Twenty Third Floor

Figuring out the future and the now

Category: modelling

Actuarial and Risk, alternative investments, capital, capital structure, climate change, insurance, managing uncertainty, measurement, microinsurance, modelling, Solvency Assessment and Management, Solvency II, statistics

Capital Modelling for parametric insurance – intro

21 October 2024

David Kirk

As parametric insurance gains traction, insurers face specific challenges in capital modeling and regulatory capital navigation. I have a longer paper coming out on this, but if you’re looking for an intro, here are some of the interesting and different aspects compared to more traditional insurance. 1. Regulatory Uncertainty: The treatment of parametric insurance under…
Read more: Capital Modelling for parametric insurance – intro
complexity, data analysis, distribution, modelling, optimisation

Weighting waiting

11 May 2024

David Kirk

Navigating Complexity in Queue Management: Slightly serious insights from the Motor Vehicle Licence Renewal Office Queue management at the motor vehicle licence renewal office offers a window into a realm of complexity that extends far beyond the waiting room. Exploring priority queuing and weighted fair queuing (WFQ), we uncover a world of probabilistic models, dynamic…
Read more: Weighting waiting
complexity, insight, modelling

Harmless error

12 August 2022

David Kirk

I’m listening to a legal “true crime” podcast. Guilty-as-anything defendant keeps complaining about this error, this oversight, this unfair ruling. But the thing is, none of those things really mattered. They didn’t materially contribute to the guilty verdict. The judge can say, when refusing an appeal, that those are “harmless errors” in that they did…
Read more: Harmless error
Actuarial and Risk, complexity, insurance, life insurance, managing uncertainty, modelling, Solvency Assessment and Management, Solvency II, systemic risk

Downwards counterfactual analysis

30 October 2017

David Kirk

Stress and scenario testing are important risk assessment tools. They also provide useful ways to prepare in advance for adverse scenarios so that management doesn’t have to create everything from first principles when something similar occurs. But trying to imagine scenarios, particularly very severe scenarios, isn’t straightforward. We don’t have many examples of very extreme…
Read more: Downwards counterfactual analysis
insight, measurement, modelling

Island Life

23 October 2017

David Kirk

There is a Mauritian insurer called Island Life. Best name ever for an insurance company. I firmly believe in anthropogenic climate change. I am not an expert, but my reading has convinced me of the seriousness of the issues, the overwhelming evidence that it is humans at fault. Having young children makes me seriously concerned…
Read more: Island Life
complexity, data analysis, modelling, operational risk

Do Data Lakes hide Loch Ness Monsters?

22 October 2017

David Kirk

I had a discussion with a client recently about the virtues of ensuring data written into a data warehouse is rock solid and understood and well defined. My training and experience has given me high confidence that this is the right way forward for typical actuarial data. Here I’m talking in force policy data files,…
Read more: Do Data Lakes hide Loch Ness Monsters?
Actuarial and Risk, complexity, economics, financial risk, insight, insurance, life insurance, liquidity risk, modelling, systemic risk

What is Systemic Risk?

16 October 2017

David Kirk

Systemic risk is risk to the “system” in some way. In the financial services world, it is often defined in one of two ways: The risk of contagion, where failure of an entity leads to distress or failures of others [micro prudential] The risk of an event that can trigger serious consequences for the real economy.…
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Actuarial and Risk, communication, complexity, Equity Risk Premium, insight, investments, life insurance, market risk, measurement, modelling

Modelling one side of a two-sided problem

13 October 2017

David Kirk

Ah models, my old friends. You’re always wrong, but sometimes helpful. Often dangerous too. A recent article in The Actuary magazine addressed whether “de-risking in members’ best interests?” I say “recent” even though it’s from August because I am a little behind on my The Actuary reading. In the article, the authors demonstrate that by…
Read more: Modelling one side of a two-sided problem

About David Kirk

Featured Posts

Value at Risk – not always a monster, but normally it is.
by David Kirk
Nassim Taleb is not a fan of Value At Risk (VaR) “You’re worse off relying on misleading information than on not having any information at… Read more: Value at Risk – not always a monster, but normally it is.
One answer could be pet insurance
by David Kirk
I firmly believe major demographics shifts are going to have massive social, political, economic, financial market and commercial impacts in the coming decades. The balance… Read more: One answer could be pet insurance
A piece of the failure puzzle – decreasing insurer failure rates through Skilled Person Reviews
by David Kirk
Every failure hits policyholders’ savings or cover, impact their lives and their livelihoods. They destroys shareholder value and decrease confidence in the entire financial sector.… Read more: A piece of the failure puzzle – decreasing insurer failure rates through Skilled Person Reviews
How and why insurers fail
by David Kirk
I’ve been updating my presentation from 2021 on “How and Why Insurers Fail”. I now estimate the annual failure rate (or at least getting into… Read more: How and why insurers fail
The hidden dangers of opinion shopping and trusting good news.
by David Kirk
I had a recent discussion on the value of getting a second opinion. There’s the old line that “if you want five opinions, ask three… Read more: The hidden dangers of opinion shopping and trusting good news.
40,000
by David Kirk
40,000. That’s the ballpark figure I usually work with as the minimum number of micro insurance policies required for scale. The expenses of running even… Read more: 40,000
IFRS17 may not kill off EV
by David Kirk
Will IFRS17 kill off Embedded Value (EV) reporting in Africa? Or will it finally bring Market Consistent Embedded Value (MCEV) to life? I gave a… Read more: IFRS17 may not kill off EV

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