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Tsanakas, A.; Beck, M.B.; Thompson, M. (2016)
Publisher: Cambridge University Press
Languages: English
Types: Article
Subjects: HA
Taming the beast of uncertainty has been the grand project to which actuaries have dedicated much of their energy and skill over at least the last 50 years - roughly the time since, in Hans Buehlmann's (1989) famous term, "Actuaries of the Second Kind" emerged.
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    • Barrieu, P., and Scandolo, G. (2015). Assessing financial model risk. European Journal of Operational Research, 242(2), 546-556.
    • Bignozzi V., Tsanakas, A. (2014). Parameter uncertainty and residual estimation risk. Journal of Risk and Insurance, forthcoming.
    • Beck M. B. (2014). Handling Uncertainty in Environmental Models at the Science-policy-society Interfaces. In Error and Uncertainty in Scientific Practice (Boumans, M. Hon, G., and Petersen, A. C., eds), Pickering & Chatto, pp. 97-135.
    • Board of Governors of the Federal Reserve System (2011). SR 11-7: Guidance on Model Risk Management. Available: http://www.federalreserve.gov/bankinforeg/srletters/sr1107a1.pdf Bronk, R. (2011). Uncertainty, modelling monocultures and the financial crisis. Business Economist, 42(2), 5.
    • B├╝hlmann, H. (1989). Actuaries of the Third Kind? ASTIN Bulletin, 19(S1), 5-6.
    • Cairns, A. J. (2000). A discussion of parameter and model uncertainty in insurance. Insurance: Mathematics and Economics, 27(3), 313-330.
    • Cont, R., Deguest, R., and Scandolo, G. (2010). Robustness and sensitivity analysis of risk measurement procedures. Quantitative Finance, 10(6), 593-606.
    • D'Arcy, S. (2005). On Becoming an Actuary of the Fourth Kind. Proceedings of the Casualty Actuarial Society (Presidential Address, November 14, 2005).
    • Donnelly, C., and Embrechts, P. (2010). The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. ASTIN Bulletin, 40(01), 1-33.
    • Greenspan, A. (2013), The Map and the Territory. Risk, Human Nature and the Future of Forecasting. Penguin Press.
    • Ingram, D., Tayler, P., and Thompson, M. (2012). Surprise, surprise: from neoclassical economics to e-life. ASTIN Bulletin, 42(2), 389-411.
    • Lane, D. A., and Maxfield, R. R. (2005). Ontological uncertainty and innovation. Journal of evolutionary economics, 15(1), 3-50.
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