Uncertainties: Traveling the bridge between actuarial practice and academia

Uncertainties: Traveling the bridge between actuarial practice and academia

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Speaker(s): Paul Embrechts (ETH Zurich)

Some personal examples

On October 7, 1994, within the Department of Mathematics of the ETH Zurich, we founded RiskLab in collaboration with the banking and insurance industry. A key premise was the notion of precompetitive research, i.e. research which is both relevant for the global financial industry as well as academically publishable. In this talk I will briefly sketch the establishment of such a bridge-building center and discuss successes and failures both from an organizational as well as from a research point of view. From what I learned from the establishment and running of RiskLab, I will give advice on possible future cross-disciplinary centers with related ambitions. One such center within the ETH Zurich is the in 2011 established ETH Risk Center. In contrast to RiskLab which was solely restricted to the Department of Mathematics, the Risk Center bundles about 20 professors from 8 different departments. The research topics treated also go beyond purely banking and insurance ones. A key aspect of my presentation will be the discussion of mainly actuarially relevant research topics treated within either RiskLab or the Risk Center. Examples may include the modeling of dependence within examples from insurance, finance and engineering, the modeling of catastrophic events, the analysis of business interruption scenarios and the challenges facing the financial industry in a changing technological environment. Towards the end of my talk I will make some comments on the teaching for and duties of future actuaries.

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