M-6: Ensembles and Combining Models
Ensembles are powerful analytical methods used commonly in the wider Predictive Analytics community outside of Insurance. We’ll describe the rationale and explain the effectiveness of Ensembles in general, as well as the basic approaches of bagging and boosting Ensembles of Trees. Advantages of Ensembles on insurance data will be shown and the issues surrounding complex models discussed. Finally, strategies for combining linear regression and ensemble models will be explored through a case study.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Andrea Cablayan
Panelists:
Christopher Cooksey
M-5: Effective Collaboration between Actuaries and Data Scientists
With an increased focus on advanced modeling and machine learning, collaboration between Actuaries and Data Scientist is important for project success. In this session we will share benefits, opportunities and pitfalls learned from State Farm’s collaboration on various rating model projects.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Su Wash, Su Wash, Peter Lowth
Panelists:
Jeffrey Stoiber, Gus Theofanis
M-4: And the Winner Is: How to Pick a Better Model
You have just finished running some data through a predictive modeling package. Now all you need to do is summarize the results, send them along, and you’re done, right? Wrong. At the absolute minimum, you should understand and demonstrate the goodness of fit of the model. In most cases, you should also prove the constructed model provides lift over the existing rating structure. After all, what good is a new model if it cannot outperform the competition? In this session, we will explore in significant detail three often overlooked components of the modeling process: measuring goodness-of-fit, assessing lift, and internally validating a predictive model. Key topics include confusion matrices, ROC curves, Gini indices, lift charts, double-lift charts, residual plots, likelihood, penalized likelihood and deviance. Model development is usually a major investment. We should make sure our models are performing well to get the best bang for the buck
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Betty-Jo Walke, Brett Nunes
Panelists:
Hoi Leung, Benjamin Williams
M-3: GLM III
This session will consider new techniques and refinements to the basic GLM which can add material value to the modeling process. It will specifically consider amendments which address some of the purported failings of GLMs in comparison to emerging methods such as machine learning techniques.
The session will include a discussion of:
• An innovative approach to detecting subtle and higher dimensional interactions in an efficient way, potentially eliminating
the need to consider alternative, harder-to-implement model forms such as nonlinear models.
• The role of such automated methods in comparison with a more manual construction of composite explanatory variables.
• Ways to mitigate the risk of over-parameterization through the use of modifications which incorporate elements of credibility within the GLM framework.
• Simple practical modeling steps that can be used to remove distortions created by combining models across claim types.
• Innovative ways of modeling bodily injury claims and other miscellaneous refinements.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Jason Abril, Houston Cheng
Panelists:
Marcus Deckert, Brent Petzoldt
M-2: GLM II
GLM I provided the case for using GLMs and some basic GLM theory. GLM II will be a practical session outlining basic modeling strategy. The discussion will cover topics such as overall modeling strategy, selecting an appropriate error structure and link function, simplifying the GLM (i.e., excluding variables, grouping levels, and fitting curves), complicating the GLM (i.e., adding interactions), and validating the final model. The session will also include a discussion on diagnostics that help test the selections made.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Pamela Sealand Reale
Panelists:
Ernesto Schirmacher
M-1: GLM I
Do terms such as “link function,” “exponential family,” and “deviance” leave you puzzled? If so, this session will clarify those terms and demystify generalized linear models (GLMs). The session will provide a basic introduction to linear models and GLMs. Targeted at those who have modest experience with statistics or modeling, the session will start with a brief review of traditional linear models, particularly regression, which has been taught and widely applied for decades. Session leaders will explain how GLMs naturally arise as some of the restrictive assumptions of linear regression are relaxed. GLMs can model a wide range of phenomena, including frequencies and severities as well as the probability that a claim is fraudulent or abusive, to name just a few. The session will emphasize intuition and insight in addition to mathematical calculations. Illustrations will be presented using actual insurance data.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Pamela Sealand Reale
Panelists:
Ernesto Schirmacher
RP-5: Professionalism, Pricing and Predictive Modeling: The Next Generation
Predictive modeling has increasingly been included in many actuaries’ job descriptions. Whether building predictive models, utilizing them as inputs to the pricing decision-making and implementation process with business partners, or supporting them in rate filings, actuaries are often asked for their opinions on issues that relate to professional ethics. The interactive format remains the same as in previous RPM seminars but the scenarios have been refreshed. We will look to the future of predictive modeling and pricing as we discuss scenarios that touch on common issues related to the Code of Conduct, Statement of Principles, and Standards of Practice. Audience participation is highly encouraged.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Betty-Jo Walke, Su Wash
Panelists:
Richard Sutherland, Madeline Main
RP-4: Keeping Up with the Cat Models
The impact of extreme weather has been felt throughout the world, and insurers, regulators, and legislators are increasing their attention to risk stemming from natural catastrophes. Specifically, recent destruction resulting from wildfires in the Western United States and flooding in coastal states has left these parties searching for answers.
