• Episode 100: Actuaries in Research - Part 2 (Part 2)

  • Oct 24 2024
  • Duración: 55 m
  • Podcast

Episode 100: Actuaries in Research - Part 2 (Part 2)

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  • Resumen

  • 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 𝗔𝗰𝘁𝘂𝗮𝗿𝗶𝗲𝘀 𝗶𝗻 𝗥𝗲𝘀𝗲𝗮𝗿𝗰𝗵 - 𝗣𝗮𝗿𝘁 𝟮.

    David and I covered the following topics in 𝗣𝗮𝗿𝘁 𝟮 of this historic episode:⁣

    ✅ Modeling uncertainty within insurance, finance, and risk mgmt
    ✅ Shortcomings of the Black-Scholes option pricing model
    ✅ The origins and evolution of the Wilkie Model for economic variables
    ✅ Realistic disaster scenarios for marine insurance
    ✅ The financial crisis, agency risk, and model hazard
    ✅ Helping to shape actuarial standards and practice globally
    ✅ David’s new unreleased research paper

    𝗣𝗮𝗿𝘁 𝟮 Time Markers

    1:25: Random walk hypothesis and modern financial economics.

    2:49: Unit-linked life insurance policies and connection to share price uncertainty.

    6:30: Foundations of the first Wilkie Model (retail prices, dividends, dividend yields, and long-term interest rates).

    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 Lloyd’s 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.

    39:03: Packaging of mortgages leading up to 2008 financial crisis and resulting implications.


    42:32: Misaligned incentives in corporate taxation (interest
    payment deductions).

    46:33: Involvement with actuarial and scientific organizations.

    50:30: Approved directive for life insurance valuation principles to address country-level disconnects.

    52:26: Research that David hasn’t done yet but intends to do.

    If you are an actuary interested in research, modeling, and programming, you want to listen to this.

    My Website: maverickactuary.com
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