Fwd: INARM Message - Helpful Books and Papers

[Dave Ingram]

Begin forwarded message:

From: Max Rudolph <max.r...@rudolph-financial.com>

Date: April 25, 2013 3:09:13 PM EDT

To: 'inarm inarm' <in...@list.soa.org>

Subject: RE: INARM Message - Helpful Books and Papers

Two books that I found extremely helpful from a broad perspective were

This Time It's Different - Reinhart/Rogoff, despite their recent data issues
they have unearthed more data on debt than was available before and allows
us to have a real discussion today

The Signal and the Noise - Nate Silver, I found this book very interesting
as I was working on some extreme events research projects this year. Silver
has become well known for predicting the US Presidential race in all 50
states last year, but his work focuses more on how to think through an issue
and recognize when something is random versus a shift in direction.

Neither of these books fits in a silo, and I have been trying hard to avoid
those deep-dive books in an effort to look at risk more holistically.

Max

Max J. Rudolph, FSA CFA CERA MAAA
Rudolph Financial Consulting, LLC
(402) 895-0829
Twitter at maxrudolph
www.rudolph-financial.com


-----Original Message-----
From: David Ingram [mailto:davei...@optonline.net]
Sent: Thursday, April 25, 2013 7:02 AM
To: inarm inarm
Cc: David Ingram
Subject: INARM Message - Helpful Books and Papers

Hello INARM people!

Have you come across any particularly helpful risk management books and
papers in the past year or two?  

Please reply to this email with your findings.

Dave Ingram

[Dave Ingram]

Begin forwarded message:

From: Neil Cantle <neil....@milliman.com>

Date: April 25, 2013 3:44:48 PM EDT

To: 'inarm inarm' <in...@list.soa.org>

Subject: RE: INARM Message - Helpful Books and Papers

I would echo Max's suggestions.

I also have recently enjoyed:

Forecast: What Physics, meteorology, and the natural sciences can teach us about economics, Mark Buchanan

This is a really great exploration of people's fascination with equilibrium in trying to understand economics when every other "science" involving complex systems is looking at dynamics and dis-equilibrium!

Antifragility, Nassim Taleb

Has some useful thoughts about how you can go beyond pure resilience or robustness and use stress in a system to improve it

Risk Assessment and Decision Analysis with Bayesian Networks, Fenton and Neil

This is a great book written by two great advocates of causal models and they talk knowledgeably about the fallacies experts and non-experts make in assessing risk. Packed with good examples. I have worked with them on projects and would highly recommend this one for anyone who has reached the conclusion that perhaps statistics is not the whole answer to understanding risk

There are also some great texts from Ecology which have insights to offer. A few I enjoyed:

Resilience thinking: Sustaining ecosystems and people in a changing world, Walker and Salt

Complexity Theory for a sustainable future, Norberg and Cumming

Panarchy: understanding transformations in human and natural systems, Gunderson and Holling

Resilience and the behaviour of large-scale systems, Gunderson and Pritchard

If you want to study how real scientists think about complex systems and how they plan to make practical steps to try and ensure the longevity of the system, then ecology is a great place to read about.

Neil


Neil Cantle, MA FIA ASA CERA  |   Principal and Consulting Actuary   |   neil....@milliman.com
Milliman   |   11 Old Jewry   |   London EC2R 8DU   |   UK
Tel +44 20 7847 1537   |   Fax +44 20 7847 1501   |   Mobile +44 7788 107384   |   uk.milliman.com



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[Dave Ingram]

Begin forwarded message:

From: Stephen Britt <Stephe...@iag.com.au>

Date: April 25, 2013 9:01:27 PM EDT

To: Max Rudolph <max.r...@rudolph-financial.com>, 'inarm inarm' <in...@list.soa.org>

Subject: RE: INARM Message - Helpful Books and Papers

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+1 for 'This Time its Different'.

The ebook is not formatted very well, so perhaps a paper version is the way to go on it.

Steve

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[Dave Ingram]

Begin forwarded message:

From: David Ingram <davei...@optonline.net>

Date: April 25, 2013 10:49:12 PM EDT

To: Stephen Britt <Stephe...@iag.com.au>

Cc: David Ingram <davei...@optonline.net>, Max Rudolph <max.r...@rudolph-financial.com>, 'inarm inarm' <in...@list.soa.org>

Subject: Re: INARM Message - Helpful Books and Papers

Definitely agree.  I read  This Time is Different on Kindle and since the book is a series of stories about tables of numbers, and the tables were hard to read on the kindle, it was definitely a struggle.  I still very much liked the book, but it was physically a struggle.

I would highly recommend "The Hour Between Dog and Wolf".  It is about the physiology of risk taking written by a bond trader turned neurologist. He tells a two part story, first on the trading floor then inside the heads and bodies of the traders.  One of his key points is that the mind-body split that has been a part of western thinking since the Greeks is just not true.  

