We are writing in response to Michael Larsen’s thoughtful “Proposed New Direction for the CAS Syllabus and Exams.” (In My Opinion, AR September-October 2022) Overall, we favor the proposals, but we want to highlight one enhancement. Larsen’s proposal for the content of Exam 9 is spot-on. There should be less finance and more actuarial topics. He recommends “that we use the existing readings from the current set of exams for the proposed Exam 9 readings.” This recommendation ignores the evolution of risk theory over the last 25 years. Just as there have been enormous strides in statistics and machine learning algorithms, so has risk theory evolved substantially since most of the current syllabus was written. The syllabus does not mention coherent risk measures, and the readings do not provide a single definition of tail value at risk, to mention just two shortcomings. These shortcomings motivated us to write a unified treatment of risk and risk pricing, Pricing Insurance Risk: Theory and Practice (Wiley 2022). Our book is reviewed elsewhere in this edition. It was written with a view to becoming a unified text for the risk and return sections of Exam 9, replacing several existing readings, and we strongly urge its adoption.
—John Major, FSA, AFFI, and Stephen Mildenhall, FCAS, CERA, PhD, MAAA, ASA, CCRMP, CSPA