Actuarial Update

Hi Everyone:   I Have to confess it has been almost 8 months since my last blog entry.   Apparently the world at large has not noticed, but I felt it was important to make the effort and provide a quick update on the status of Actuarial Modeling and Window HPC Server.   We continue…


Condor Week and HPCS Microsoft Opens the Window to the Giant Bird

Every year in April the users and creators of the Condor Open source scheduling solution meet in Madison WI, for Condor Week.   In the past my employer, Microsoft, has strongly encouraged the implementation of Condor on Windows. When we introduced our own job scheduler we  fell off the speaker schedule at the conference.  …


Some Hard Data on the Effectiveness of Hedging

In my last post I posed the question “Does Hedging really Work”. Since that time I’ve been doing some research for an article in Windows in Financial Services and received the following quote From    Ken Mungan, FSA, MAAA, and Principal at the Milliman Financial Risk Management practice:  Research at Milliman has shown that life…


Does Hedging really work?

A number of large VA providers have active Equity Hedge programs in place for risk management against adverse effects of stock market fluctuations. after the last 18 months of craziness in the stock market, maybe this is the perfect time to examine the cost and effectiveness of hedging programs? One of the best know practitioner…


Matlab Users among Actuaries?

We recently had the chance to speak with some modelers using Matlab to run some analysis for their Enterprise Risk Management program.   They were surprised to find out that Matlab was supported on the Windows Compute Cluster Server. Is anybody else out there running Matlab for Economic capital analysis or ERM?   Please let…


Why choose a single tool?

Last week at the Valuation Actuaries Symposium I was able to attend a session hosted by Milliman at the Embassy Suites Hotel during which the MG-ALFA modeling product and the MG-Triton Valuation product were discussed and reviewed in the context of how they contributed to their combined effectiveness. One of the questions raised during the…


Are Actuarial clusters becoming a real possibility?

In the past couple of years I’ve learned just enough about how computational modeling is used in Actuarial science to begin to understand the real possibilities. In a nutshell, I’ve found the big three applications are general capital model for purposes ranging from pricing to cash flow testing. The second primary application is policy valuation,…


Stochastic for Health and Property/Casualty

Stochastic methods have been well integrated into the Life insurance segment of the industry. From my naive perspective HEalth and to a lesser degree P&C have been unable to benefit from these methods due to a lack of commercial software that exploits stochastic probability model.   I received an email from MArk Zanecki of IHA…


Too Much Marketing Hype?

On May 28th I made my first SOA presentation at the Spring Health Conference. I was one of three vendor representatives on a panel covering the Actuaries High Performance Computing Challenge. I thought I gave a reasonable presentation, but after the fact I received some feedback that it was bit Vendor centric and contained too…


See You in LA on May 28-30

The Society Of Actuaries annual health Spring meeting is scheduled for the Hyatt Regency in Century City next week. I’ll be presenting in Section 17 1:30 – 3:00 PM along with John Powers and Gordon Jackson. Stop by and introduce yourself. If you mention the magic codeword “Copper”, I’ll have a special gift for you….