Steven Craighead

 

                       My Accomplishments

Birth Date August 6, 1956
Field: Actuarial Science, Data Science, Statistics, and Mathematics.

Educational History

Degrees

Institution

Dates Awarded

B. S.

Emory & Henry College

May 1976

M. S.

James Madison University

May 1978

Ph. D. (course work)

University Of Kentucky

 

Professional Designations

Professional Designations

Organization

Dates Awarded

C.E.R.A

Society of Actuaries

April 2008

A. S. A.

Society of Actuaries

November 1992

M. A. A. A.

American Academy of Actuaries

June 1993

Professional Experience

Institution or Corporation

Dates

Columbia University 9/2014- Present 

Pacific Life Insurance

Towers Watson

 5/2011- Present

11/2005 - 4/2011

Nationwide

 4/1985 - 10/2005

Craighead Educational Service

6/1990 - 6/1993

The Ohio State University

3/1987 - 4/1990

Ohio State Life Insurance Co.

9/1983 - 4/1985

William M. Mercer, Inc.

2/1981 - 8/1983

Rawlings Business

1/1980 - 12/1980

University of Kentucky

9/1978 - 12/1979

James Madison University

9/1976 - 5/1978

Summary of Research and Creative Work

  1. Publications - title, journal, year and pages
    • Bayesian Graduation, Actuarial Research Clearing House, 1991.1, 301-319.
    • Differential Equation Model for Yield Curves, Actuarial Research Clearing House, 1992.1, 137-160.
    • Chaotic Analysis on U. S. Treasury Interest Rates, Actuarial Research Clearing House, 1994.1, 281-318.
    • Chaotic Analysis on U. S. Treasury Interest Rates, AFIR 1994 volume 2, 497-536.
    • Discussion of The Sensitivity of Cash-Flow Analysis to the Choice of Statistical Model for Interest Rate Changes by Gordon Klein, Transactions of Society of Actuaries 1993 Volume XLV, 139-141.
    • Discussion of Dependent Decrement Theory by Jacques F. Carriere, Transactions of Society of Actuaries 1994 Volume XLVI, 67.
    • Extreme Value Statistics, Resampling, and Insolvency Testing, Actuarial Research Clearing House, 1996.1 pp. 183-223.
    • Insolvency Testing, Extreme Value Statistics, and Resampling, AFIR 1996 volume 2, 1669-1691.
    • Portfolio Optimization in Corporate Models, with William Babcock. AFIR 1999.
    • Risk in Investment Accumulation Products of Financial Institutions. Proceeds of the Risk in Investment Accumulation Products of Financial Institutions, January 1999.
    • Risk in the Insurance Industry. "Proceeds of the Conference on Integrated Risk and Return Management for Insurance Companies." New York University NYU - Stern School of Business. New York, May 1999.
    • Insolvency Testing: An Empirical Analysis of the Generalized Beta Type 2 Distribution, Quantile Regression, and a Resampled Extreme Value Technique. ARCH 2000.2
    • Risk Drivers Revealed: Quantile Regression and Insolvency, with Don Leggett. ARCH 2000.2
    • Risk Drivers Revealed: Quantile Regression and Insolvency, with Don Leggett. AFIR 2000.
    • Stock Selection Based on Cluster and Outlier Analysis, with Bruce Klemesrud. Notre Dame MTNS Electronic Proceedings August 2002.
    • Stock Selection Based on Cluster and Outlier Analysis, with Bruce Klemesrud. IMA Conference Volume: "Mathematical Systems Theory in Biology, Communications, Computation, and Finance," Spring 2003.
    • Review of "Modelling Extremal Events" for the Extreme Value Model subcommittee for the Risk Management Task Force. 2002 on the RMTF web page.
    • Systems Intelligence and Active Stock Trading, with Bruce Klemesrud. This is a chapter in "Intelligent Techniques in the Insurance Industry Theory and Applications" edited by Arnold Shapiro and Lakhmi Jain, December 2003.
    • Review of "Extremes and Integrated Risk Management" for the Extreme Value Model subcommittee for the Risk Management Task Force, 2003 on the RMTF web page.
    • "Copula ERM Toy Model in R", March 2008 SOA-CAS Joint Risk Section Risk and Rewards Newsletter.
    • "Estimating Mortality Risk Using Predictive Modeling" 2008 ERM Symposium  Monograph. http://www.soa.org/library/monographs/other-monographs/2008/april/mono-2008-m-as08-1-edwalds.pdf
    • “Representative Scenarios Combined with Predictive Modeling” 2008 SOA Financial Reporting Newsletter.http://www.soa.org/library/newsletters/financial-reporter/2008/june/frn-2008-iss73.pdf
    • "Stress and Resiliency Testing:  Mandelbrotian Grey Swan Scenarios" 2011 ERM Symposium Monograph.
    • "ERM Stochastic Analysis Tools:  Risk Drivers Revealed" 2012 ERM Symposium Monograph.
    • "Syllabus for Statistical Modeling Course", 2014 Columbia University,
    Awards
  1. Member of Sigma Mu Honor Society, Emory and Henry College, 1976.
  2. Robert N. Powell Award for Innovation and Excellence - April 4, 1998 by Nationwide Financial.
  3. The Actuarial Foundation’s ERM Research Excellence Award in memory of Hubert Mueller for Best Overall Paper - 2012.

