Posts Tagged ‘John Major’



April 29th, 2019

Methodological Considerations in the Statistical Modeling of Catastrophe Bond Prices

Posted at 1:00 AM ET

major_john_gcciJohn Major, Director of Actuarial Research

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John Major has authored an article that aims to help actuaries, financial analysts, statisticians, data scientists and their clients better investigate how property catastrophe risk, and particularly catastrophe bonds, are  priced.

As in any technical discipline, statistical modeling has its customs, templates and default modes of operation, which are typically learned early in a practitioner’s education. These practices persist as “standard operating procedures,” to be modified as needs arise. The purpose of this article is to challenge those default modes as they have appeared in 21st century-published catastrophe bond pricing research.

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February 7th, 2013

Managing Catastrophe Model Uncertainty, Issues and Challenges

Posted at 1:00 AM ET

major_john_gcciJohn Major, Director of Actuarial Research, GC Analytics®
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Here we repeat our popular series authored by John Major, which focuses on the issues and challenges in managing catastrophe model uncertainty.

Managing Catastrophe Model Uncertainty, Issues and Challenges: Part I, Executive Summary: Uncertainty is ever present in the insurance business, and despite relentless enhancements in data gathering and processing power, it is still a large factor in risk modeling and assessment. This realization, driven home by model changes and recent unexpected natural catastrophes, can be disconcerting - even frightening - to industry participants. But companies that understand the vagaries of model uncertainty and take a disciplined, holistic approach to managing the catastrophe modeling process are well positioned to adapt and outperform the competition.

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Managing Catastrophe Model Uncertainty, Issues and Challenges: Part II, Natural Cat Modeling, Uncertainty in Cat Model Results: Computerized simulation modeling of the potential impact and risk of natural disasters - from multiple perils - was pioneered by Dr. Don G. Friedman at the Travelers Insurance Company in the 1960s. Figure 2, below, is an example of one of his simulated wind speed maps, circa 1974. In 1987, Karen Clark founded the first cat modeling firm, AIR, and three more firms, RMS, EQECAT and ARA, came on the scene in 1988, 1994 and 1999, respectively. By the early 1990s Guy Carpenter had become a “power user” of cat models and augmented its capabilities by acquiring the intellectual property - and hiring some colleagues of the retiring Dr. Friedman.

Click here to read the article >>

 

Managing Catastrophe Model Uncertainty, Issues and Challenges: Part III, Using Cat Models: Scenario analysis has a long history in risk management. By examining a set of hypothetical extreme events and asking “what if this were to happen?” management can begin to get a sense of vulnerabilities in the business. But it is hard to assess how realistic a particular scenario might be. Using historical events as the basis for scenarios incorporates the fact that those events did, in fact, occur. They are realistic by definition. And their relative occurrence over time gives a sense of probability.

Click here to read the article >>

 

Managing Catastrophe Model Uncertainty, Issues and Challenges: Part IV, How Guy Carpenter Can Help: As Karen Clark, founder of AIR and now an independent consultant, has said, “the black box started out as a useful tool for decision making, but then it grew to be very big and very powerful; the black box now makes the decisions.” While somewhat hyperbolic, there is also much truth to this aphorism. Models are tools, and a good tool user understands the strengths and limitations of the tool.

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Click here to view other GC Capital Ideas stories authored by John Major >>

November 11th, 2012

Guy Carpenter Actuarial Executives Awarded Variance Prize by the Casualty Actuarial Society

Posted at 11:15 PM ET

November 12, 2012: Guy Carpenter & Company announces that three members of its actuarial team have been awarded the 2011 Variance Prize for thought leadership in risk valuation, underwriting cycle modeling and risk benchmarks for the property-casualty market. The prize recognizes the best papers published to Variance, the scientific journal of the Casualty Actuarial Society.

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June 25th, 2012

Managing Catastrophe Model Uncertainty, Issues and Challenges

Posted at 1:00 AM ET

major_john_gcciJohn Major, Director of Actuarial Research, GC Analytics®
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Here we bring together the segments of the popular series authored by John Major, which focuses on the issues and challenges in managing catastrophe model uncertainty.

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December 15th, 2011

Managing Catastrophe Model Uncertainty, Issues and Challenges: Part IV, How Guy Carpenter Can Help

Posted at 1:00 AM ET

major_john_gcciJohn Major, Director of Actuarial Research, GC Analytics®
Contact

As Karen Clark, founder of AIR and now an independent consultant, has said, “the black box started out as a useful tool for decision making, but then it grew to be very big and very powerful; the black box now makes the decisions (4).” While somewhat hyperbolic, there is also much truth to this aphorism. Models are tools, and a good tool user understands the strengths and limitations of the tool.

Continue reading…

December 14th, 2011

Managing Catastrophe Model Uncertainty, Issues and Challenges: Part III, Using Cat Models

Posted at 1:00 AM ET

major_john_gcciJohn Major, Director of Actuarial Research, GC Analytics®
Contact

Scenario analysis has a long history in risk management. By examining a set of hypothetical extreme events and asking “what if this were to happen?” management can begin to get a sense of vulnerabilities in the business. But it is hard to assess how realistic a particular scenario might be. Using historical events as the basis for scenarios incorporates the fact that those events did, in fact, occur. They are realistic by definition. And their relative occurrence over time gives a sense of probability.

Continue reading…

December 13th, 2011

Managing Catastrophe Model Uncertainty, Issues and Challenges: Part II, Natural Cat Modeling, Uncertainty in Cat Model Results

Posted at 1:00 AM ET

major_john_gcciJohn Major, Director of Actuarial Research, GC Analytics®
Contact

Computerized simulation modeling of the potential impact and risk of natural disasters - from multiple perils - was pioneered by Dr. Don G. Friedman at the Travelers Insurance Company in the 1960s (1). Figure 2, below, is an example of one of his simulated wind speed maps, circa 1974. In 1987, Karen Clark founded the first cat modeling firm, AIR, and three more firms, RMS, EQECAT and ARA, came on the scene in 1988, 1994 and 1999, respectively. By the early 1990s Guy Carpenter had become a “power user” of cat models and augmented its capabilities by acquiring the intellectual property - and hiring some colleagues of the retiring Dr. Friedman.

Continue reading…

December 12th, 2011

Managing Catastrophe Model Uncertainty, Issues and Challenges: Part I, Executive Summary

Posted at 1:00 AM ET

major_john_gcciJohn Major, Director of Actuarial Research, GC Analytics®
Contact

Uncertainty is ever present in the insurance business, and despite relentless enhancements in data gathering and processing power, it is still a large factor in risk modeling and assessment. This realization, driven home by model changes and recent unexpected natural catastrophes, can be disconcerting - even frightening - to industry participants. But companies that understand the vagaries of model uncertainty and take a disciplined, holistic approach to managing the catastrophe modeling process are well positioned to adapt and outperform the competition.

Continue reading…

December 8th, 2011

Guy Carpenter Examines Multi-Model Approach in New Report on Managing Catastrophe Model Uncertainty

Posted at 1:00 AM ET

Guy Carpenter & Company published a new report on the effective use of property catastrophe models by property insurers.

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