| [1] | Entries for the Encyclopedia of Mathematics and Society, Greenwald and Thomley, eds., Salem Press, to appear in 2011"Loans""Mathematics, Applied""Money""Pensionand IRAs""Stock Market Indices" |
| [2] | "A Comparison of Actuarial Financial Scenario Generatrs, " with K. Ahlgrim and S.D'Arcy, 2008, Variance: Advancing the Science of Risk-the Journal of the CasualtyActuarial Society, 2(1): 111-134 http://www.variancejournal.org/issues/02-01/111.pdf |
| [3] | "Modeling Financial Scenarios: A Framework for the Actuarial Profession, " 2005, withK. Ahlgrim and S. D'Arcy, Proceedings of the Casualty Actuarial Society, Vol. 92, pp.177-238 http://www.casact.org/pubs/proceed/proceed05/05187.pdf |
| [4] | "The Effective Duration and Convexity of Liabilities for Property-Liability InsurersUnder Stochastic Interest Rates, " with K. Ahlgrim and S. D'Arcy, Geneva Papers on Risk and Insurance, 2004, Vol. 29, pp. 75-108 |
| [5] | "The Use of Dynamic Financial Analysis to Determine the Optimal Growth Rate of a Property-Liability Insurer, " with S. D'Arcy, Journal of Risk and Insurance, 2004, Vol. 71, No. 4, pp. 583-615 (Winner of the 2005 CAS Article Award, presented by the American Risk & Insurance Association) |
| [6] | "Modeling of Economic Series Coordinated with Interest Rate Scenarios, " 2004, with K. Ahlgrim and S. D'Arcy, 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/ |
| [7] | Chapter 10, "Special Issues, " with J. Tedeschi and K. Ward, Foundations of Casualty Actuarial Science, Casualty Actuarial Society, 2001 |
| [8] | "Measuring the Interest Rate Sensitivity of Loss Reserves, " with S. D'Arcy, Proceedings of the Casualty Actuarial Society, 2000, Vol. 87, pp. 365-400 http://www.casact.org/pubs/proceed/proceed00/00365.pdf (Winner of the 2001 Dorweiler Prize for Best Paper, Casualty Actuarial Society) |
| [9] | "A Comparison of Property/Casualty Insurance Financial Pricing Models, " with S. D'Arcy, Proceedings of the Casualty Actuarial Society, 1998, Vol. 85, pp. 1-88 http://www.casact.org/pubs/proceed/proceed98/980001.pdf |
| [10] | "Systemic Risk as a Negative Externality, " 2011, Risk Management-Systemic Risk, Financial Reform, and Moving Forward from the Financial Crisis, Society of Actuaries, pp. 33-34 |
| [11] | "Measuring Operational Risk Interdependencies using Interpretive Structural Modeling, " with Ningwei Liu, 2007 ASTIN Colloquium http://www.actuaries.org/ASTIN/Colloquia/Orlando/Papers/Gorvett.pdf |
| [12] | "A Two-Dimensional Risk Measure, " with Jeff Kinsey (UIUC student), 2006 Enterprise Risk Management Symposium Monograph http://www.soa.org/library/monographs/othermonographs/2006/july/m-as06-1_XV.pdf |
| [13] | "Interpretive Structural Modeling of Interactive Risks, " with Ningwei Liu (UIUC student), 2006 Enterprise Risk Management Symposium Monograph http://www.soa.org/library/monographs/other-monographs/2006/july/m-as06-1_X.pdf |
| [14] | "Setting Up the Enterprise Risk Management Office, " with Vijendra Nambiar (UIUC student), 2006 Enterprise Risk Management Symposium Monograph http://www.soa.org/library/monographs/other-monographs/2006/july/m-as06-1_XIV.pdf |
| [15] | "Foreign Exchange Rate Risk: Institutional Issues and Stochastic Modeling, " Financial and Accounting Systems and Issues Associated with the Globalization of Insurance, Casualty Actuarial Society, 2001, pp. 19-52 http://www.casact.org/pubs/dpp/dpp01/01dpp19.pdf |
| [16] | "Parameterizing Interest Rate Models, " with K. Ahlgrim and S. D'Arcy, 1999 Casualty Actuarial Society Forum: Dynamic Financial Analysis, Casualty Actuarial Society, Summer, pp. 1-50 http://www.casact.org/pubs/forum/99sforum/99sf001.pdf |
| [17] | "Insurance Securitization: The Development of a New Asset Class, " Securitization of Risk, 1999, Casualty Actuarial Society, pp. 133-173 http://www.casact.org/pubs/dpp/dpp99/99dpp133.pdf (Winner of the 1999 Michelbacher Award for Best Paper, Casualty Actuarial Society) |
| [18] | "Pricing Catastrophe Risk: Could the CBOT Derivatives Have Coped With Andrew?" with S. D'Arcy and V. France, Securitization of Risk, 1999, Casualty Actuarial Society, pp. 59-109 http://www.casact.org/pubs/dpp/dpp99/99dpp59.pdf |
