Actuarial Outpost > SoA VaR as Metric for CDEF
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 View Poll Results: Did you use VaR for the contribution requirement? I used VaR and MMR 6 15.38% I used VaR and DNMMR 1 2.56% I did not use VaR 32 82.05% Voters: 39. You may not vote on this poll

#21
02-14-2018, 01:57 PM
 ShivamS Member SOA Join Date: Mar 2013 College: Yep Favorite beer: Sweetwater Blue Posts: 3,592

Why is it uniform?
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#22
02-14-2018, 01:57 PM
 davesned29 Member SOA Join Date: Oct 2010 Studying for FAP College: Quinnipiac University Posts: 155

wouldn't it be the other way? CTE(90) would equal VaR(95) if the distribution was uniform in the last 10th percentile. But not only if the distribution was uniform. I'd imagine you could draw up an infinite number of distributions where that relationship would hold.

But I'm waiting for results and perpetually dizzy, so I may be wrong.
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#23
02-14-2018, 01:57 PM
 Sir Issac Member SOA Join Date: Jun 2014 Posts: 407

refer to the following that reference risk/return metrics

https://www.casact.org/education/rat...s/bingham2.ppt

refer to slide 12 and 13, according to the CAS presentation things like VaR, CTE, etc are only expression of risk and not risk/return metrics. Risk/return metrics should be able to evaluate a risk/return trade off.

An example risk/return metrics in real life are sharpe ratio and coefficient of variation https://www.investopedia.com/terms/c...fvariation.asp

For example sharpe ratio evaluates risk/return tradeoff because it loooks for the portfolio that has the highest return above the risk free rate with the lowest volatlility possible.

Last edited by Sir Issac; 02-14-2018 at 02:02 PM..
#24
02-14-2018, 01:58 PM
 Bassooner SOA Join Date: Jul 2014 Location: Oregon Studying for GHCORU College: Luther College BA, University of Oregon MS Favorite beer: St Bernardus Abt 12 Posts: 22

I recommended an upper limit on a CTE/mean ratio as a way of getting at a cap on downside volatility (and mentioned that I chose CTE over standard deviation on this because upside risk was not very relevant when looking purely at solvency).

In all, I had three risk/return requirement recommendations, and one thing I did that I'd suggest was explicitly linking each recommendation to one of the CDEF's formal objectives.
#25
02-14-2018, 02:00 PM
 ao fan Member Join Date: Apr 2007 Location: hating the ao Posts: 105,218 Blog Entries: 1

Quote:
 Originally Posted by Bassooner I recommended an upper limit on a CTE/mean ratio as a way of getting at a cap on downside volatility (and mentioned that I chose CTE over standard deviation on this because upside risk was not very relevant when looking purely at solvency). In all, I had three risk/return requirement recommendations, and one thing I did that I'd suggest was explicitly linking each recommendation to one of the CDEF's formal objectives.
yeah, i also did the CTE/mean ratio.
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#26
02-14-2018, 04:25 PM
 PoisedGiraffe Member SOA Join Date: Sep 2017 College: University of Wisconsin - Madison Favorite beer: New Glarus Moon Man Posts: 52

Quote:
 Originally Posted by ao fan you mean as the risk/return metric? I used a calculated measure and I mmr'd. I don't really understand the question at all if it's not asking for a calculated measure. maybe I passed in spite of doing that though. your paper doesn't have to be perfect to pass.
Yeah that's what their case was, but I didn't actually ask what they used, so maybe it was something harder to justify.

Or its just the SOA being picky on some papers
#27
02-14-2018, 04:33 PM
 ao fan Member Join Date: Apr 2007 Location: hating the ao Posts: 105,218 Blog Entries: 1

Quote:
 Originally Posted by PoisedGiraffe Yeah that's what their case was, but I didn't actually ask what they used, so maybe it was something harder to justify. Or its just the SOA being picky on some papers
Maybe. Kinda want to be a grader and find out. Not sure if asa's can grade fap though and I doubt I'm getting my fsa. Grading would also mean missing out on all the guessing on the ao fun, so not sure I'd want to give that up.

I could see getting that part wrong though, but still passing. It's just one part of a question. If the rest is good I think you would pass.
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#28
02-14-2018, 04:35 PM
 chago04 Member SOA AAA Join Date: Nov 2005 Location: AZ College: BYU 2010 Posts: 81 Blog Entries: 1

Quote:
 Originally Posted by ShivamS Why is it uniform?
It's not and in my paper I am clear that it is a comparison to uniform only as a way of understanding the actual look at the tail weight.
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#29
02-14-2018, 04:36 PM
 ao fan Member Join Date: Apr 2007 Location: hating the ao Posts: 105,218 Blog Entries: 1

The pass rate is too high for this single part to be the make or break aspect of fa
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#30
02-14-2018, 04:41 PM
 chago04 Member SOA AAA Join Date: Nov 2005 Location: AZ College: BYU 2010 Posts: 81 Blog Entries: 1

Let's hope. You guys have got me scared and I am expecting my grade any minute now.
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