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Emerging Topics Community: Model Validation 101: Bring your Calculus Mindset!

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Manage episode 491695640 series 30328
Content provided by Society of Actuaries (SOA). All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by Society of Actuaries (SOA) or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://ppacc.player.fm/legal.

In this podcast episode Joe Alaimo interviews Bob Leach. Bob introduces us to model validation concepts from the article that he has written for the emerging topics community: Model Validation 101: Bring your Calculus Mindset! Bob discusses how to use calculus concepts to validate results from actuarial models. This discussion is in the context of principle-based reserve valuation models, but the concepts can be extended to other types of actuarial models, like pricing or risk management models. Partial derivatives of the value function can be used to validate that a model is appropriately applying discount rate, expense, withdrawal rate and other actuarial assumptions.

For more details, please read the full article here: https://www.soa.org/digital-publishing-platform/emerging-topics/et-2025-02-leach/

  continue reading

191 episodes

Artwork
iconShare
 
Manage episode 491695640 series 30328
Content provided by Society of Actuaries (SOA). All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by Society of Actuaries (SOA) or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://ppacc.player.fm/legal.

In this podcast episode Joe Alaimo interviews Bob Leach. Bob introduces us to model validation concepts from the article that he has written for the emerging topics community: Model Validation 101: Bring your Calculus Mindset! Bob discusses how to use calculus concepts to validate results from actuarial models. This discussion is in the context of principle-based reserve valuation models, but the concepts can be extended to other types of actuarial models, like pricing or risk management models. Partial derivatives of the value function can be used to validate that a model is appropriately applying discount rate, expense, withdrawal rate and other actuarial assumptions.

For more details, please read the full article here: https://www.soa.org/digital-publishing-platform/emerging-topics/et-2025-02-leach/

  continue reading

191 episodes

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