New Study on Life Expectancies

Here's a New York Times article on a recent government study on life expectancies, which reportedly finds that the gap between the life expectancies of richer versus poorer Americans has increased over the last couple of decades. This certainly has potential implications for several areas of actuarial science: life and mortality analyses, pension valuations, etc.

As always, much of life expectancy dynamics is a function of a few key mortality issues -- e.g., note the references to differential infant mortality.

- Rick

What's It All About?

An article from The New York Times explains the credit crisis in relatively simple terms. A decent place to start if you're just now trying to figure out what's goin' on.

- Rick

Is Black-Scholes a Black Hole?

From Portfolio.com, an article about the potential problems with the underlying assumptions and use of the ubiquitous Black-Scholes model. Fits right in with what we discussed in the UIUC graduate minicourse in Financial Mathematics earlier this semester: real-world distributions tend to have fatter tails than normal distributions.

- Rick

Insurers uber Bankers!

An Economist article suggests the possibility that insurer risk experts -- actuaries -- may have some insights into the management of modeling of risks that could be of use for banks. While that's likely true, of course the influence should optimally go in both directions.

My only problem with the article is the reference to "the green-eyeshade brigade of actuaries ." Many of our eyeshades are actually blue...

- Rick

Is the Economy "Predictable"?

Although "predictable" is often the word used (or at least implied) in such queries, perhaps the question "Is the Economy 'Modelable' " would be more appropriate.

Here's a recent WSJ opinion piece by Ed Phelps, 2006 Economics Nobel prizewinner, titled "Our Uncertain Economy." Lots of comments and references here which are relevant to modeling the economy and financial markets -- and to some recent UIUC classes. Earlier this semester, in our Financial Mathematics graduate minicourse (and, more briefly, in Math 476 last semester), we talked about mean-reverting stochastic process models. Phelps's references to the "natural" levels of interest rates and unemployment, and the difficulty of identify those values, are particularly germane to the parametrization of such models.

- Rick