Welcome to ERM modeling! I am Steve Craighead and I want to take you on a journey to design and implement models for Enterprise Risk. Here we will discuss what ERM is, its model life cycle and demonstrate how to construct and/or use a wide varieties of models.
Steve Craighead is a Director and Actuary at Pacific Life Insurance Company. He is an expert in the fields of model efficiency and data compression. He has over 37 years of experience in various actuarial fields. His prior employers include Towers Watson Software Solutions, Nationwide Insurance, Ohio State University, Ohio State Life Insurance Company, and William M. Mercer.
He has conducted extensive research and software development regarding ERM, economic models, modeling efficiency, and firm insolvency.
Steve has published papers in the following areas: ERM, insolvency, risk, portfolio selection, optimization, graduation theory, term structure of interest rates, scenario generation using chaos/complexity theory, and applications of extreme value statistics in life insurance.
Steve is active in Society of Actuaries’ ERM and investment related industry committees. Currently, he is a member of the Committee of Financial Research. He previously served as the newsletter assistant editor for the Joint Risk Management Section global publication Risk Management magazine; Chair of the Investment Section Committee for Finance Research; and committee member on the Academy of Actuaries’ Modeling Efficiency Working Group.
Steve has a Master’s degree in mathematics from James Madison University and a B.S. in mathematics and physics from Emory and Henry College.
Steve is a Certified Enterprise Risk Analyst (CERA), an Associate of the Society of Actuaries (ASA), and a Member of the American Academy of Actuaries (MAAA).
His curriculum vita is here
Equivalent value of accumulation (EVAS) is similar in concept to a present value, which is scenario dependent. It is dependent upon the investment strategy used and is obtained by dividing the surplus at the end of the projection period by a growth factor. This factor represents the multiple by which a block of assets would …
This blog entry describes the model that was used in the generation of the various sets of scenarios from 1992 through 1994. The generation of the yield curves used in the interest rate scenarios is not arbitrage free. This would require setting up a diffusion process of state variables and making sure that the various …
Over the next few months, I will be reexamining some old surplus modeling data from the early 1990’s and using some of the new predictive analytics that have been in the press lately. I have also have located an excellent article that discusses the issue between explanation and prediction. Galit Shmueli’s article “To Explain or …
My name is Steven Craighead and I can be reached by email at firstname.lastname@example.org.