PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

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2<strong>18</strong> MODELING FINANCIAL SCENARIOS50th year. The initial nominal interest rate indicated in the model(1.1%) is in line with the user-defined starting level (June 2004)of 1.1%. The 1st—99th percentile range for the one-month nominalinterest rate after 10 years is 0.0% to 19.4%.The mean one-year nominal interest begins at 1.9% and movesto 7.7% by the end of 50 years. The initial value is again in linewith the current level of interest rates. The 1st—99th percentilerange of the one-year nominal interest rate after 10 years is 0.0%to <strong>18</strong>.3%.The mean 10-year nominal interest begins at 4.6% and movesto 7.1% by the end of 50 years. The initial value is in line withthe current level of interest rates for long-term bonds, given theJune 2004 10-year U.S. Treasury yield of 4.4%. The 1st—99thpercentile range of the one-year nominal interest rate after 10years is 0.6% to 12.7%.The funnel of doubt graphs of one-month, one-year, and 10-year nominal interest rates, Figures 8 through 10, are similarto the real interest rate and inflation graphs, but have a barrierat zero since the restriction that nominal interest rates not benegative is applied in this case. This restriction affects the 1stpercentile line on Figures 8 and 9, but not the 25th percentileline. The effect of the restriction is not apparent for the 10-yearnominal interest rates. The level of uncertainty increases overthe 50-year time period used in the forecast. Since the nominalinterest rate is determined by adding the real interest rate to theinflation rate, the increasing uncertainty reflected by real interestrates and the inflation rate generates the same behavior fornominal interest rates.The histograms for the three-month, one-year, and 10-yearmodel nominal interest rates and the actual three-month, oneyear,and 10-year nominal interest rates are displayed in Figures11 through 13. (The one-month values are not consistently availablefor historical data over a long enough time period to be re-
MODELING FINANCIAL SCENARIOS 219FIGURE 8Distribution of 1-Month Nominal Interest RateProjection Period: 1 Month to 50 YearsFIGURE 9Distribution of 1-Year Nominal Interest RateProjection Period: 1 Month to 50 Years
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VOLUME XCII NUMBERS 176 and 177PROC
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FOREWORDActuarial science originate
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2005 PROCEEDINGSCONTENTS OF VOLUME
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2005 PROCEEDINGSCONTENTS OF VOLUME
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Editorial Committee, Proceedings Ed
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2 AN EXAMINATION OF THE INFLUENCE O
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10 AN EXAMINATION OF THE INFLUENCE
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AN EXAMINATION OF THE INFLUENCE OF
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RISKINESS LEVERAGE MODELSRODNEY KRE
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RISKINESS LEVERAGE MODELS 33There a
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RISKINESS LEVERAGE MODELS 35where f
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RISKINESS LEVERAGE MODELS 37where a
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RISKINESS LEVERAGE MODELS 39Various
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RISKINESS LEVERAGE MODELS 41Then, f
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RISKINESS LEVERAGE MODELS 43This fo
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RISKINESS LEVERAGE MODELS 47differe
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RISKINESS LEVERAGE MODELS 49The las
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RISKINESS LEVERAGE MODELS 51ple. Th
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RISKINESS LEVERAGE MODELS 53the TVA
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RISKINESS LEVERAGE MODELS 55We also
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RISKINESS LEVERAGE MODELS 57Mean Va
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RISKINESS LEVERAGE MODELS 59APPENDI
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DISCUSSION OF A PAPER PRESENTED AT
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RISKINESS LEVERAGE MODELS 63known t
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RISKINESS LEVERAGE MODELS 65to be a
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RISKINESS LEVERAGE MODELS 67implies
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RISKINESS LEVERAGE MODELS 69bad res
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RISKINESS LEVERAGE MODELS 71a maxim
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RISKINESS LEVERAGE MODELS 734. INTE
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RISKINESS LEVERAGE MODELS 75the two
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RISKINESS LEVERAGE MODELS 77that a
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RISKINESS LEVERAGE MODELS 79REFEREN
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RISKINESS LEVERAGE MODELS 81EXHIBIT
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RISKINESS LEVERAGE MODELS 83
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WHY LARGER RISKS HAVE SMALLER INSUR
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ADDRESS TO NEW MEMBERS 151ateship a
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ADDRESS TO NEW MEMBERS 153You shoul
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ADDRESS TO NEW MEMBERS 155strength
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MINUTES OF THE 2005 CAS SPRING MEET
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MINUTES OF THE 2005 SPRING MEETING
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Page 187 and 188: Volume XCII, Part 2 No. 177PROCEEDI
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THE APPLICATION OF FUNDAMENTAL VALU
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A NEW METHOD OF ESTIMATING LOSS RES
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ARCHITECTURE FOR RESIDENTIAL PROPER
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ESTIMATING THE WORKERS COMPENSATION
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INCORPORATION OF FIXED EXPENSESGEOF
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DISCUSSION OF PAPER PUBLISHED INVOL
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APPLICATION OF THE OPTION MARKET PA
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THE “MODIFIED BORNHUETTER-FERGUSO
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ADDRESS TO NEW MEMBERS-NOVEMBER 14,
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ADDRESS TO NEW MEMBERS 743Now to an
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PRESIDENTIAL ADDRESS-NOVEMBER 14, 2
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PRESIDENTIAL ADDRESS 753me keep my
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MINUTES OF THE 2005 CAS ANNUAL MEET
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MINUTES OF THE 2005 ANNUAL MEETING
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REPORT OF THE VICE PRESIDENT—ADMI
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REPORT OF THE VICE PRESIDENT-ADMINI
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2005 EXAMINATIONS—SUCCESSFUL CAND
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OBITUARIESROBERT GRANT ESPIECLYDE H
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OBITUARIES 825SIDNEY M. HAMMER1931
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OBITUARIES 827J. GARY LaROSE1947—
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OBITUARIES 829PAUL J. SCHEEL SR.193
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OBITUARIES 831LEO M. STANKUSCirca 1
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INDEX TO VOLUME XCIIPage2005 EXAMIN
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835GRAVES, CLYDE H.INDEX—CONTINUE
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837INDEX—CONTINUEDREPORT OF THE V
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PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

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