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How Actuaries Can Use Financial Economics

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  • Smith, A.D.

Abstract

There has recently been some debate about the usefulness of financial economics to the actuarial profession. The consensus appears to be that the techniques are potentially valuable, but the published material is not quite ‘oven ready’. Some development work is required before the material can be applied. The author has carried out much of the necessary development work on behalf of various clients over the last few years. On some occasions the results have conflicted with more conventional actuarial methods. The main aim of the paper is to bring the new techniques into the public domain so that they can be properly discussed by the profession, and adopted more widely if appropriate. The paper contains a number of worked examples using techniques developed by financial economists. The author has listed the computer code which generated the examples and deposited copies on the Internet, so that others can explore the issues with a minimal development overhead.

Suggested Citation

  • Smith, A.D., 1996. "How Actuaries Can Use Financial Economics," British Actuarial Journal, Cambridge University Press, vol. 2(5), pages 1057-1193, December.
    • Handle: RePEc:cup:bracjl:v:2:y:1996:i:05:p:1057-1193_00
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    Cited by:

    1. Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ?," Post-Print hal-00433037, HAL.
    2. Alaeddine Faleh & Fr'ed'eric Planchet & Didier Rulli`ere, 2009. "Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?," Papers 0911.3472, arXiv.org.
    3. Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité," Post-Print hal-00530868, HAL.

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