Comments on: #Links http://www.aleablog.com/links-16/ Alea Jacta Est Thu, 08 Jan 2009 19:21:14 +0000 http://wordpress.org/?v=2.7 hourly 1 By: jck http://www.aleablog.com/links-16/#comment-2138 jck Tue, 09 Dec 2008 22:28:10 +0000 http://www.aleablog.com/?p=2143#comment-2138 I will have to think some more about this, but interesting from Wilmott who is a pure finance quant, I always thought the quants are missing "something" but hard to say exactly what. Anyway interfacing with actuaries would be good for quants and economists... I will have to think some more about this, but interesting from Wilmott who is a pure finance quant, I always thought the quants are missing “something” but hard to say exactly what. Anyway interfacing with actuaries would be good for quants and economists…

]]> By: David Merkel http://www.aleablog.com/links-16/#comment-2135 David Merkel Tue, 09 Dec 2008 22:02:02 +0000 http://www.aleablog.com/?p=2143#comment-2135 Having worked with the Society of Actuaries for a number of years on actuarial vs financial risk, the actuarial society folks I talked with always felt behind the curve, but I tried to tell them the two models accomplish different goals, and that the finance model was less stable because of the need for liquidity -- when it dries up, the models go out the window because arbitrage can't be maintained. I call the actuarial model "table stability" vs "bicycle stability" for the financial model. The former can stand on its own, the latter needs to keep moving forward to stay upright. So it goes -- amazing about the negative t-bill yields btw. Having worked with the Society of Actuaries for a number of years on actuarial vs financial risk, the actuarial society folks I talked with always felt behind the curve, but I tried to tell them the two models accomplish different goals, and that the finance model was less stable because of the need for liquidity — when it dries up, the models go out the window because arbitrage can’t be maintained.

I call the actuarial model “table stability” vs “bicycle stability” for the financial model. The former can stand on its own, the latter needs to keep moving forward to stay upright.

So it goes — amazing about the negative t-bill yields btw.

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