Contributions to Teaching

  1. Graduate
    • Courses designed and taught: Actuarial Mathematics, Spring 1987.
    • Exam preparation course for Society of Actuaries Exam 100, Winter 1988, 1989, and 1990.
    • GSU Volunteer Assistant Instructor: Loss Models, Fall 2006.
    • Course Designer for Columbia University College for Continuing Education.  June 2014 to present.
  2. Training Seminars
    • Exam preparation course for Society of Actuaries Exam 110, August - October 1990, for Craighead Educational Service.
    • Exam preparation course for Society of Actuaries Exam 100, October 1991.
    • Actuarial Mathematics and Graduation for the Russian Actuarial Seminar at Moscow State University, August 1994.
    • Organized the Nationwide Financial volunteer OSU instructor programs - April 1997.
    • Organized the Nationwide Financial professional development program - April 2003.

Contributed Talks (title, place, date)

  • "Use of Fast Fourier Transform with Mortality Data," Ohio State University, March 1989.
  • "Bayesian Graduation," 25th Actuarial Research Conference, London Ontario, August 1990.
  • "Differential Equation Model for Yield Curves," 26th Actuarial Research Conference, University of Illinois, August 1991.
  • "Chaotic Analysis on U. S. Treasury Interest Rates," 28th Actuarial Research Conference, University of Wisconsin, August 1993.
  • "Chaotic Analysis on U. S. Treasury Interest Rates," Actuarial Approach for Financial Risks International Colloquium, Orlando Florida, April 1994.
  • "Chaotic Analysis on U. S. Treasury Interest Rates," Moscow State University, August 1994.
  • "Bayesian Graduation," Moscow State University, August 1994.
  • "Managing Hyper-Inflation," Moscow State University, August 1994.
  • "Extreme Value Statistics, Resampling, and Insolvency Testing," 30th Actuarial Research Conference, Pennsylvania State University, August 1995.
  • "Chaos Theory - Financial Markets," Canadian Institute of Actuaries, November General Meeting, November 1995.
  • "Extreme Value Statistics, Resampling, and Insolvency Testing," 6th AFIR Colloquium, Nuremberg Germany, October 1996.
  • "Economic Scenario Generation," 31st Actuarial Research Conference, Ball State University, Muncie, Indiana, August 1997.
  • "Economic Scenario Generation," Tri-State Actuarial Conference, Cincinnati, Ohio, September 1997.
  • "Economic Scenario Generation," at the Empirical and Theoretical Foundations of Interest Rate Models, Atlanta Georgia, October 1997.
  • "Economic Scenario Generation," at the Empirical and Theoretical Foundations of Interest Rate Models seminar, Washington DC, November 1997.
  • "Economic Scenario Generation," Actuarial Club of Central Ohio, Columbus Ohio, March 1997.
  • Moderator: "The Empirical and Theoretical Foundations of Interest Rate Models," Rosewood Illinois, July 1997.
  • "Risk Neutral Economic Scenario Generation," 32nd Actuarial Research Conference, University of Calgary, Calgary Canada, August 1997.
  • Workshop Moderator: "How to obtain the greatest amount of information from the fewest scenarios", Valuation Actuarial Symposium, September 1997.
  • Panel member: "Whither Scenarios", Annual meeting of the Society of Actuaries, Washington D.C., October 1997.
  • "How to obtain the greatest amount of information from the fewest scenarios", ALM Conference, Chicago Illinois, December 1997.
  • Moderator: "Economic Scenario Generation", Valuation Actuary Symposium, September 1998.
  • Lead Presenter: "Risk in Investment Accumulation Products of Financial Institutions." Symposium on Risk in Investment Accumulation Products of Financial Institutions. Sponsored by the Actuarial Foundation and Nationwide Financial. New York, January 1999.
  • "Risks in the Insurance Industry." Conference on Integrated Risk and Return Management for Insurance Companies. New York University NYU - Stern School of Business. New York, May 1999.
  • "Portfolio Optimization in Corporate Models," IBC's 8th ALM Conference- New York, June 1999.