| [19] | Discussion of Cummins, Phillips, and Smith, "Corporate Hedging in the Insurance Industry: The Use of Financial Derivatives by U.S. Insurers, " 1998, North American Actuarial Journal, 2 (January): 120-126 |
| [20] | "Using the Public-Access DFA Model: A Case Study, " with S. D'Arcy, et al; 1998 Dynamic Financial Analysis Call Paper Program, Casualty Actuarial Soc., pp. 53-118 http://www.casact.org/pubs/forum/98sforum/98sf053.pdf (Winner of the 1998 Best Call Paper Award, Casualty Actuarial Society Dynamic Financial Analysis Call Paper Program) |
| [21] | "Building a Public Access PC-Based DFA Model, " with S. D'Arcy, et al; 1997 Dynamic Financial Analysis Call Paper Program, CAS, pp. 1-40 http://www.casact.org/pubs/forum/97sforum/97sf2001.pdf (Winner of the 1997 Best Call Paper Award, Casualty Actuarial Society Dynamic Financial Analysis Call Paper Program) |
| [22] | Book review of Stochastic Optimization Models in Finance, in the Journal of Risk and Insurance 2010, 77(3): 711-712 |
| [23] | Book review of Operational Risk: Modeling Analytics, in the Journal of Risk and Insurance 2010, 77(3): 713-714 |
| [24] | "Undergraduate Research in Actuarial Science and Financial Mathematics at the University of Illinois, " 2010 Actuarial Research Clearinghouse http://www.soa.org/library/proceedings/arch/2010/arch-2010-iss1-gorvett.pdf |
| [25] | "Stochastic Modeling in Actuarial Science and Financial Mathematics: A Research Experience for Undergraduates, " 2008 Actuarial Research Clearinghouse http://www.soa.org/library/proceedings/arch/2008/arch-2008-iss1-gorvett.pdf |
| [26] | "A Comparison of Actuarial Financial Scenario Generators, " with K. Ahlgrim and S. D'Arcy, 14th Annual International AFIR Colloquium, 2004 |
| [27] | "Asset-Liability Modeling for Insurers: Incorporating a Regime-Switching Process for Equity Returns into a Dynamic Financial Analysis Model, " with K. Ahlgrim and S. D'Arcy, 35th ASTIN Colloquium, 2004 |
| [28] | Book review of Climate Risk and the Weather Market: Financial Risk Management with Weather Hedges, in the Journal of Risk and Insurance 2004, 71(3): 550-552 |
| [29] | Book review of Why Stock Markets Crash: Critical Events in Complex Financial Systems, in the Journal of Risk and Insurance 2005, 72(1): 190-192 |
| [30] | "Modeling of Economic Series Coordinated with Interest Rate Scenarios: A Progress Report on Research Supported by the Casualty Actuarial Society and the Society of Actuaries, " with K. Ahlgrim and S. D'Arcy, Actuarial Research Clearing House, 2004 http://www.soa.org/library/proceedings/arch/2004/arch04v38n1_5.pdf |
| [31] | "CAS Needs to Restructure Exams 3 and 4, " with S. D'Arcy, The Actuarial Review, February 2002, pp. 9-10 |
| [32] | "Hacking a Path Through the Thickets, " with S. D'Arcy, Global Reinsurance, November 2000, Vol. 9, Issue 7, pp. 52-55 |
| [33] | "Training Future Actuaries: The New Actuarial Exam Structure, " The Actuarial Review, May 2000, pp. 7-8, 10 |
| [34] | "A Sensitive Subject: The Sensitivity of Property/Casualty Liabilities to Interest Rates, " with S. D'Arcy, Global Reinsurance, 1999, Vol. 8, No. 7, pp. 70-72 |
| [35] | "Protecting the Bottom Line: Insurance and Alternatives, " with N. Scordis, Best's Review: Property/Casualty, April 1999, Vol. 99, No. 12, p. 79 |
| [36] | "Building a Dynamic Financial Analysis Model That Flies, " with S. D'Arcy, et al; Contingencies (November/December 1997), pp. 40-45 |
| [37] | Study Manual for Exam FM/Exam 2: Financial Mathematics & Financial Economics, 2010, 10th edition, Actuarial Study Manuals, Westbury, NY, 708 pages, with Harold Cherry |
| [38] | "Asset-Liability Modeling for Insurers: Incorporating a Regime-Switching Process for Equity Returns into a Dynamic Financial Analysis Model, " with K. Ahlgrim and S. D'Arcy, Risk Management & Insurance Review (accepted subject to specified revisions) |
| [39] | "A Multi-Period Contingent Claims Model for Property-Liability Insurance, " Journal of Risk and Insurance (requested to revise and resubmit) Quoted in Article |
| [40] | "ERM: Pauper or Prince?" by Robert Derocher, Insight: the Magazine of the Illinois CPA Society. Extensive quotes on Enterprise Risk Management; March 2005 |