Faculty of Actuarial Science & Insurance Seminar with Dan Crispin (Rothesay)

Abstract:

Determining accurate capital requirements is an important activity in the life insurance industry. Within simulation based capital-models approximations are often introduced to speed-up Monte Carlo calculations that are used to form capital estimates. However, the resulting capital estimates contains both statistical and approximation errors. Understanding, and if possible eliminating these errors, is therefore of clear benefit to the insurance industry. This talk is based on two recent papers that show how error analysis can be applied to measure the propagation of approximation errors in representative capital models, and also how error analysis can be used to create calculation methods to completely eliminate approximation errors from capital estimates. Advances in the handling of approximation errors improve the accuracy of capital requirements.

 

Biography:

Dr Dan Crispin is Head of Risk Strategists at Rothesay, a UK life insurance company. In his current role he oversees the firm's modelling from a risk-orientated perspective. His recent research has focused on the application of formal error analysis to address current challenges in capital models. Dan has maintained an interest in optimization and analysis from his PhD studies in the calculus of variations.