Micah Woolstenhulme

Guy Carpenter & Company, LLC

Managing Director, ERM Advisory

New York, NY 10010

United States

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The Most Dangerous Model: A Natural Benchmark for Assessing Model Risk

Society of Actuaries Monograph: Enterprise Risk Management Symposium, 2015
Number of pages: 46 Posted: 30 May 2015 Last Revised: 27 Jun 2015
John Major, Ruodu Wang and Micah Woolstenhulme
Guy Carpenter & Company, LLC, University of Waterloo - Department of Statistics and Actuarial Science and Guy Carpenter & Company, LLC
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Abstract:

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ambiguity aversion, robust control, model risk, Gilboa-Schmeidler, model uncertainty