I am very fortunate to be a fellow of the Casualty Actuarial Society: the terminal credential in my field of actuarial science. The society has been furthering the science, art, and standards of general liability actuarial work for over 100 years, and has consistently maintained, nay, enhanced the value of actuaries and the services they Read the full article…
I’ve recently been asked a number of times as to the differences between various sources of risks one is exposed to when creating a model, in specific, for the difference between parameter and model risk. I’ve used the following allegory a number of times to explain how I see the differences between process, parameter, model, Read the full article…
Recently, I found I was published again…sort of. About two years ago, I wrote a review of Gray & Pitts’s Risk Modelling in General Insurance: From Principles to Practice for the South African Actuarial Journal, which was finally published in the 2013 issue. The review itself can be found here (PDF). Enjoy!
Not much to say today, other than I am rather excited that I can finally call myself a published author! Today, the Casualty Actuarial Society published Volume 7 Issue 1 of Variance which contains a paper on capital tranching on which I am a co-author. The paper itself is on pages 82–91. This is a Read the full article…
In a recent LinkedIn conversation, the topic of correlation between multiple financial indices was raised. While the actual details are not relevant, the discussion reminded me of one of the concerns I have whenever multivariate correlation is used—how to populate the correlation matrix. First, some background. Unfortunately, most financial random variables are not normally distributed—they Read the full article…