Sparsity of historical experience renders actual claims data largely irrelevant for catastrophe ratemaking. Additionally, confounding factors such as urban development and climate change have increased the hazardous exposure in ways that the historical data cannot capture. Consequently, catastrophe models are now more important than ever.
While catastrophe models for hurricanes have been in use for years, models for perils like wildfire and flood are changing rapidly. For these perils, actuaries may find themselves working with models with less documentation, testing, and validation than with more mature models.
Utilizing ASOP38, we will offer a practical framework to effectively review flood and wildfire models in spite of the unique characteristics of these perils, and explore how these models can be incorporated in personal lines ratemaking.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Berna Beekman, Zubair Shams, Brent Petzoldt
Panelists:
Gregory Dietzen, Eric Xu
RP-3: People are from Earth, Actuaries are from Neptune: The Habits of Effective Actuarial Communications
Actuaries are renowned for quantitative skill, attention to detail, and highly complex analysis. However, the effectiveness of an analysis, and the actuary who created it, depends on the actuary’s ability to provide clear technical communication to technical and non-technical audiences. While effective communication is a vital skill for actuaries, it can become more challenging as our methodologies and calculations grow more complex and sophisticated.
Tools like Excel are versatile and powerful, but a badly designed spreadsheet can make your work harder to check for errors, difficult for another actuary to review, and inefficient to reproduce and update in the future. Additionally, actuarial rate exhibits often fail to comply with the documentation requirements prescribed by our standards of practice.
This session will explore best practices for technical actuarial communications and is for actuaries who wish to create bulletproof quantitative exhibits and reports that can withstand the scrutiny of regulators, company executives, and other actuaries.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Jeffrey Baer, Houston Cheng
Panelists:
Max Mindel, Andrew Pai
RP-2: Professionalism Trivia
Another session presented by the Committee on Professionalism Education - this one will allow you to use your cell phones to participate in a real-time Trivia game! This session will qualify for Continuing Education in the area of Professionalism, as many questions will relate to Actuarial Standards of Practice and/or the Code of Conduct.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Christopher Gross, David Shleifer
Panelists:
Rebecca Williams, Kevin Groom
RP-1: Corporate Governance: Recent Development & Emerging Issues
This session will focus on recent developments in corporate governance standards as they relate to insurance companies. Issues covered will include new disclosure requirements, such as Corporate Governance Annual Disclosure, the Own Risk and Solvency Assessment requirement, and the Form F Enterprise Risk Report. The type of information that must be included in these different filings will be discussed, and the types of best practices that regulators expect companies to have in place will also be described. Finally, insight will be provided into emerging corporate governance issues and the potential for increased federal insurance regulation.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Cheng Khang Saw, Peter Lowth
Panelists:
Fred Karlinsky
IET-1: Personalizing Policy Coverage Options with Analytics for a Customer Centric Competitive Advantage
In this session, we will explore the topic of personalization – and how the personalization methods and techniques that leading digital companies leverage can be applied to traditional online insurance policies, coverage packages, and bundles. We will see how carriers can customize these products to suit customer needs while meeting organizational goals. We will look at the benefits of insurance product personalization - including the maximizing of conversions, revenues, and profits in real time. We will also understand the implications of price for personalization – including the evolution from cost based pricing, to price optimization, to lifetime-value pricing – and how this impacts personalization. Attendees will leave with a better understanding of what initiatives they should start working on today to prepare for the future of customer centric pricing and personalization. The session will wrap by providing five ways that insurance carriers can get started with this new level of personalization – today.
Source:
2019 Ratemaking, Product and Modeling (RPM) Seminar
Type:
Concurrent Session
Moderators:
Christopher Gross, Christopher Gross, Cheng Khang Saw
Panelists:
Jon Moran, Toby Alfred, Lucy Kadets
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Moderators:
Max J. Rudolph, FSA, CERA, MAAA
Panelists:
Mark E. Alberts, FSA, MAAA; David N. Ingram, FSA, CERA, MAAA
Session 30: ERM for Health Insurers
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Moderators:
Berna Beekman, FCAS, MAAA
Panelists:
Mario E. DiCaro, FCAS, MAAA; Christopher M. Suchar, MAAA, FCAS
Session 29: Cybersecurity Risk Update: The Regulatory Bellwether
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Moderators:
David Schraub, FSA, CERA, MAAA
Panelists:
Alexander Sand; Nick Lasenko
Session 28: Open Forum Discussion
This session is an open forum approach in which small groups of participants can discuss key risk topics in an off-the-record, informal setting. Please come to the session with any topical areas for which you would appreciate the perspective of your peers. Any and all topics and input are welcome! Facilitators are available to open up the dialogue if necessary. Examples of areas that may be covered include strategic risk management and how to use ERM metrics to improve decision making; approaches to quantifying operational risk; approaches for internal capital models; creative ways to engage business stakeholders; credit risk management including tools and ownership across lines of defense; and model validation and documentation. This session was introduced to the ERM Symposium last year to great reviews. Come and hear the common challenges and potential solutions from others in the industry!
