Risk Analysis, Management and Modeling for the Insurance and Financial Industries

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About Gary

Gary retired from the insurance industry after a 43-year career working at two primary companies, a reinsurer, a broker, a pool, and a rating bureau. He is now an adjunct professor for research at the University of New South Wales and teaches an actuarial graduate course on quantitative risk management at Columbia University, with an emphasis on building economic scenario generators and economic capital models.

His career focus was using advancements in computing and statistical methodology to improve actuarial models. The IT revolution made the last 50 years a good time for this, with no end in sight. His current research interests include using Bayesian shrinkage in MCMC for pricing, reserving, and mortality models, capital needs and allocation, and economic scenario generators.

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Research Ideas

Capital Allocation for Risk Pricing

A prime reason for allocating capital to business groups is setting group price targets. Typically the Board of Directors sets a profit goal for the company, and management wants to set targets for each group that give the overall goal in total, but are higher for the riskier business units. The fundamental theorem of [...]

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Gary in Singapore

Regularized Regression for Reserving and Mortality Models

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