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Educational efforts

Steve Strommen has actively fostered education in some specialties.  Here are the two areas in which he has published significant papers (see links at right).

Financial modeling framework

In the mid-1990's the use of stochastic cash flow simulation models was becoming pervasive in the life insurance industry, and exisitng commercial software was straining to provide the needed capabilities.  At the same time, software design was going through a revolution with the introduction of object-oriented design, and approach that helps deal with the complexity of large systems.

Steve Strommen wrote a paper explaining how object-oriented design could be applied to development of stochastic cash flow simulation models in a financial reporting context.  At the same time, he applied that design and developed a corporate financial modeling system for his employer at the time (a major life insurer).  That modeling system is still in use decades later.

Stochastic generators of economic scenarios

Stochastic cash flow simulation models require the use of stochastic economic scenario generators.  Over the last few decades, such generators have evolved along two separate tracks.  Generators termed "risk-neutral" have been developed for pricing of derivative securities in investment markets.  Generators termed "real-world" have been developed for use in stochastic cash flow simulation models used for long term risk management.  The relationship between "risk-neutral" and "real-world" generators was not widely understood at a theoretical level by actuaries that used these models, and sometimes models were being used inappropriately.  Steve Strommen wrote a paper explaining the connection between "risk-neutral" and "real-world" models to help improve the understanding of practitioners in this area.

 

Published articles