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Episode 100: Actuaries in Research - Part 2 (Part 2)
My guest for Episode 100 is David Wilkie, CBE, FFA, FIA, FSS, FIMA, Hon D Sc, Hon D Math, Chairman at InQA Limited.
The theme for the episode is ๐๐ฐ๐๐๐ฎ๐ฟ๐ถ๐ฒ๐ ๐ถ๐ป ๐ฅ๐ฒ๐๐ฒ๐ฎ๐ฟ๐ฐ๐ต - ๐ฃ๐ฎ๐ฟ๐ ๐ฎ.
David and I covered the following topics in ๐ฃ๐ฎ๐ฟ๐ ๐ฎ of this historic episode:โฃ
โ Modeling uncertainty within insurance, finance, and risk mgmt
โ Shortcomings of the Black-Scholes option pricing model
โ The origins and evolution of the Wilkie Model for economic variables
โ Realistic disaster scenarios for marine insuranceย
โ The financial crisis, agency risk, and model hazardย
โ Helping to shape actuarial standards and practice globallyย
โ Davidโs new unreleased research paperย
๐ฃ๐ฎ๐ฟ๐ ๐ฎ Time Markers
1:25: Random walk hypothesis and modern financial economics.ย
2:49: Unit-linked life insurance policies and connection to share price uncertainty.ย
6:30: Foundations of the first Wilkie Model (retail prices, dividends, dividend yields, and long-term interest rates).ย
8:40: Limitations of Black-Scholes option pricing model assumptions (share price, transactions costs, and hedging constraints).
13:25: The key innovation for the first Wilkie Model (incorporating stochastic framework, variability, variable interrelations, and autoregressive methods).
16:30: The second Wilkie Model (short-term interest rates, property, property yields, and foreign exchange rates).
19:05: Index-linked yields and modifying long-term interest rate assumptions.
22:02: Incorporating company earnings and payout ratios (dividend payout and price/earnings) into Wilkie Model.
23:56: Realistic disaster scenarios, evaluating extreme losses for oil industry, and Lloydโs syndicate as-if reserves.
30:16: Incorporating parameter uncertainty into Wilkie Model (hyper model approach).
32:51: Using fatter tail distributions (Normal, hyperbolic, and Laplace) for variables with extreme values and high kurtosis.
38:06: Transparency challenges around economic scenario generation.ย
39:03: Packaging of mortgages leading up to 2008 financial crisis and resulting implications.ย
42:32: Misaligned incentives in corporate taxation (interestย
payment deductions).ย ย
46:33: Involvement with actuarial and scientific organizations.ย
50:30: Approved directive for life insurance valuation principles to address country-level disconnects.
52:26: Research that David hasnโt done yet but intends to do.ย
If you are an actuary interested in research, modeling, and programming, you want to listen to this.
My Website: maverickactuary.com
The theme for the episode is ๐๐ฐ๐๐๐ฎ๐ฟ๐ถ๐ฒ๐ ๐ถ๐ป ๐ฅ๐ฒ๐๐ฒ๐ฎ๐ฟ๐ฐ๐ต - ๐ฃ๐ฎ๐ฟ๐ ๐ฎ.
David and I covered the following topics in ๐ฃ๐ฎ๐ฟ๐ ๐ฎ of this historic episode:โฃ
โ Modeling uncertainty within insurance, finance, and risk mgmt
โ Shortcomings of the Black-Scholes option pricing model
โ The origins and evolution of the Wilkie Model for economic variables
โ Realistic disaster scenarios for marine insuranceย
โ The financial crisis, agency risk, and model hazardย
โ Helping to shape actuarial standards and practice globallyย
โ Davidโs new unreleased research paperย
๐ฃ๐ฎ๐ฟ๐ ๐ฎ Time Markers
1:25: Random walk hypothesis and modern financial economics.ย
2:49: Unit-linked life insurance policies and connection to share price uncertainty.ย
6:30: Foundations of the first Wilkie Model (retail prices, dividends, dividend yields, and long-term interest rates).ย
8:40: Limitations of Black-Scholes option pricing model assumptions (share price, transactions costs, and hedging constraints).
13:25: The key innovation for the first Wilkie Model (incorporating stochastic framework, variability, variable interrelations, and autoregressive methods).
16:30: The second Wilkie Model (short-term interest rates, property, property yields, and foreign exchange rates).
19:05: Index-linked yields and modifying long-term interest rate assumptions.
22:02: Incorporating company earnings and payout ratios (dividend payout and price/earnings) into Wilkie Model.
23:56: Realistic disaster scenarios, evaluating extreme losses for oil industry, and Lloydโs syndicate as-if reserves.
30:16: Incorporating parameter uncertainty into Wilkie Model (hyper model approach).
32:51: Using fatter tail distributions (Normal, hyperbolic, and Laplace) for variables with extreme values and high kurtosis.
38:06: Transparency challenges around economic scenario generation.ย
39:03: Packaging of mortgages leading up to 2008 financial crisis and resulting implications.ย
42:32: Misaligned incentives in corporate taxation (interestย
payment deductions).ย ย
46:33: Involvement with actuarial and scientific organizations.ย
50:30: Approved directive for life insurance valuation principles to address country-level disconnects.
52:26: Research that David hasnโt done yet but intends to do.ย
If you are an actuary interested in research, modeling, and programming, you want to listen to this.
