Emerging Topics Community: Model Validation 101: Bring your Calculus Mindset!

Summary: In this episode, Joe Alaimo interviews Bob Leach to introduce us to the article he has written for the emerging topics community: Model Validation 101: Bring your Calculus Mindset!. Bob describes how the calculus concept of differentiation can be used to validate results from actuarial models.

Jun 27, 2025

8 minutes to listen

Topics:: Modeling & Statistical Methods; Finance & Investments

In this podcast episode Joe Alaimo interviews Bob Leach. Bob introduces us to model validation concepts from the article that he has written for the emerging topics community: Model Validation 101: Bring your Calculus Mindset! Bob discusses how to use calculus concepts to validate results from actuarial models. This discussion is in the context of principle-based reserve valuation models, but the concepts can be extended to other types of actuarial models, like pricing or risk management models. Partial derivatives of the value function can be used to validate that a model is appropriately applying discount rate, expense, withdrawal rate and other actuarial assumptions.

For more details, please read the full article here: https://www.soa.org/digital-publishing-platform/emerging-topics/et-2025-02-leach/

Direct Download Link: https://traffic.libsyn.com/soapodcasts/SOA_546.mp3

Permalink URL: https://soapodcasts.libsyn.com/emerging-topics-community-model-validation-101-bring-your-calculus-mindset

Release Date: 6/30/2025