Consulting

Home

ENG

RUS

Books
Research and Articles
Software
Conferences
Actuarial Glossaries
Courses
Probability background

Research Seminar
 

 

   
   
   
   
   
   
   
   
   

 

Teivo Pentikäinen
(1917, Vyborg - 12 June 2006).
 

"...Teivo Pentikäinen was one of the greatest contributors to the Theory of Solvency in the second half of the 20th century. He did pioneering work with respect to the scientific foundations for the establishment of the solvency needed, and the optimal size and form of reinsurance already in the 1950'ies".
 

Pentikäinen, T. (1975) A model of stochastic-dynamic prognosis. An application of risk theory to business planning, Scandinavian Actuarial Journal, 29-53.

p. 29: "Our purpose is to attack just this problem ("what is an insurance control system?" - V.M.) and to endeavor to build up a picture of the management process of the insurance business in its entirety (as far as possible) and to place the risk theoretical aspects in it as a part among numerous other parts, most of which are not of an actuarial character. In this way some of the classical applications of risk theory are amalgamated with the ideas of modern business planning, especially with the technics of long-range prognoses on the basis of different, often alternative preassumptions or, as it is often called, different business strategies".

p. 29: - "Is the theory ever practicable?" - "Probably much too often mere intuition has guided the behavior of management. Often many "experienced" managers take a suspicious and deprecatory stand on theoretical considerations, which they easily pass over with short comments on their lack of practical value. However, neglecting to clearly formulate the problems and the principles of policies does not mean that the manager in question does not, in fact, follow some strategy. On the contrary, every way of decision making, even neglecting to make a decision, is some kind of strategy. The difference is only that the strategy of "practical men" can be a random product of old traditions, more or less reliable intuitions, etc. without any clear formulation and analysis of the various alternative policies. A discussion on theoretical aspects and on the theoretical points of view, even if the direct numerical results are of little value, may anyway direct attention to the statement and restatement of the problems and to a conscious analysis of the facts and possibilities".

p. 44: "One problem, both practical and theoretical, is how to arrange the results of simulation to serve the management in the best possible way. The idea of the use of the model is, of course, to try to find \it optimal strategy, that means a set of decision parameters, which give "the best possible result". A primitive way of procedure is to repeat the simulation process for different strategies and more or less intuitively try to find suitable values for strategy parameters. For example, fixing all the parameters but one and giving to it some different value, perhaps the reaction of the business flow can be seen as a function of this particular parameter. By changing the "free parameter" new corresponding results can be obtained, and perhaps step by step it may be possible to come at least near to an optimal strategy".

p. 45: "One great advantage of the analytic method, even if it is based on very special assumptions, is that the interdependence of the variables involved can be illustrated. Even if the values obtained are far from the values obtained by the original assumptions, probably at least the shape of the interdependence can be preliminary studied in this way which makes it easier to understand the structure of the complicated model".

p. 45: "As a compromise between simulation and analytical methods it may be advisable to perform some simplified calculations analytically first. By finding suitable special assumptions the analytical treatment of the problem can perhaps be carried out. How far these analytical results are valid also as a solution of the original problem, which is based on more general and more realistic assumptions, probably cannot be estimated. However, the decision variables obtained analytically can serve initial variables for simulation and the problem of optimization by means of simulation can, perhaps, be made easier".

p. 44-45: "Instead of the simulation technics also other methods could perhaps be used. Probably by certain suitable assumptions in the form of interdependence of the model variables the distributions of the status variables could be expressed analytically. If these were successful, then the optimization of the strategies would probably be solved also analytically and the difficulties mentioned above overcome. On the other hand, the model is so complicated and so many variables are involved that the analytical treatment of the whole problem would seem to be possible only by making very restrictive assumptions. These must be made with regard to the facility of the calculation operations, then it may be necessary to sacrifice the model's ability to fit the demands of practical management in an adequate way. For this reason we have, at least at this first stage, preferred the simulation technics".



Pentikäinen, T. (1988) On the solvency of insurers. In book: Classical Insurance Solvency Theory, ed. by D. Cummins and R. Derring, Kluwer, Boston etc.

p. 30: "...the merit of the simulation approach is its great flexibility to allow for quite general conditions and assumptions ... Its drawback is that the results are subject to sample inaccuracy, which may require large and time consuming sample sizes".