Dave

[Dave Ingram]

Begin forwarded message:

From: Tyson Mohr <tyson.m...@statefarm.com>

Date: April 26, 2013 9:21:19 AM EDT

To: 'inarm inarm' <in...@list.soa.org>

Subject: RE: INARM Message - Helpful Books and Papers

Some others recommended during the forecasting session at the ERM Symposium:

* Wait: The Art and Science of Delay  - Frank Partnoy
* Boom Bustology - Mansharamani
* Risk and Insurance magazine - series on emerging risks (http://www.riskandinsurance.com/emergingRisksLanding.jsp)
* Five Mind for the Future - Gardner
* Thinking Fast and Slow - Kahneman

Tyson Mohr, FSA
Enterprise Risk Management
State Farm

[Dave Ingram]

Begin forwarded message:

From: "Cox, Andrew P" <Andrew...@guycarp.com>

Date: April 29, 2013 4:18:56 AM EDT

To: David Ingram <davei...@optonline.net>

Subject: RE: INARM Message - Helpful Books and Papers

Dave

I am intrigued by your comment about "The hour between dog and wolf" that mind/body dualism is "simply" not true, as neurobiology and its impact in this area is something I just happen to have done a (very) little reading on recently, and the one thing that I have managed to conclude is that there is nothing "simple" about this area.

Before I go out and add to Amazon's profits, and incur my wife's wrath for buying yet another book, I'd be really grateful if you could let me know if he has anything new to add on this subject.

Generally there are two sets of evidence neurobiology has given us.

The first is that it is possible to induce mental states via physical stimuli eg electrodes applied to the brain, or injections of drugs/steroids.  This is in line with what you would expect if there was no mind, but it is also expect if you believe in a mind that interacts with the world (which is the usual but not only form of dualism around).

The second type of evidence is that brain activity seems to precede mental awareness of making a decision - the most commonly referred to example that I have come across is Libet's experiments in 1979.  Again this is consistent with no separate mind.  So on the basis of this evidence in isolation, one is justified in believing in no mind.  However, this result is also exactly what one would expect if the mind does exist, because if it does it does not act independently of the brain; rather, as the Nobel Prize-winning neurologist Sir John Eccles says, the mind uses the brain as an instrument to think. Hence mental decisions are not simultaneous with the conscious awareness of them. If the mind exists it relies on the brain as an instrument of thought and the finite velocity of the transmission of neural signals leads to a time lag between the mind's decisions and the awareness of them.

So in summary the evidence I have seen cannot distinguish between the existence of the mind and not.

I am also interested if the book covers any of the philosophical arguments in favour of dualism, eg that no non mental object demonstrates intentions.

Also, there is a strong argument that if the mind does not exist we cannot rationally believe that it does not exist.  The idea here is that if the mnd does not exist aned mental beliefs are simply epiphenomena which cannot have any impact on our physical actions the beliefs are essentially random.  There would be no mechanism for favouring true beliefs over false ones - natural selection favours useful actions (driven by chemical reactions) not any belief that happens to be associated with that chemical reaction.  Given the potentially infinite number of beliefs the chances our beliefs are true are basically nil. Philosophers such as Nagel and Plantinga majke this point well.  It also harks back to Wittgenstein and Cantor's work on the inability to understand a system solely from within that system.

So in summary I think I will carry on believing in free will a little bit longer, not least so I can think that my risk management actions might actually make a difference!

Kind regards

Andrew

[Dave Ingram]

Begin forwarded message:

From: jsa...@econ.uba.ar

Date: April 29, 2013 9:39:06 AM EDT

To: in...@list.soa.org

Subject: Re: INARM Message - Helpful Books and Papers

In response to the request I consider important the following papers I
detail below.

It would be interesting to see new papers and books on risk management
Schollar use of Google to see what the latest studies published on it.

Extreme value analysis of actuarial risks: estimation and model validation
Holger Drees November 17, 2011

Abstract We give an overview of several aspects arising in the statistical
analysis of extreme risks with actuarial applications in view. In
particular it is demonstrated that empirical process theory is a very
powerful tool, both for the asymptotic analysis of extreme value
estimators and to devise tools for the validation of the underlying model
assumptions. While the focus of the paper is on univariate tail risk
analysis, the basic ideas of the analysis of the extremal dependence
between dierent risks are also outlined. Here we emphasize some of the
limitations of classical multivariate extreme value theory and sketch how
a dierent model proposed by Ledford and Tawn can help to avoid pitfalls.
Finally, these theoretical results are used to analyze a data set of large
claim sizes from health insurance

Best regards.
From Buenos Aires, Argentina

José Luis Salvia