  • "Risk Drivers Revealed: Quantile Regression," 34th Actuarial Research Conference, Des Moines Iowa, August 1999.
  • "Transfer Risk," Separate Account Symposium, Toronto, Canada, September 1999.
  • "Use of Low Discrepancy Sequences in Corporate Models," Ohio State University Statistical Department's 25th Anniversary, October 1999.
  • "Risks in the Insurance Industry." Ohio State University Faculty Presentation, March 2000.
  • "Individual Variable Annuities - Equity Exposure," with Uli Stengele, Nationwide Financial, March 2000.
  • "Stochastic Pricing and Stochastic Immunization," Spring Meeting of the Society of Actuaries, San Diego, June 2000.
  • "Low Discrepancy Sequences and Monte Carlo processing in Option Pricing," Spring meeting of the Society of Actuaries, San Diego, June 2000.
  • "Kalman Filters and Outlier Analysis of the Stock Market," 35th Actuarial Research Conference, Quebec, August 2000.
  • "Analysis of Interest Rates," at the Empirical and Theoretical Foundations of Interest Rate Models, Chicago, August 2000.
  • "Cluster Analysis and Representative Scenario Selection," 36th Actuarial Research Conference, Columbus, Ohio, August 2001.
  • "Stock Selection Based on Cluster and Outlier Analysis," with Bruce Klemesrud. Notre Dame Mathematical Theory of Networks and Systems Conference, August 2002.
  • "Risk Drivers Revealed: Quantile Regression," University of Akron, Akron, Ohio, April 2003.
  • "Conditional Tail Expectation," Nationwide, June 2003.
  • "Cluster Analysis and Data Mining," Tristate Actuarial Club, Cincinnati, Ohio, September 2003.
  • "Modern Methods of Research," Applied Actuarial Research Conference, Gainesville, Florida, March 2004.
  • "Actuarial Applications of Extreme Value Theory," ERM Symposium, Chicago, Illinois, April 2004.
  • "Fraud in Enterprise Risk Management," Operational Risk Management Conference, December 2004.
  • "Policyholder Behavior in the Extreme," SOA Spring Life Conference, Hollywood, Florida May 2006.
  • "Strategic Valuation," 41st Actuarial Research Conference, Montreal, Canada, August 2006.
  • "Use of Cluster Analysis for Scenario Reduction," SOA Annual Conference, Chicago Illinois, October 2006.
  • Moderator: "Profiting From Economic Outlook," SOA Spring Life Conference, Phoenix Arizona, May 2007
  • Moderator: "Extreme Events - Those of Most Concern, and How to Model," SOA Spring Life Conference, Phoenix Arizona, May 2007
  • Moderator: "Modeling Equity Market," SOA Spring Life Conference, Phoenix Arizona, May 2007
  • "Panel Discussion on Applied Research," 42nd Actuarial Research Conference, August 2007
  • "Mortality Modeling using Projection Pursuit Regression," 42nd Actuarial Research Conference, August 2007
  • "Risk Drivers That You Should Know but Don't," SOA Annual Conference, Washington DC, October 2007.
  • “Modeling Efficiency using Combination of Scenario Selection and Predictive Modeling”, Quebec City, June 2008.
  • “Use of Predictive Modeling in Mortality Research”, Quebec City, June 2008.
  • "Mandelbrotian Grey Swan Scenarios", Chicago, March 2011.
  • "Extreme Values", Risk Radio, April 2011.
  • "Extreme Scenarios", Risk Radio, June 2011.
  • "Scenarios", Risk Radio, July 2011.
  • "KRIs and KPIs", Risk Radio, September 2011.
  • "Costa Concordia", Risk Radio, January 2012.
  • "ERM Stochastic Analysis Tools:  Risk Drivers Revealed", Washington DC, April 2012.
  • "ERM Standards", Risk Radio, April 2012.
  • "Hurricanes and Low Interest Scenarios", Risk Radio, November 2012.
  • "Case Study 1 - Mortality Study", SOA Technology Beyond Excel: Advanced Data Analysis Seminar, Atlanta GA, May 2014.

Current Areas of Expertise/Research

  • High Speed Models.
  • Cluster Analysis and Economic Scenario Generation.
  • Cluster Analysis and Model Point Compression.
  • Predictive Modeling.
  • Mortality Modeling.
  • Data Mining.
  • Empirical Economic Analysis.
  • Extreme Value Theory.
  • Insolvency Testing.
  • Low Discrepancy Sequences.
  • Optimal Portfolio Selection.
  • Outlier Analysis.
  • Quantile Regression.
  • Stochastic Differential Equations.
  • Complexity Theory.

