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Prof. Richard W. Gorvett

University of Illinois,USA

Email: gorvett@illinois.edu



1998 Ph.D., University of Illinoisat Urbana-Champaign

1990 M.Sc., University of Chicago

1982 B.Sc., University of Illinois

Publications (Selected)

  1. "A Comparison of Actuarial Financial Scenario Generators”, with K. Ahlgrim and S. D’Arcy, 2008, Variance: Advancing the Science of Risk – the Journal of the Casualty Actuarial Society, 2(1): 111-134. http://www.variancejournal.org/issues/02-01/111.pdf.
  2. "Modeling Financial Scenarios: A Framework for the Actuarial Profession”, with K. Ahlgrim and S. D’Arcy, 2005, Proceedings of the Casualty Actuarial Society, Vol. 92, pp. 177-238.http://www.casact.org/pubs/proceed/proceed05/05187.pdf.
  3. "The Effective Duration and Convexity of Liabilities for Property-Liability Insurers Under Stochastic Interest Rates”, with K. Ahlgrim and S. D’Arcy, 2004,GenevaPapers on Risk and Insurance, Vol. 29, pp. 75-108.
  4. "The Use of Dynamic Financial Analysis to Determine the Optimal Growth Rate of a Property-Liability Insurer”, with S. D’Arcy, 2004, Journal of Risk and Insurance, Vol. 71, No. 4, pp. 583-615 (Winner of the 2005 CAS Article Award, presented by the American Risk & Insurance Association).
  5. "Modeling of Economic Series Coordinated with Interest Rate Scenarios”, with K. Ahlgrim and S. D’Arcy, 2004, peer reviewed by CAS and SOA committees, published on CAS and SOA websites; deliverable associated with CAS-SOA research grant http://www.casact.org/research/econ/.
  6. "Special Issues”, with J. Tedeschi and K. Ward, 2001, Foundations of Casualty Actuarial Science, Casualty Actuarial Society, Chapter 10.
  7. "Measuring Operational Risk Interdependencies using Interpretive Structural Modeling”, with Ningwei Liu, 2007, ASTIN Colloquiumhttp://www.actuaries.org/ASTIN/Colloquia/Orlando/Papers/Gorvett.pdf.
  8. "A Two-Dimensional Risk Measure”, with Jeff Kinsey (UIUC student), 2006, Enterprise Risk Management Symposium Monographhttp://www.soa.org/library/monographs/othermonographs/2006/july/m-as06-1_XV.pdf.
  9. "Interpretive Structural Modeling of Interactive Risks”, with Ningwei Liu (UIUC student), 2006, Enterprise Risk Management Symposium Monograph.
  10. http://www.soa.org/library/monographs/other-monographs/2006/july/m-as06-1_X.pdf.
  11. "Setting Up the Enterprise Risk Management Office”, with Vijendra Nambiar (UIUC student), 2006, Enterprise Risk Management Symposium Monographhttp://www.soa.org/library/monographs/other-monographs/2006/july/m-as06-1_XIV.pdf.
  12. "Foreign Exchange Rate Risk: Institutional Issues and Stochastic Modeling”, 2001, Financial and Accounting Systems and Issues Associated with the Globalization of Insurance, Casualty Actuarial Society, pp. 19-52http://www.casact.org/pubs/dpp/dpp01/01dpp19.pdf.
  13. "Parameterizing Interest Rate Models”, with K. Ahlgrim and S. D’Arcy, 1999, Casualty Actuarial Society Forum: Dynamic Financial Analysis, Casualty Actuarial Society, pp. 1-50. http://www.casact.org/pubs/forum/99sforum/99sf001.pdf.

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