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

234 MODELING FINANCIAL SCENARIOSREFERENCES[1] Ahlgrim, Kevin, and Stephen D’Arcy, “Pension ObligationsSqueeze State Budget,” Illinois Tax Facts, October 2003,http://www.taxpayfedil.org/oct03.htm.[2] Ahlgrim, Kevin, Stephen D’Arcy, and Richard Gorvett,“The Effective Duration and Convexity of Liabilitiesfor Property-Liability Insurers Under Stochastic InterestRates,” The Geneva Papers on Risk and Insurance Theory29, 1, 2004, pp. 75—108.[3] Ahlgrim, Kevin, Stephen D’Arcy, and Richard Gorvett,“Parameterizing Interest Rate Models,” Casualty ActuarialSociety Forum, Summer 1999, pp. 1—50, http://www.casact.org/pubs/forum/99sforum/99sf001.pdf.[4] Alexander, Carol, Market Models: A Guide to Financial DataAnalysis, Chichester, England: John Wiley & Sons, 2001.[5] Ang, Andrew, and Geert Bekaert, “The Term Structureof Real Rates and Expected Inflation,” Columbia UniversityWorking Paper, 2005, http://www2.gsb.columbia.edu/faculty/aang/papers/realrates.pdf.[6] Bernstein, Peter, Against the Gods: The Remarkable Story ofRisk, New York: John Wiley & Sons, Inc., 1996.[7] Black, Fischer, and Myron Scholes, “The Pricing of Optionsand Corporate Liabilities,” Journal of Political Economy 81,1973, pp. 637—654.[8] Campbell, John, Andrew Lo, and A. Craig MacKinlay, TheEconometrics of Financial Markets, Princeton, NJ: PrincetonUniversity Press, 1997.[9] Casualty Actuarial Society Financial Analysis Committee(CASFAC), “A Study of the Effects of Asset/Liability Mismatchon Property/Casualty Insurance Companies,” ValuationIssues, 1989, pp. 1—52, http://www.casact.org/pubs/dpp/dpp89/89dpp001.pdf.