Application closing date: 26 January
The Institute and Faculty of Actuaries (IFoA) is seeking to appoint, proactive and innovative volunteers to join the new Actuarial Applications of Vine Copulas Working Party.
Current actuarial industry practice for modelling dependencies does not typically include the use of vine copulas. The main aim would be to increase their use within the actuarial community. This would be done by providing examples showing how they are useful, and providing details on how to use them in practice.
Vines are a kind of graphical model, which can help to identify and organise relationships between variables in high-dimension stochastic modelling. Vines were initially developed in the late 1990s and could be used in insurance to:
Actuaries are relied upon to ensure that the methods they use are up-to-date and relevant to the problems at hand. It is therefore important that the industry keeps up to date with updates in statistical research and best practice. Vine copulas have been used for over twenty years and should be part of the problem-solving toolkit for actuaries.
Some of our research questions are:
The working party is looking for actuaries who are familiar with existing dependence approaches (such as implicit copulas, Archimedean copulas, measures of association etc) who are interested in helping to identify use cases for vines. Experience writing introductory explanations of technical content will also be useful.
The time commitment varies but we aim to have monthly meetings of approximately one hour to start. Volunteers would be expected to then spend the appropriate amount of time to complete the responsibilities they are ask to take on.
There is a reasonable amount of existing literature which volunteers will need to familiarise themselves with, so the time commitment for this part alone should not be underestimated.
If you are interested in this role but would like an informal conversation before applying, please email us at engagement.team@actuaries.org.uk.
If you have read all the above and would like to apply, please send us:
Please email all the above to engagement.team@actuaries.org.uk. Please note, we are unable to accept late applications.
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