Casualty Actuarial Society (CAS) and the Society of Actuaries (SOA) jointly issued a request for proposals on the research topic “Modeling of Economic Series Coordinated with Interest Rate Scenarios.” The objectives of this request were to develop a research relationship with selected persons to investigate this topic; produce a literature review of work previously done in the area of economic scenario modeling; determine appropriate data sources and methodologies to enhance economic modeling efforts relevant to the actuarial profession; and produce a working model of economic series, coordinated with interest rates, that could be made public and used by actuaries via the CAS / SOA websites to project future economic scenarios. Categories of economic series to be modeled included interest rates, equity price levels, inflation rates, unemployment rates, and real estate price levels.

Description: This is an Excel 2003 spreadsheet that accompanies the research report entitled 'The Effect of Deflation or High Inflation on the Insurance Industry.' It models scholastically the effects of inflation and deflation.

Description: Presented at May 2005 Spring Meeting. Panelists discuss the process of setting long-term investment assumptions from a practical perspective, including changes in equity return premium, use of risk-neutral scenarios and methodology, and special considerations for setting pricing scenarios.

Description: This research report on the effect of deflation or high inflation has six sections: 1. The first section provides background on inflation, describes some problems in measuring inflation, and explains some of its effects on an economy. 2. The second section reviews historical inflation rates. 3. The third section examines the effect of inflation or deflation on the property-liability and life insurance industries. 4. The fourth section proposes risk mitigation strategies for insurers to cope with either deflation or high inflation rates. 5. The fifth section describes a publicly available model that can be used to develop inflation/deflation projections under a regime switching format that can readily be adjusted to reflect current financial uncertainty. 6. The sixth section provides conclusions.

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.

Description: This web page summarizes the research project entitled 'The Effect of Deflation or High Inflation on the Insurance Industry.' The project is comprised of report of the same name, Excel spreadsheets that stochastically model the effects of inflation and deflation, and a users guide for the spreadsheets, all of which can be accessed from this web page.