My Website: maverickactuary.com
View all episodes
By Dominic LeeMy guest for Episode 100 is David Wilkie, CBE, FFA, FIA, FSS, FIMA, Hon D Sc, Hon D Math, Chairman at InQA Limited.
The theme for the episode is ๐๐ฐ๐๐๐ฎ๐ฟ๐ถ๐ฒ๐ ๐ถ๐ป ๐ฅ๐ฒ๐๐ฒ๐ฎ๐ฟ๐ฐ๐ต - ๐ฃ๐ฎ๐ฟ๐ ๐ฎ.
David and I covered the following topics in ๐ฃ๐ฎ๐ฟ๐ ๐ฎ of this historic episode:โฃ
โ Modeling uncertainty within insurance, finance, and risk mgmt
โ Shortcomings of the Black-Scholes option pricing model
โ The origins and evolution of the Wilkie Model for economic variables
โ Realistic disaster scenarios for marine insuranceย
โ The financial crisis, agency risk, and model hazardย
โ Helping to shape actuarial standards and practice globallyย
โ Davidโs new unreleased research paperย
๐ฃ๐ฎ๐ฟ๐ ๐ฎ Time Markers
1:25: Random walk hypothesis and modern financial economics.ย
2:49: Unit-linked life insurance policies and connection to share price uncertainty.ย
6:30: Foundations of the first Wilkie Model (retail prices, dividends, dividend yields, and long-term interest rates).ย
8:40: Limitations of Black-Scholes option pricing model assumptions (share price, transactions costs, and hedging constraints).
13:25: The key innovation for the first Wilkie Model (incorporating stochastic framework, variability, variable interrelations, and autoregressive methods).
16:30: The second Wilkie Model (short-term interest rates, property, property yields, and foreign exchange rates).
19:05: Index-linked yields and modifying long-term interest rate assumptions.
22:02: Incorporating company earnings and payout ratios (dividend payout and price/earnings) into Wilkie Model.
23:56: Realistic disaster scenarios, evaluating extreme losses for oil industry, and Lloydโs syndicate as-if reserves.
30:16: Incorporating parameter uncertainty into Wilkie Model (hyper model approach).
32:51: Using fatter tail distributions (Normal, hyperbolic, and Laplace) for variables with extreme values and high kurtosis.
38:06: Transparency challenges around economic scenario generation.ย
39:03: Packaging of mortgages leading up to 2008 financial crisis and resulting implications.ย
42:32: Misaligned incentives in corporate taxation (interestย
payment deductions).ย ย
46:33: Involvement with actuarial and scientific organizations.ย
50:30: Approved directive for life insurance valuation principles to address country-level disconnects.
52:26: Research that David hasnโt done yet but intends to do.ย
If you are an actuary interested in research, modeling, and programming, you want to listen to this.
My Website: maverickactuary.com
The theme for the episode is ๐๐ฐ๐๐๐ฎ๐ฟ๐ถ๐ฒ๐ ๐ถ๐ป ๐ฅ๐ฒ๐๐ฒ๐ฎ๐ฟ๐ฐ๐ต - ๐ฃ๐ฎ๐ฟ๐ ๐ฎ.
David and I covered the following topics in ๐ฃ๐ฎ๐ฟ๐ ๐ฎ of this historic episode:โฃ
โ Modeling uncertainty within insurance, finance, and risk mgmt
โ Shortcomings of the Black-Scholes option pricing model
โ The origins and evolution of the Wilkie Model for economic variables
โ Realistic disaster scenarios for marine insuranceย
โ The financial crisis, agency risk, and model hazardย
โ Helping to shape actuarial standards and practice globallyย
โ Davidโs new unreleased research paperย
๐ฃ๐ฎ๐ฟ๐ ๐ฎ Time Markers
1:25: Random walk hypothesis and modern financial economics.ย
2:49: Unit-linked life insurance policies and connection to share price uncertainty.ย
6:30: Foundations of the first Wilkie Model (retail prices, dividends, dividend yields, and long-term interest rates).ย
8:40: Limitations of Black-Scholes option pricing model assumptions (share price, transactions costs, and hedging constraints).
13:25: The key innovation for the first Wilkie Model (incorporating stochastic framework, variability, variable interrelations, and autoregressive methods).
16:30: The second Wilkie Model (short-term interest rates, property, property yields, and foreign exchange rates).
19:05: Index-linked yields and modifying long-term interest rate assumptions.
22:02: Incorporating company earnings and payout ratios (dividend payout and price/earnings) into Wilkie Model.
23:56: Realistic disaster scenarios, evaluating extreme losses for oil industry, and Lloydโs syndicate as-if reserves.
30:16: Incorporating parameter uncertainty into Wilkie Model (hyper model approach).
32:51: Using fatter tail distributions (Normal, hyperbolic, and Laplace) for variables with extreme values and high kurtosis.
38:06: Transparency challenges around economic scenario generation.ย
39:03: Packaging of mortgages leading up to 2008 financial crisis and resulting implications.ย
42:32: Misaligned incentives in corporate taxation (interestย
payment deductions).ย ย
46:33: Involvement with actuarial and scientific organizations.ย
50:30: Approved directive for life insurance valuation principles to address country-level disconnects.
52:26: Research that David hasnโt done yet but intends to do.ย
If you are an actuary interested in research, modeling, and programming, you want to listen to this.
My Website: maverickactuary.com