I know of far too many actuaries who think that the “average† SA85/90 table is an appropriate base for their insured lives mortality assumption. It’s not. It’s also a good example of “actuarial sloppiness†. To be specific, it is equally inappropriate if your current experience is a reasonable fit for the combined SA85/90 table. SA85/90…
A few years ago, as South African life insurers were experiencing sharp spikes in lapse rates as a result of the GFC, some analysts and actuaries raised concerns about the impact of selective lapsation on mortality experience. The principle is sound: Policyholders who know their health is very poor are less likely to lapse than…
An actuary I know once made me cringe by saying “It doesn’t matter how an Economic Scenario Generator is constructed, if it meets all the calibration tests then it’s fine. A machine learning black box is as good as any other model with the same scores.† The idea being that if the model outputs correctly…
I’ve been working with a few insurers and reinsurers on credit risk recently. We’ve had plenty of reasons to think about it, what with new regulations (SAM, Basel III) and South African government downgrades. However, sometimes I get the impression that credit risk is viewed as an academic risk, as something that happens to others,…
Nassim Taleb, an author who usually inspires (except in his second book, Black Swans) has co-authored a paper with a long-tailed title “On the Difference between Binary Prediction and True Exposure with Implications for Forecasting Tournaments and Decision Making Research”. The paper isn’t paygated so check it out – it’s only 6 pages so definitely…
I didn’t really want to have my first blog post in months be as brief as this, but when XKCD makes me laugh I feel the need to share it. Going to try to blog more regularly over the coming months, so watch this space.
XKCD is always good, but the statistical references are often quite insightful!
A few people have mentioned that they found my “live blogging” or tweeting of the 2013 LAC Seminar in Cape Town and Joburg useful. I used the hastag #LACseminar2013. I’m repeating all of them here in case they’re useful in a slightly more long-lived medium of my blog. I didn’t cover all the sessions –…
