By Ian Duncan, Raya Feldman, and Michael Ludkovski
The 49th Actuarial Research Conference (ARC) was held on the beautiful campus of the UC Santa Barbara, next to the Pacific Ocean. The UCSB Dept. of Statistics & Applied Probability has taught actuarial science for more than 25 years; four years ago the department introduced an actuarial science major and now has 200 current undergraduate students.
The conference opened with welcoming remarks from Dr. Pierre Wiltzius, dean of Mathematical, Life and Physical Sciences. After noting that UCSB ranks highly in academic league tables, Dr. Wiltzius pointed to the growth in student numbers in science: the incoming undergraduate class contains 45 percent majors in science, nearly double the 25 percent only seven years ago.
Following Dr. Wiltzius, the general session paused for an introduction of Patrick Brockett, professor of Risk Management and Insurance, Department of Information, Risk, and Operations Management at the University of Texas at Austin. Pat is the newly-appointed editor of the North American Actuarial Journal. Pat began by noting that he follows some famous names in this role: Mary Hardy (most recently) and also Sam Cox, Jed Frees and Harry Panjer. Pat’s philosophy for the journal is one of “application-driven theory.” Starting with a concrete application, find a path to solving the problem that will solve other problems as well.
Prof. J-P Fouque, a member of the Scientific Committee for the conference and director of the UCSB Center for Financial Mathematics & Actuarial Research, then introduced our keynote speaker, Prof. Paul Embrechts from ETH Zurich (after putting in a small plea for recognition of UCSB as a CAE school). ETH Zurich is one of the world’s leading universities for technology and the natural sciences.
Prof. Embrechts charmed the audience with his modesty and good humor (on display later at the beach barbeque when he danced with the Mariachi Band). At the same time he gave a mathematically challenging but readily understandable presentation on solvency, risk measures and some of the many modeling challenges that these present. Prof. Embrechts’s slides are available, together with all presentations from the conference, at the conference website. The entire morning session was also videotaped and can be viewed online.
Following Prof. Embrechts’s talk, all attendees posed for a conference photo. The only plenary panel of the conference was a discussion of actuarial organizations’ support of actuarial research. A separate article about this panel may also be seen in this edition of Expanding Horizons. A video recording of the panel is also available.
The morning session ended on a light note with Sam Broverman from the University of Toronto describing what lies in store for participants at the 50th ARC in 2015. After seeing the computer support that will be available I will be dusting off my Commodore 64, and attendees may want to plan their prospective tattoos in advance of heading to Toronto.
We were honored by the presence of a number of leaders of different actuarial organizations, including SOA President Mark Freedman (lunchtime speaker on Monday), Wayne Fisher (lunchtime speaker on Tuesday) and Errol Kramer, SOA president-elect (moderator of Monday’s panel on pensions).
The conference included a number of innovations: on Monday, Margaret Resce Milkint of Jacobson Group and Natalia Humphreys (UT Dallas) led a workshop on speed-networking. Speed networking has become a popular event at Society of Actuaries conferences and attendees enjoyed the opportunity to practice networking skills with each other. At the same time, attendees were able to view the poster presentations and vote for the best poster(s). Also open during the conference was the exhibit hall with a number of sponsoring exhibitors, including the CAS, Oracle, Coaching Actuaries, Actex Publications, Numerical Algorithms Group, Pryor Associates, Ezra Penland Actuarial Recruiters and a number of UCSB departments including Center for Financial Mathematics & Actuarial Research, the dept. of Statistics & Applied Probability, the UCSB Actuarial Association and the Division of Mathematical, Life and Physical Sciences. We sincerely appreciate the support of our sponsors, without whose support the conference would not have been possible.
The remainder of the conference consisted of breakout sessions. These were not recorded with the exception of two sessions: Actuarial Education and Professionalism for Academic Actuaries The scientific sessions were well attended and discussion of papers was lively.
We hope that our guests had an enjoyable conference and we welcome you back to UCSB whenever your schedule allows!
Ian Duncan, FSA, FCIA, FIA, MAAA, is an adjunct associate professor at University of California, Santa Barbara in Santa Barbara, Calif. He can be reached at duncan@pstat.uscb.edu.
Raya Feldman, PhD, is a professor at University of California – Santa Barbara in Santa Barbara, Calif. She can be reached at Feldman@pstat.ucsb.edu.
Michael Ludkovski is an associate professor at University of California – Santa Barbara in Santa Barbara, Calif. He can be reached at ludkovski@pstat.ucsb.edu.