Jean-François Bégin, Assistant Professor in the SFU Department of Statistics and Actuarial Science, is the winner of the prestigious Bob Alting von Geusau Prize in actuarial science for 2019. The Prize Paper Selection Committee judged his paper to be the best paper published in ASTIN Bulletin during 2019 with a financial risk or enterprise risk management focus.
Dr. Bégin's paper is titled "Economic Scenario Generator and Parameter Uncertainty: A Bayesian Approach". It discusses the issue of parameter uncertainty for economic scenario generators (ESGs). An ESG is a tool that allows for the simulation of future paths of economies and financial markets. Strictly speaking, it is a mathematical model that relies on unknown parameters, which, in turn, need to be estimated from economic data. So, for ESGs, the uncertainty mainly stems from the stochastic nature of the model and the unknown parameters. The latter could have a significant impact on risk, and this study assesses this additional dimension. The paper's main conclusion is that this extra layer of uncertainty matters and has a substantial effect on the insurer's risk profile.
The prize comes with 5,000 Canadian Dollars and an invitation to present the paper at the AFIR-ERM colloquium in Orlando, Florida next year.