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

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

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

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MODELING FINANCIAL SCENARIOS 235[10] Chan, K. C., G. A. Karolyi, F. A. Longstaff, and A. B.Sanders, “An Empirical Comparison of Alternative Modelsof the Short-Term Interest Rate,” Journal of Finance 47,1992, pp. 1209—1227.[11] Chapman, David, and Neil Pearson, “Is the Short Rate DriftActually Nonlinear?” Journal of Finance 55, 2000, pp. 355—388.[12] Chapman, David, and Neil Pearson, “What Can Be Learnedfrom Recent Advances in Estimating Models of the TermStructure,” Financial Analysts Journal, July/August 2001,pp. 77—95.[13] Cox, John, Jonathan Ingersoll, and Stephen Ross, “A Theoryof the Term Structure of Interest Rates,” Econometrica53, 1985, pp. 385—407.[14] D’Arcy, Stephen, and Richard Gorvett, “Measuring the InterestRate Sensitivity of Loss Reserves,” PCAS LXXXVII,2000.[<strong>15</strong>] D’Arcy, Stephen, R. W. Gorvett, T. E. Hettinger, and R. J.Walling III, “Using the Public Access Dynamic FinancialAnalysis Model: A Case Study,” CAS Dynamic FinancialAnalysis Call Paper Program, 1998, pp. 53—1<strong>18</strong>.[<strong>16</strong>] D’Arcy, Stephen, R. W. Gorvett, J. A. Herbers, T. E. Hettinger,S. G. Lehmann, and M. J. Miller, “Building a PublicAccess PC-Based DFA Model,” CAS Dynamic FinancialAnalysis Task Special Interest Seminar, 1997, pp. 1—40.[<strong>17</strong>] Fama, Eugene, “The Information in the Term Structure,”Journal of Financial Economics 13, 1984, pp. 509—528.[<strong>18</strong>] Fama, Eugene, “Term Structure Forecasts of Interest Rates,Inflation, and Real Returns,” Journal of Monetary Economics25, 1990, pp. 59—76.[19] Fama, Eugene, and Robert Bliss, “The Information in Long-Maturity Forward Rates,” American Economic Review 77,1987, pp. 680—692.

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