Читать книгу Pricing Insurance Risk - Stephen J. Mildenhall - Страница 25

The reader should bear in mind:

 Man plans, and God laughs (old Yiddish saying)

 Anything that can go wrong, will go wrong (Edward Murphy)

 The map is not the territory (Alfred Korzybski)

 All models are wrong but some are useful (George E.P. Box)

All the analysis presented in this book presumes we know the objective probability distribution underlying the phenomenon being studied. Cue laughter. This conceit is particularly pernicious when coupled with management optimism and its attempts at optimization.

To make the results useful, sensitivity analysis must be part of the effort. Perturb the assumptions in a realistic manner and repeat the risk measure calibration, capital calculation, margin allocation, etc. Then do it again. Coherent risk measures are all about taking the worst case among a set of alternatives. The alternatives reflect our uncertainty about event probabilities by positing different values. Lift this strategy to the entire engagement. Generate a set of assumptions and look across the set of answers. Only then will you know whether the best estimate is robust or fragile. With that caveat, we proceed, assuming that we have a tin opener as the joke about economists has it.