Software Development

  • Multiple Reconciliation Systems - 1985-1990.
  • Payout Individual Annuity Administration System - 1985-1990.
  • Large Block Group Annuity Add administration system(s) - 1988-1990.
  • Order Statistics Calculator - 1991.
  • Resampled Extreme Value (REV) - 1996.
  • OAVDE Calculator - 1997.
  • OAVDE Calculator in Excel - 1999.
  • Foreign Exchange Calculator in Excel - 1999.
  • Stock Volatility Calculator in Excel - 1999.
  • Quantile Regression Calculator - 1999.
  • IVA Equity Exposure and Gain/Loss Reporting System - 2000.
  • Kalman Filter Outlier Analysis System - 2000.
  • Generalized Order Statistics Calculator - 2001.
  • Theoretical Risk Surplus Calculator - 2000-2002.
  • High Speed SPDA Modeling Environment - 2000-2001.
  • Actuarial Mathematics Class Modules - 2002.
  • Random Number Generator DLL - 2002.
  • Two Three-Factor Interest Rate Model Spreadsheet DLL - 2002.
  • GMIB MMMM Reserve System - 2002-2003.
  • Stochastic Differential Equation Fitting System - 2003.
  • Conditional Scenario Combination System - 2003.
  • VAGLB Reporting and Allocation System - 2003.
  • Extreme Value Extrapolation DLL - 2003.
  • Data Mining System to Condense Policy Records - 2003.
  • Revisions to VA Hedge Application - 2006.
  • Revisions to TAS and MoSes - 2006 to 2011.
  • On the USLMS development team - 2010 to 2011.
  • Developed several .NET applications for inforce record conversion and reconciliation - 2013 to present.
  • Developed a record compression system in the R language - 2011-2012.
  • Developed various tools to allow MG ALFA output to be ported to EssBase Cubes.
  • Aided in the design, implementation, testing of the AIL SQL Server database application (also known as the First Day Record project) 

Computer and Modeling Skills

  • S-Plus - 1994 to 2003.
  • R - 2000 to present.
  • Latex - 1997 to present.
  • Kedit - 1991 to present.
  • Microsoft's Quick Basic - 1985 to 2000, 2011 to present.
  • Microsoft's Visual Basic - 1999 to 2004.
  • Microsoft's Visual Basic for Applications - 1995 to present.
  • Microsoft's Office Products - 1995 to present.
  • the OX Matrix System - 1999 to 2004.
  • C++ - 2000 to present.
  • FORTRAN 77 - 1978 to 2011.
  • IBM APL - 1983 - 1988.
  • IBM VSBASIC - 1985 to 1990.
  • COBOL - 1988 to 1995.
  • SAS - 1990-1992.
  • IBM 370 JCL - 1988 to 1995, 2011 to present.
  • XEDIT editor - 1978 to 1995.
  • Exec2 Control Language - 1981 to 1995.
  • FILEAID Query System - 1991 to 1995.
  • PC based APL - 1994 to 2000.
  • MATLAB - 1993, 1999 to 2000.
  • DERIVE (Symbolic Manipulator) - 1993 to 2005.
  • Novell LAN Administrator - 1991-1996.
  • PTS Corporate Modeling Environment - 1993 to 2003.
  • C# - 2007 to present.
  • TAS-MoSes Corporate Modeling Environment - 2006 to 2011.
  • VB.NET - 2013 to present.
  • SQL Server - 2009-2010, 2013 to present.

Society of Actuaries Activities

  • Member of the Committee of Knowledge Extension and Research - 1998 to 2000.
  • Member of the Committee of Finance Research for SOA Investment Section - 1998 to 2000.
  • Chairman of the Committee of Finance Research for SOA Investment Section - 2003 to 2011.
  • Elected Member of the Investment Section Council - 1999 to 2000.
  • Member of the Steering Committee for the Investment Actuary Symposium - 2000.
  • Member of the Program Oversight Committee for the Interest Rate Monograph - 2000-2001.
  • Organizer with Dr. B. Wyman of the 36th Actuarial Research Conference - 2000-2001.
  • Member of the Extreme Value Model subcommittee of the Risk Management Task Force - 2002 to 2007.
  • Member of the Scientific Committee for the 2004 Applied Actuarial Research Conference, 2004.
  • Elected Member of Joint Enterprise Risk Management Section Council - 2007 to 2010.
  • Elected Member of SOA Education and Research Section Council - 2006 to 2009.
  • Co-editor for Expanding Horizons Newsletter for the SOA Education and Research Section - 2007-2009.
  • Co-editor for Risk and Awards Newsletter for the Joint Enterprise Risk Management Section - 2008 to 2010.
  • Author of "The R Corner" column for the Technology Section newsletter CompAct.
  • Member of SOA Research Projects Working Group reporting to the Board of Governors - 2010-2011.
  • Member of SOA Extreme Reinsurance Program Oversight Group - 2011-2012.
  • Member of SOA Inflation Program Oversight Group - 2011.
  • Member of the VBT 2014 Graduation Subcommittee - 2012-2014.
 Academy of Actuaries Activities
  • Founding Member of Model Efficiency Working Group.  2007-2009.  

