In a recent Casualty Actuarial Society VALCON1 list email, Gary Venter distributed foreclosure rates for cohorts of subprime mortgages organized by origination year. Venter noted that when the data are transposed, they have the form of a loss development triangle, a standard tool applied by property and casualty actuaries to estimate ultimate liabilities. He provided some qualitative insights and conclusions that could be drawn by an actuary from the information. Below is a further elaboration of insights that can be drawn by applying actuarial techniques to the data. The insights derived from the data are augmented by results from recent publications on the topic of subprime mortgages. The author’s conclusion is that subprime mortgages constituted a Ponzi scheme and could have been avoided.
The Financial Crisis: An Actuary's View
The Financial Crisis: An Actuary's View
Abstract
Page
99-102
Year
2008
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Financial and Statistical Methods
Statistical Models and Methods
Actuarial Applications and Methodologies
Valuation
Publications
Risk Management: The Current Financial Crisis, Lessons Learned and Future Implications
