Sigma Plus Consulting
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DownloadsResearch PapersInsurance Cycles and Regime Switching This paper was an entry for the Brian Hey Prize in 2000 in the UK. It introduces the concept and mathematics of regime switching models, and then applies them to insurance cycles to quantify their characteristics. Regime Switching Models and Cycles This paper was presented at the IAA General Insurance Seminar in 2001. It is a non technical introduction to regime switching models and their advantages over commonly used time series techniques when applied to many economic and insurance situations. Interest Rates are NOT Mean Reversionary This paper was presented at the ICAAF conference in Hong Kong in 2002. It uses some standard tests for mean reversionary behaviour, and derives some new statistical tests. These tests are applied to the official cash rates in Australia and NZ. Finally, an alternative to mean reversion is proposed.
Correlations - What They Mean and More Importantly, What They Don't Mean Actuaries, as managers of risk, come across correlations daily. But sometimes correlations are misleading, and sometimes we need more. This paper covers the fundamentals of correlations and extends the correlation concept to copula. It also proposes a new empirical measure of tail dependence. This topic is the basis for understanding why the capital asset pricing model is not applicable for setting insurance premium levels. Measuring Underwriting Results Under Changing Reinsurance Conditions This was Colin's first research paper, presented at the IAA General Insurance Seminar in 1994. It revolutionised the monitoring of the adequacy of insurance premiums. This paper was prompted by the effect of substantial increases in property catastrophe reinsurance costs during the early 1990s. After demonstrating that conventional insurance performance measures will fail during periods of rapid increases in the cost of reinsurance, the paper proposes a more robust and intuitive set of performance measures. This paper, presented at the IAA General Insurance Seminar in 1995, looks at the effectiveness of different profit targets used by general insurers to set premium levels. It also looks at the historical relationship between insurance profits against interest rates and share returns. Non-Standard Time Series Analysis As the guest speaker of a joint meeting of The Statistical Society of Australia (NSW Branch) and the Illawarra Statistics Group in July 2003, Colin chose to present some of the innovative approaches in time series analysis and time series models that he has found necessary for designing value-at-risk models. In real life many commodities do not behave like the mainstream theoretical models because they are too thinly traded, and they have stronger tail dependence than would be expected from their correlation coefficients. |
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