IA|BE Autumn School : 4 & 5 October 2017
Organised by ULB, in cooperation with KUL, UCL & VUB
Université libre de Bruxelles
Campus de la Plaine
Forum G
Day 1: Claims Reserving and Solvency
Day 2: Machine Learning Methods applied to Actuarial Problems
Prof. Dr. Mario Wüthrich
Professor , ETH Zürich
University College London UCL, City University London
Dr. Dominik Sznajder
Actuarial Consultant, Milliman Benelux, Brussels
Remark:
1)All sessions will be given in English
2)For the practical session on Thursday, you need to bring your own computer with the statistical software R installed ( The examples will be presented using RStudio (desktop) ( which is advised to be installed as well prior to the session. Two weeks before the start of the Autumn School you will receive a list of the required packages which should be installed in advance.
PROGRAM Wednesday, 4 October 2017 (4.5 CPD points)
Claims Reserving and Solvency
Abstract:
The claims reserves are the biggest position on the liability side of the balance sheet of a non-life insurance company. They have a big impact on profit and loss statements and they are a main risk driver in solvency considerations of non-life insurance companies. We discuss this position and analyse possible deviations in claims reserves arising from prediction errors. We will consider the following sections:
a) we present the classical chain-ladder model and provide Mack's (static) uncertainty formula;
b) we extend Mack's static uncertainty formula to a dynamic point of view; this includes in a first step the one-year uncertainty formula (Merz-Wüthrich formula), and in a second step the total run-off uncertainty analysis;
c) we explain how the dynamic point of view can be used for cost-of-capital considerations.
Literature:
Claims Run-Off Uncertainty: The Full Picture
Stochastic Claims Reserving Manual: Advances in Dynamic Modeling
10:15 – 10:30 / Welcome and opening by Jean-François Hannosset, Chairman IA|BE
10:30 – 13:00 / Lecture 1 (Prof. Dr. M. Wüthrich)
13:00– 14:15 / Lunch
14:15 – 15:45 / Lecture 2 (Prof. Dr. M. Wüthrich)
15:45 – 16:15 / Coffee / Tea Break
16:15 – 17:45 / Lecture 3 ( Prof. Dr. M. Wüthrich)
PROGRAM Thursday, 5 October 2017 (7 CPD points)
Machine Learning Methods Applied to Actuarial Problems
Abstract:
Statistical problems in insurance become increasingly more complex because of new technology and bigger data warehouses. Machine learning provides very powerful tools that manage to solve involved statistical problems such as complex regression questions. We discuss several machine learning algorithms and we illustrate how they can be applied to actuarial questions. We consider the following techniques:
a) regression and classification trees (with applications to insurance pricing and individual claims reserving);
b) boosting machines (with applications to model improvements, e.g., in mortality modeling);
c) neural networks (applied to chain-ladder reserving);
d) K-means algorithm (to classify telematics car driving data).
Literature:
Data Analytics for Non-Life Insurance Pricing
Machine Learning in Individual Claims Reserving
Covariate Selection from Telematics Car Driving Data
Machine Learning Techniques for Mortality Modeling
Neural Networks Applied to Chain-Ladder Reserving
10:00 – 10:30 / Coffee / Tea Break
10:30 – 12:00 / Lecture 2 (Prof. Dr. M. Wüthrich)
12:00 – 13:00 / Lunch
13:00– 15:00 / Lecture 3 (Prof. Dr. M. Wüthrich)
15:00– 15:30 / Coffee / Tea Break
15:30 – 17:30 / Practioners session (D. Sznajder)
17:30 / Closing of the Autumn School 2017
Registration form - IA|BE Autumn School
4 & 5 October 2017
Please complete and return by mail
Deadline: 1 October 2017
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Participation fee :
Day 1: 4 October 2017□ Member IA|BE: € 135 □ Phd Student Actuarial Sciences: € 25 □ Others: € 270
Day 2: 5 October 2017□ Member IA|BE: € 210 □ Phd Student Actuarial Sciences: € 35 □ Others: € 410
Both days: □ Member IA|BE: € 300 □ Phd Student Actuarial Sciences: € 50 □ Others: € 600
Payment and Cancellation policy
The invoice will be sent upon receipt of your registration.
If you need to cancel your registration, please note that you have to send a mail to 48 hours at the latest before the starting date of the training or seminar.
After this date, the payment of the participation fee is due.
You can always let an actuarial colleague take your place.