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414 Wohlers Hall
1206 South Sixth Street
Champaign IL 61820

(217) 333-0772
s-darcy@illinois.edu

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Stephen D'Arcy

Professor Emeritus of Finance

Education

Ph.D. Finance, University of Illinois, 1982.
M.S. Finance, University of Illinois, 1979.
B.A. Applied Math, Harvard University, 1972.

Research Interests

Research focuses on financial pricing models applied to insurance, dynamic financial analysis, financial risk management of insurers. Consultant to the Casualty Actuarial Society, New England Actuarial Seminars, and Miller, Rapp, Herbers & Terry--Consulting Actuaries. Has presented seminars on financial topics to a number of major insurers.

Research

Journal Articles

"Back to the Future!" S. D'Arcy, R. Conger, National Underwriter Property & Casualty, (110) January, 4 10-15 2006.


"Modeling Financial Scenarios: A Framework for the Actuarial Profession" S. D'Arcy, R. Gorvett, K. Ahlgrim, Proceedings Of The Casualty Actualrial Society, 60-98 2005.


"On Becoming An Actuary of the Fourth Kind" S. D'Arcy, Proceedings Of The Casualty Actualrial Society, 229-240 2005.


"The CAS as an Instrument for Peace and Prosperity" S. D'Arcy, Actuarial Review, (32) November, 4 7-8, 14 2005.


"The CAS as an ERM Model" S. D'Arcy, Actuarial Review, (32) August, 3 7, 12-13 2005.


"Expanding our Horizons to Encompass the Globe" S. D'Arcy, Actuarial Review, (32) May, 2 7-8, 12 2005.


"Find Your Voice" S. D'Arcy, Actuarial Review, (32) February, 1 11-13 2005.


"Navigating the Seas of Risk" S. D'Arcy, Actuarial Review, (31) August, 3 5-6 2004.


"Insurance and China's Entry into the WTO" S. D'Arcy, H. Xia, Risk Management and Insurance Review, 2003.


"Enterprise Risk Management" S. D'Arcy, Journal of Risk Management of Korea, (12) 207-228 2001.


"Future Shock: Top Ten Stories of 2005" S. D'Arcy, R. Conger, National Underwriter Property & Casualty, (105) July, 30 1,10-12 2001.


"Don't Focus on the Tail - Study the Whole Dog!" S. D'Arcy, Risk Management and Insurance Review, (2) 2 iv-xiv 1999.


"Optimal Funding of State Employee Pension Systems" S. D'Arcy, J. Dulebohn, P. Oh, Journal of Risk and Insurance, (66) September, 3 345-380 1999.


"Ratemaking: A Financial Economics Approach" S. D'Arcy, M. Dyer, Proceedings Of The Casualty Actualrial Society, (84) 301-390 1997.


"The Cascade Effect in Insurance Pricing" S. D'Arcy, P. Oh, Journal of Risk and Insurance, (64) September, 3 465-480 1997.


"Catastrophe Futures: A Better Hedge for Insurers" S. D'Arcy, V. France, Future Markets, (2) 1997.


"Catastrophe Futures: A Better Hedge for Insurers" S. D'Arcy, V. France, Journal of Risk and Insurance, (59) December, 4 575-600 1992.

Conference Proceedings

"The Effective Duration and Convexity of Liabilities for Property-Liability Insurers Under Stochastic Interest Rates" K. Ahlgrim, S. D'Arcy, R. Gorvett, 2004.


"Parameterizing Interest Rate Models" S. D'Arcy, K. Ahlgrim, R. Gorvett, 1-50 1999.


"Pricing Catastrophe Risk: Could CAT Futures Have Coped With Andrew?" S. D'Arcy, V. France, R. Gorvett, 1999.


"The Profit Provision in the Ratemaking Formula" M. Dyer, S. D'Arcy, (84) 301-390 1998.


"Using the Public Access Dynamic Financial Analysis Model: A Case Study" S. D'Arcy, R. Gorvett, T. Hettinger, R. Walling III, 53-118 1998.


"Building a Public Access PC-Based DFA Model" S. D'Arcy, R. Gorvett, J. Herbers, T. Hettinger, 1-40 1997.


"Building a Public Access PC-Based DFA Model" S. D'Arcy, R. Gorvett, J. Herbers, S. Lehmann, 1-40 1997.

Chapters in Books

"Cat-E-Puts" S. D'Arcy, In Encyclopedia of Financial Engineering and Risk Management, 2004.


"Financial Pricing of Insurance" S. D'Arcy, In Enclyclopedia of Actuarial Science, 2004.


"Insurance (Overview)" S. D'Arcy, In Encyclopedia of Financial Engineering and Risk Management, 2004.


"Pure and Speculative Risks" S. D'Arcy, In Encyclopedia of Financial Engineering and Risk Management, 2004.


"Insurance Price Deregulation: The Illinois Experience" S. D'Arcy, 248-284 In Deregualting Property-Liability Insurance, American Enterprise Institute-Brookings Institution Joint Center for Regulatory Studies, 2002.


"Investment Issues in Property-Liability Insurance" S. D'Arcy, In Foundations of Casualty Actuarial Science, Casualty Actuarial Society: New York, 2002.


"Introduction to the Discounted Cash Flow Approach" S. D'Arcy, 19-25 In Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance Pricing, Casualty Actuarial Society: Arlington, VA, 1999.

Honors and Awards


CAS-ARIA Award , Casualty Actuarial Society , 1951-2021


NCSA Faculty Fellow , University of Illinois , 2004-2005


Undergraduate Excellence in Teaching Award , CBA Alumni Association , 2003


, John C. Brogan Faculty Scholar , 1999-2002


Dorweiler Award for best paper: Measuring the Interest Rate Sensitivity of Loss Reserve , Proceedings of the Casualty Actuarial Society , 2001


Undergraduate Excellence in Teaching Award Best Professor - small class , Commerce Council , 2001


Teaching Award, Best Professor - Large Class , Commerce Council , 1999


Dynamic Financial Analysis Call Paper Program Award for best paper 'Using the Public Access Dynamic Financial Analysis Model: A Case Study' , Casualty Actuarial Society , 1998


Dynamic Financial Analysis Call Paper Program Award for best paper - 'Building a Public Access PC-Based DFA Model , Casualty Actuarial Society , 1997


, University Scholar , 1994-1997


 


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