Faculty of Actuarial Science and Insurance Research Seminars

Academic Year 2022/2023.

If you wish to attend a seminar, please book, using the link below the Seminar.

The FASI seminars are recognised by the Institute and Faculty of Actuaries as providing 1 hour of continuous professional development (CPD) training.

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19th October 2022 - Dr Stephen Mildenhall

"Pricing Insurance Risk: Theory and Practice"
Abstract:

This presentation discusses the main results from my monograph with John Major published earlier this year. It focuses on portfolio pricing and its allocation to individual units. We show how the standard assumption of a constant cost of capital (which goes back to Adam Smith) requires two risk measures, not one, and is inconsistent with observed bond credit spreads and cat bond pricing. We then explain how spectral risk measures provide aMildenhall Stephen theoretically satisfying pricing model, but one that doesn't hold in practice because of subtle non-differentiability problems, which manifest themselves to practitioners as the "order problem." The theoretical model is also hard to calibrate. Next, we invert the calibration problem and provide a concrete description of the set of spectral risk measures that determine the same price for a given portfolio. We show how pricing functionals in this set can be interpreted as tail-centric or volatility-centric. They give different allocations to a net sub-portfolio over a range material to real-world decision-making. These findings are interpreted in light of current catastrophe reinsurance market dislocations.

Biography

Dr. Stephen Mildenhall is Faculty and Director of Insurance Data Analytics in the School of Risk Management, Insurance and Actuarial Science at St. John’s University’s Peter J. Tobin College of Business.

Dr. Mildenhall was Global CEO of Analytics for Aon and head of Aon Benfield Analytics where he helped found and establish Aon’s Singapore Center for Innovation and Analytics and led a team of over 500 professionals in actuarial science, catastrophe modeling, accounting and financial modeling. Prior to Aon, he was vice president of Actuarial Pricing for Kemper Insurance and began his career at CNA.

Dr. Mildenhall is a frequent speaker and published author on risk theory, the intersection of insurance and finance, and the application of probability and statistics to reserving and rate making problems. He is a fellow and Board and Audit Committee member of Casualty Actuarial Society (CAS), a board member of the CAS Institute, an associate of the Society of Actuaries, and a member of the Risk Theory Society. He served on the ARIA Board of Directors from 2013-2016 and was a member of the CAS Committee on the Theory of Risk and its chairman from 2008-2010.

He holds a B.Sc. in Mathematics from the University of Warwick, England, and a MA and Ph.D. in Mathematics from the University of Chicago. He is a Chartered Enterprise Risk Analyst, Certified Specialist in Predictive Analytics, and a Catastrophe Risk Management Professional.

His book, Pricing Insurance Risk: Theory and Practice, with John Major, was published by Wiley in 2022.

To attend in person, please register here.

Seminars take place on Wednesdays 16:00 to 17:00.  The Seminars are open to everyone.

Please contact: faculty.administration@city.ac.uk for further information.

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