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Editorial: A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance

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  • Albert Cohen

    (Department of Mathematics, Michigan State University, East Lansing, MI 48823, USA)

Abstract

In the nearly thirty years since Hans Buhlmann (Buhlmann (1987)) set out the notion of the Actuary of the Third Kind, the connection between Actuarial Science (AS) and Mathematical Finance (MF) has been continually reinforced. As siblings in the family of Risk Management techniques, practitioners in both fields have learned a great deal from each other. The collection of articles in this volume are contributed by scholars who are not only experts in areas of AS and MF, but also those who present diverse perspectives from both industry and academia. Topics from multiple areas, such as Stochastic Modeling, Credit Risk, Monte Carlo Simulation, and Pension Valuation, among others, that were maybe thought to be the domain of one type of risk manager are shown time and again to have deep value to other areas of risk management as well. The articles in this collection, in my opinion, contribute techniques, ideas, and overviews of tools that specialists in both AS and MF will find useful and interesting to implement in their work. It is also my hope that this collection will inspire future collaboration between those who seek an interdisciplinary approach to risk management.

Suggested Citation

  • Albert Cohen, 2018. "Editorial: A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance," Risks, MDPI, vol. 6(1), pages 1-3, January.
    • Handle: RePEc:gam:jrisks:v:6:y:2018:i:1:p:4-:d:126976
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    References listed on IDEAS

    as
    1. Daoping Yu & Vytaras Brazauskas, 2017. "Model Uncertainty in Operational Risk Modeling Due to Data Truncation: A Single Risk Case," Risks, MDPI, vol. 5(3), pages 1-17, September.
    2. Cohen, Albert, 2010. "Examples of optimal prediction in the infinite horizon case," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 950-957, June.
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    4. Peter Carr, 2017. "Bounded Brownian Motion," Risks, MDPI, vol. 5(4), pages 1-11, November.
    5. Albert Cohen & Nick Costanzino, 2017. "Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model," Risks, MDPI, vol. 5(2), pages 1-28, April.
    6. Michael R. Metel & Traian A. Pirvu & Julian Wong, 2017. "Risk Management under Omega Measure," Risks, MDPI, vol. 5(2), pages 1-14, May.
    7. Michael R. Metel & Traian A. Pirvu & Julian Wong, 2015. "Risk management under Omega measure," Papers 1510.05790, arXiv.org, revised Apr 2017.
    8. Carolyn W. Chang & Jack S. K. Chang, 2017. "An Integrated Approach to Pricing Catastrophe Reinsurance," Risks, MDPI, vol. 5(3), pages 1-12, September.
    9. Gerber, Hans U., 1977. "On Optimal Cancellation of Policies," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 125-138, January.
    10. Nguyet Nguyen, 2017. "An Analysis and Implementation of the Hidden Markov Model to Technology Stock Prediction," Risks, MDPI, vol. 5(4), pages 1-16, November.
    11. Robert J. Rietz & Evan Cronick & Shelby Mathers & Matt Pollie, 2017. "Effects of Gainsharing Provisions on the Selection of a Discount Rate for a Defined Benefit Pension Plan," Risks, MDPI, vol. 5(2), pages 1-10, June.
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