Description: This abstract describes a paper that considers an alternative way of estimating distribution parameters for nonnegative random variables.

Description: Even in published scientific research, we find fraudulent data. What is an actuary to do? Let's consider our actuarial principles and standards of practice to question our data quality and truthfulness. In specific, the article addresses ASOP 56 on Modeling and considerations of model risk as well as ASOP 23 on Data Quality. Recent examples are given from a Harvard research fraud controversy as well as questionable sumo statistics.

Description: Article describing content and key takeaways from experience completing the SOA PA Certificate

Description: For actuarial projections to serve as the management tools that they are intended to be, the persons charged with making those projections need to consider whether the projection is sufficiently sophisticated so that it does not miss major items.It is important to consider the tax effect. This article covers several of the major tax issues that should be considered in any actuarial projection.

Description: Oliver Wyman recently completed its 2020 Life PBR Emerging Practices survey, with results providing a broad industry perspective on implementation impacts, strategy, assumptions and challenges. This article provides further insights into the trends and drivers observed around planned future refinements to PBR models.

Description: This article talks about the role that models played in the subprime meltdown and the subsequent crisis in the financial markets in general. The models failed to provide information about the magnitude of potential 'black swans'. Extreme Value Theory [EVT] is described as a potential solution to this error.

Description: The article discusses the investment models of The Mutual Pension Insurance Company Ilmarinen, one of the companies managing the statutory employment pension in Finland. The parts are: financial time series data management, time series analysis programs, investment simulation models and portfolio optimization models.

Description: This article, with some humor, describes a movement known as “econophysics” of physicists modeling economic systems, including capital markets, using techniques and concepts developed in studying the out-of-equilibrium dynamics of complex systems. A version of this article appeared in The Actuary UK in August 2004. Reprinted with permission.

Description: This article describes the financial modelers’ manifesto. Focus is on how difficult it is to model financial instruments when there is a human element involved.