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1、BuildingaPublicAccessPC-BasedDFAModelbyStephenP.DArcy,FCAS;RichardW.Gorvett,FCAS;JosephA.Herb&s,ACAS;ThomasE.Hettinger,ACAS;StevenG.Lehmann,FCAS;andMichaelJ.Miller,FCAS1CASDynamicFinancialAnalysisTaskForceonVariablesCallPaperProgramBuildingaPublicAccessPC-BasedDFAModelSubmittedbyStephenP.DAr
2、cy,RichardW.Gorvett,JosephA.Herbers*,ThomasE.Hettinger*,StevenG.Lehmann*,andMichaelJ.Miller*1DepartmentofFinance,UniversityofIllinoisatUrbana-Champaign2Miller,Rapp,HerbersandTerry,Inc.,ConsultingActuariesAuthorsStephenP.DArcyisaProfessorofFinanceattheUniversityofIllinoisatUrbana-Champaign.He
3、isaFellowoftheCasualtyActuarialSociety,amemberoftheAmericanAcademyofActuaries,andVicePresidentoftheAmericanRiskandInsuranceAssociation.HereceivedhisB.A.inAppliedMathematicsfromHarvardCollegeandhisPh.D.inFinancefromtheUniversityofIllinois.Thecoursesheteachesincludeanintroductiontoinsurance,pr
4、operty-liabilityinsurance,casualtyactuarialmathematics,advancedcorporatefinance,andthefinancialriskmanagementofinsuranceenterprises.HealsodevelopedandteachesaseminaronfinancefortheCasualtyActuarialSociety.Priortohisacademiccareer,heworkedasanactuarialstudentatAEtnaInsuranceCompanyandasActuar
5、yatCUMISInsuranceSociety.Hisresearchinterestsincludedynamicfinancialanalysis,financialpricingmodelsforproperty-liabilityinsurers,catastropheinsurancefutures,pensionfunding,andregulation.RichardW.GorvettisintheDepartmentofFinanceattheUniversityofIllinoisatUrbana-Champaign.HeisaFellowoftheCasu
6、altyActuarialSociety,amemberoftheAmericanAcademyofActuaries,andanAssociateinRiskManagement.HereceivedaB.S.inMathematicsfromtheUniversityofIllinoisatChicago,anMBAinFinanceandEconometricsfromtheUniversityofChicago,andiscompletinghisPh.D.inFinanceattheUniversityofIllinoisatUrbana-Champaign,wher
7、ehisdissertationisentitledTheDynamicFinancialAnalysisofProperty-LiabilityInsuranceCompanies.Hehasco-authoredapaperentitledAComparisonofProperty-LiabilityInsuranceFinancialPricingModels,andiscontinuingresearchintotheapplicationoffinancialtheorytoins
