Recent content by olgenue

Also, one of the reasons that I moved back to the insurance industry is that I miss working with actuaries, who in my opinion are well-rounded quants with skin in the game and hence inspire trust and respect :)

Dear Investment Actuary, You are in a pretty sweet spot right now what with insurers and reinsurers embarking on their own capital modelling initiatives in parallel with solvency 2 initiatives. For the top European insurers, their actuaries (some of whom are PhDs as well) are involved in...

Depends on the kind of actuarial work you get into. A reinsurance company who underwrites a portfolio of different lines of business would like to know how it can optimize this portfolio. The chief actuary of that reinsurance company will then have to use optimization techniques to see which is...

Just finished reading "Quiet: The Power of Introverts in a World That Can't Stop Talking" by Susan Cain. Looking forward to reading "Anti-fragility" by Nassim Taleb and "The Fractalist: Memoir of a Scientific Maverick" by Benoit Mandelbrot

Yes, trains you to go back to first principles and think rigorously and question assumptions previously taken for granted.

A Master's degree in Operations Research is one such graduate degree you can consider.

How about Optimization/Stochastic Optimization courses? - For eg. Convex Analysis, stochastic optimal control theory

SQL is part of the work. It is a tool I use to extract data. After which, I use statistics to analyze that data. I find myself frequently referring to the textbook "Statistics and Data Analysis for Financial Engineering" by David Ruppert. The material contained in it is standard MFE curriculum.

There are other areas where MFE skills can be put to good use. I am currently working in Asset-Liability Management, housed under Group Treasury of my bank. I had to use a lot Oracle SQL because my job requires me to work with large databases and do data-mining. Granted, I am not pricing options...

Benoit Mandelbrot

Depends on the kind of actuarial work. Here are some of the more interesting areas: Pricing of non-life reinsurance/insurance contracts using GLM models. Stochastic reserving comes up with stochastic models for non-life insurance reserves. Portfolio optimization of a insurer's business makes...

Hi Andy, working as an actuary in a reinsurer at the moment. Not exactly alternative. The math and programming skills learnt in MFE definitely help especially when the company is planning to get into weather derivatives.

Hi J Warren, there are also opportunities that blur the boundaries between actuary and quant. For example, recently structuring teams within investment banks are hiring people with actuarial/financial engineering backgrounds to structure products to meet the needs of life insurance companies...

"The Misbehaviour of Markets: A Fractal View of Risk, Ruin and Reward" by Benoit Mandelbrot.

Thanks, Andy, for clarifying. Could you also list down the electives you have taken as Baruch so people who are not accepted to Baruch MFE can at least use it (along withe Baruch's core classes) as a benchmark/guideline for the kind of classes they can take at their respective institutions?