Maverick Actuary is a transformational, multi platform content community founded by Dominic Lee in 2021 with the mission of maximizing the impact and value of quant professionals (numbers people) on a global scale. Live With The Maverick is a weekly interview series, hosted by Dominic on Instagram Live. The series features the movers and shakers in actuarial science, risk, and analytics. The overarching goal is to expose quant professionals to individuals who embody the values of Maverick Actuary’s brand and mission. The target audience is quant professionals who are seeking to develop and grow in their careers, and benefit from a broad variety of perspectives from industry leaders and experts with a proven track record of success.
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Maverick Actuary is a transformational, multi platform content community founded by Dominic Lee in 2021 with the mission of maximizing the impact and value of quant professionals (numbers people) on a global scale. Live With The Maverick is a weekly interview series, hosted by Dominic on Instagram Live. The series features the movers and shakers in actuarial science, risk, and analytics. The overarching goal is to expose quant professionals to individuals who embody the values of Maverick Actuary’s brand and mission. The target audience is quant professionals who are seeking to develop and grow in their careers, and benefit from a broad variety of perspectives from industry leaders and experts with a proven track record of success.
Episode 100: Actuaries in Research - Part 2 (Part 2)
Live With The Maverick
55 minutes
1 year ago
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 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
Live With The Maverick
Maverick Actuary is a transformational, multi platform content community founded by Dominic Lee in 2021 with the mission of maximizing the impact and value of quant professionals (numbers people) on a global scale. Live With The Maverick is a weekly interview series, hosted by Dominic on Instagram Live. The series features the movers and shakers in actuarial science, risk, and analytics. The overarching goal is to expose quant professionals to individuals who embody the values of Maverick Actuary’s brand and mission. The target audience is quant professionals who are seeking to develop and grow in their careers, and benefit from a broad variety of perspectives from industry leaders and experts with a proven track record of success.