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Moderators:
Lisa Gattel Chanzit, FCAS, MAAA; Mark W. Griffin, FSA, CERA
Session 27: Predictive Modeling for Risk Management
Predictive modeling has grown considerably in both life and P&C insurance, influencing functions such as underwriting, pricing and valuation. Momentum from this growth can be directly applied to risk management applications, enabling risk managers to get defensible insights beyond pure intuition. This session will begin with a brief background on analytical techniques and data sources and then continue with predictive modeling applications for risk management purposes. Examples will include how a predictive model that is used for a best estimate assumption can be used to inform risk management on the accuracy and uncertainty of its predictions along with how insights from predictive modeling can translate to economic capital models.
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Panelists:
Alietia Caughron; Anthony D. Green, FSA, CERA, FCA, MAAA; Dan Kim, FSA, CERA, MAAA
Session 26: The Role of a Model Risk Management Framework in P&C Insurers
Financial institutions like P&C insurers increasingly rely on reserving/pricing/financial models to support nearly all of their critical business decisions. With the progression due to advances in modeling techniques and computing capabilities, these models have become increasingly sophisticated and complex and difficult to explain. How does senior management or the board evaluate the reliability of these models and if they are being used for appropriate purposes? This session will discuss the role of a model risk management framework and model validation within an insurance organization and how an insurer can get started.
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Panelists:
Barry Franklin, CERA, FCAS, MAAA; Kevin M. Madigan, CERA, ACAS, MAAA
Session 25: Data Considerations to Effectively Support Advanced Analytics
In this session, speakers will pose the questions:
Do you have enough data for your identified needs?
What strategy can be used to optimally meet the needs of current and future data needs?
How to organize your data efficiently, but securely?
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Panelists:
Suresh Baral; Don Loden
Session 24: Evolution of Risk Management and Strategic Risk
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Moderators:
Markus Coombs, FSA, MAAA
Panelists:
Nick Silitch
Session 23: Capital Model Benchmarking Findings for P&C Insurers
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Moderators:
Berna Beekman, FCAS, MAAA
Panelists:
Stanislav Eratt, FCAS, CERA
Session 22: Capital Framework on Life/Annuity/Pension
This session will cover approaches to capital management for life, annuity, and pension-related risks. It will cover techniques to effectively manage capital for life and annuity business with a focus on capital metrics and pros and cons of various metrics. Considerations will include effectively using risk-based capital and economic capital, considerations for specific lines of business and capital allocation approaches. Speakers will also touch on approaches for some more emerging areas. In particular, longevity risk is the risk that mortality in the future deviates adversely from what is expected for products that are negatively impacted by policyholders living longer than expected. Longevity risk is an emerging area with numerous risk drivers and ways in which it can manifest. It is important to understand these drivers and manifestations when developing a capital framework. The session will examine some of these key drivers and manifestations, how the risk can be modeled under an economic framework and compare this to certain existing regulatory capital constructs, such as solvency II.
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Moderators:
Kathryn Hyland, FSA, CERA, FCIA, MAAA
Panelists:
Markus Coombs, FSA, MAAA; Mark Stephen Mennemeyer, FSA, MAAA
Session 21: Building a Strong Risk Culture
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Panelists:
Liz Berger; Adam Hamm
Source:
2018 Enterprise Risk Management Symposium
Type:
Concurrent Session
Moderators:
Dave Czernicki, FSA, MAAA
Panelists:
Dave Czernicki, FSA, MAAA; Tyson Robert Mohr, FSA, MAAA; Matthew Ticker, FSA, MAAA
Chief Risk Officers are focusing on new areas to remain relevant and add value. Listen to very experienced CROs as they consider information security, InsureTech, predictive analytics, and Black Swans, plus traditional areas such as low interest rates and lines of defense. The panel will highlight common challenges as well as different approaches. These professionals will bring a broad perspective to current practitioners.
Source:
2018 Enterprise Risk Management Symposium
Type:
General Session
Moderators:
S. Michael McLaughlin, FSA, CERA, FIA, MAAA
Panelists:
David Brentlinger; Nick Silitch; Tom C. Wilson