Other Activities (not covered in previous categories)

  • Married to Patricia Ann Bird Craighead for thirty two years.
  • Father of Samuel, Michelle, Bradley, Evan, and Carl Craighead.
  • Employment at Pacific Life Insurance in the Life Insurance Division as a consultant and developer from May 2011 to present 
    1. Responsible for the generation, reconciliation and management of inforce records for the Planning and Projection department.  This entails the maintenance and use of mainframe FOCUS logic, VBA generation of TAS records, Access logic to convert TAS records to MGALFA AIL2 records and SQL Server queries and .NET applications.
    2. Business expert in the design, implementation, and testing of the SQL Server AIL application, which generates the MGALFA inforce records to allow for timely modeling for future PBA reserves and capital.
  • Employment at Towers Watson in the Software division as a consultant and developer from November 2005 to April 2011.
    1. Worked extensively with MoSes, RAPC and TAS.  Streamlined USLMS and other MoSes applications regarding run times and memory usage.  Did extensive HPC - MoSes Grid trouble shooting, especially around the USLMS product.
    2. Was a business expert in the implementation, design and testing of the Risk Agility Property and Casualty (RAPC) application and the USLMS scenario generation DLL. Aided others in how to design and use other dynamic linked libraries for USLMS.
    3. Worked extensively with asset models in the TAS-MoSes application.
    4. Reworked an ERM model for the mining industry allowing for the stochastic modeling of mine production.
    5. Helped train .NET developers in the use and testing of the Towers Watson ERM tool.
    6. Worked with the help desk to aid clients and troubleshoot various software issues.
  • Employment within Nationwide Enterprise from April 1985 to October 2005.
    1. Senior Consultant within the Enterprise Risk Management Department. Work entailed design and implementation of Enterprise Risk metrics within the Financial Services Division. November 2004-October 2005.
    2. Assistant Actuary for the Corporate Actuarial department for Nationwide Financial. Work entailed Enterprise risk analysis, statistical consulting, reinsurance, VALGB reserves, and general research for the valuation actuary July 2001 - November 2004.
    3. Assistant Actuary for the Actuarial Asset and Liability Management Department at Nationwide. Did extensive programming and statistical consulting and manipulated large datasets for a variable annuity policy holder behavior study. November 1997 - July 2001.
    4. Assistant Actuary for the Corporate Actuarial department, general research for the valuation actuary and the Chief Actuary in the area of stochastic evaluation. 1990 - November 1997.
    5. Senior Actuarial Technician for the Payout Annuity Section. Responsible for calculation of reserves and the preparation of several talks to the Board of Directors. April 1985 - 1990.
  • Traveled to Odessa, Ukraine to study the feasibility of setting up an Actuarial Program at Odessa State University. June - July 1992.
  • American Statistical Association: March 1992 - 2012.
  • Columbus Actuarial Club - member 1983 - 2005.
  • Referee for the North Atlantic Actuarial Journal - 1996 - present.
  • Referee for the Journal of Actuarial Practice - 1998 - present.
  • Thesis referee for a Ph.D. candidate at the University of New South Wales, 2006-2007.
  • Public classical guitar performance in Odessa, Ukraine, July 1992.
  • Public classical recorder performances in Columbus Ohio, December 1996.
  • Converted Nationwide Payout Mainframe Reserve system to the PC environment, 1987-1988.
  • Managed Actuarial Stranger Tape reads, 1988 - 1994.
  • Designed and constructed a Novell LAN in 1991 for Nationwide Corporate Actuarial.
  • Designed and implemented an experimental computer lab in 1997 and 1998 for the Nationwide Asset/Liability Management Actuarial.
  • Independently developed a simplified version of the Enigma Cipher machine at the age of fifteen.

 Last updated: November 17, 2014.

 


File translated from TEX by TTH, version 3.79.
On 18 Dec 2007, 16:47.

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