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  • Andreas Tsanakas (a1), M. Bruce Beck (a2) and Michael Thompson (a3)


Taming the beast of uncertainty has been the grand project to which actuaries have dedicated much of their energy and skill over at least the last 50 years – roughly the time since, in Hans Bühlmann's (1989) famous term, “Actuaries of the Second Kind” emerged.



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This note draws on the report of the Institute and Faculty of Actuaries Working Party on Model Risk (2015), to which the authors contributed. We thank members of the Working Party, as well as Andrew Hitchcox and Malcolm Kemp, for their invaluable feedback. We also thank the Editor for helpful suggestions.



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Bignozzi, V. and Tsanakas, A. (2015) Parameter uncertainty and residual estimation risk. Journal of Risk and Insurance, forthcoming.
Board of Governors of the Federal Reserve System (2011) SR 11–7: Guidance on Model Risk Management. Available:
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Greenspan, A. (2013) The map and the territory. Risk, Human Nature and the Future of Forecasting. USA:Penguin Press.
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Lane, D.A. and Maxfield, R.R. (2005) Ontological uncertainty and innovation. Journal of Evolutionary Economics, 15 (1), 350.
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Thompson, M., Ellis, R. and Wildavsky, A. (1990) Cultural Theory. Boulder: Westview Press.
Tsanakas, A., Beck, M.B., Ford, T., Thompson, M. and Ye, I. (2014) Model risk and culture. Actuary Magazine, December 2014.
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Working Party on Model Risk. (2015) Model risk: Daring to open the black box. Presented to the Institute and Faculty of Actuaries on 23 March 2015. Available:
Ziegel, J.F. (2014) Coherence and elicitability. Mathematical Finance, forthcoming. DOI: 10.1111/mafi.12080.



  • Andreas Tsanakas (a1), M. Bruce Beck (a2) and Michael Thompson (a3)


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