 "...He was the initiator and coauthor of the book Risk Theory, (London 1969 with R.E. Beard and E. Pesonen) and its renewed version, Practical Risk Theory for Actuaries, (London 1994, with C. Daykin and M. Pesonen)".
 

From the Obituary of Teivo Pentikäinen in ASTIN  Bulletin (2006), Volume 36, Number 2.
 

Title page with a handwritten note by T. Pentikäinen.



Beard, R.E., Pentikäinen, T., Pesonen, E. (1984) Risk Theory. The Stochastic Basis of Insurance, 3-rd ed., Chapman and Hall, London etc. Title page with a handwritten note by T. Pentikäinen.

 




Daykin, C.D., Pentikäinen, T., Pesonen, M. (1996) Practical Risk Theory for Actuaries. Chapman and Hall, London, etc.

Daykin, C.D., Pentikäinen, T., Pesonen, M. (1996) Practical Risk Theory for Actuaries. Chapman and Hall, London, etc.




 


 

"...Furthermore, he significantly contributed to the research on Risk Theory. With his many publications in international journals over 45 years he had a great influence on the work of many actuaries".


From the Obituary of Teivo Pentikäinen in ASTIN  Bulletin (2006), Volume 36, Number 2.


Pentikäinen, T., Bonsdorff, H., Pesonen, M., Rantala, J., Ruohonen, M. (1989) Insurance Solvency and Financial Strength. Finnish Insurance Training and Publishing Co., Helsinki.


Pentikäinen, T., Bonsdorff, H., Pesonen, M., Rantala, J., Ruohonen, M. (1989) Insurance Solvency and Financial Strength. Finnish Insurance Training and Publishing Co., Helsinki.





Rantala, J. (1984) An application of stochastic control theory to insurance business, Acta Universitatis Tamperensis, ser. A, vol. 164.

Rantala, J. (1984) An application of stochastic control theory to insurance business, Acta Universitatis Tamperensis, ser. A, vol. 164.








"...Even while retired, Pentikäinen participated in the public debate about the insurance sector through his books, lectures, evaluations, and writings. He was an unyielding, at times even brisk, defender of the insurance ideology. Good readiness for this was provided by his broad knowledge which extended also to the details, continuous following of international developments, and top-notch capability of expression".
 

From the Obituary of Teivo Pentikäinen in ASTIN  Bulletin (2006), Volume 36, Number 2.  




From the correspondence with Prof. Pentikäinen:



1) Letter of Teivo Pentikäinen to V.K. Malinovskii dated 29.10.1997

"...But notwithstanding the poor applicability to practical considerations the ruin theory has a value in its own right as a beautiful theoretical construction and has had and still has great interest in the proceedings of the risk theory's academic school. So far I know just that kind of problem setting as your apply is not considered earlier and might well be worth publishing in some professional journal, the more because your technique may be applicable also for other problems".
"...It is very delightful that you and other Russian mathematicians are now joining the international actuarial activities".

2) Letter of Teivo Pentikäinen to V.K. Malinovskii dated 20.12.1997

"...There may, however, be some parts in BPP-book which where not taken into DPP-book but may still be of interest and worthwhile to be kept in mind. They concern some theoretical aspects that are not needed for our practical presentation. The infinite-time ruin probability is one of them as I referred to in my earlier letter. Furthermore, the proposals for methods to evaluate finite-time ruin probabilities (Section 6.9 of BPP) might be useful at some applications, at least their further elaboration might be worth attempting. Personally, I have never had time to investigate them in any details. The numerical examples which we had in the BPP (page 254) looked somewhat promising. The methods can clearly be extended to models which assume stochastic inflation, cycles, asset risks etc.
I am glad that our contact is continuing and wish you a successful new year!"




"...Pentikäinen's sharp-witted humour and quick intellect may have scared the unaccustomed other party to the discussion, but maybe precisely because of these characteristics he had a broad and faithful group of friends".


From the Obituary of Teivo Pentikäinen in ASTIN  Bulletin (2006), Volume 36, Number 2. 
 

 
 

© 2008 The owner: Vsevolod K. Malinovskii. Web master: Leslie (haos1841@yahoo.com)