Expanding Horizons Issue 38, February 2008

Halmstad Prize Awarded

On Oct.16, 2007, Dr. John Manistre, FCIA, FSA, MAAA, and Mr. Geoffrey Hancock, FCIA, FSA, CERA, were awarded the Halmstad Prize for the best actuarial paper for 2005. Their paper titled "Variance of the CTE Estimator," was originally published in the April 2005 Issue of the North American Actuarial Journal. This paper was considered to be a break through paper in actuarial science because of the increased use of the Conditional Tail Expectation in the new Principal Based Approach (PBA) for reserving and capital estimation, in addition to being important in the calculation of economic capital for the new exciting field of Enterprise Risk Management.

The two authors wrote the paper to both educate as well as aid the readers. The first part of the paper explains the statistical delta method and then the remainder of the paper uses this methodology to derive the formula for the variance of CTE. In the last section of the paper the authors discuss a process that allows the use of their variance formula to accelerate the calculation of the CTE. This process has been reviewed by the Academy's Modeling Efficiency Working Group and it will be included as one potential tool to help actuaries in the calculation of PBA reserves and capital.

Though Mr. Hancock was unable to attend the award ceremony, Dr. Manistre received the plaque from the newly elected Education and Research Chairperson Chuck Fuhrer.

Dr. John Manistre is the vice president of risk research for AEGON NV working both in Cedar Rapids, Iowa and Baltimore Md., and has written several papers and has spoken frequently on the topics of risk analysis and scenario design and selection.

 

 

 

 

 

 

Mr. Geoffrey Hancock is a director with Oliver Wyman in Toronto, Ontario. He has spoken on the topics of Risk–Based Capital Requirements and the Valuation of Guaranteed Minimum Death and Maturity Benefits and Stochastic Pricing.

 

 

 

 

 

 

The Halmstad Prize Web page states that "The David Garrick Halmstad prize is given annually for actuarial research in memory of David Halmstad, an Associate of the Society, for his significant contributions to actuarial science and research. Funds for the prize were contributed in Mr. Halmstad's memory by his friends and colleagues." If you are interested in how the papers are chosen or to see who has won the prize in previous years, please visit Grants, Awards and Prizes.

Chuck Fuhrer presenting the Halmstad prize to Dr. Manistre