Blog Archives

Use domain knowledge to review prior distributions

August 1, 2018
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At the Insurance Data Science conference, both Eric Novik and Paul-Christian Bürkner emphasised in their talks the value of thinking about the data generating process when building Bayesian statistical models. It is also a key step in Michael Betancourt’s Principled Bayesian Workflow. In this post, I will discuss in more detail how to set priors, and review the prior and...

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Notes from the 1st Insurance Data Science event

July 23, 2018
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The first Insurance Data Science event was held at Cass Business School last week, 16 - 17 July 2018. The conference followed on from five iterations of the R in Insurance events, which have the aim of bringing together practitioners and academics toge...

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Models are about what changes, and what doesn’t

June 25, 2018
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Following on from last week’s post on Principled Bayesian Workflow I want to reflect on how to motivate a model. The purpose of most models is to understand change, and yet, considering what doesn’t change and should be kept constant can be equally important. I will go through a couple of models in this post to illustrate this idea. The purpose...

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Insurance Data Science 2018

March 26, 2018
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Insurance Data Science 2018

The abstract submission deadline for the Insurance Data Science conference at Cass Business School on 16 July 2018 is closing soon. You have until the 9th of April to submit your abstract. Please send your abstract to [email protected] ...

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PK/PD reserving models

January 29, 2018
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PK/PD reserving models

This is a follow-up post on hierarchical compartmental reserving models using PK/PD models. It will show how differential equations can be used with Stan/ brms and how correlation for the same group level terms can be modelled. PK/ PD is usually short for pharmacokinetic/ pharmacodynamic models, but as Eric Novik of Generable pointed out to me, it could also be...

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Hierarchical compartmental reserving models

January 8, 2018
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Hierarchical compartmental reserving models

Today, I will sketch out ideas from the Hierarchical Compartmental Models for Loss Reserving paper by Jake Morris, which was published in the summer of 2016 (Morris (2016)). Jake’s model is inspired by PK/PD models (pharmacokinetic/pharmacodynamic models) used in the pharmaceutical industry to describe the time course of effect intensity in response to administration of a drug dose. The hierarchical...

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Insurance Data Science Conference 2018

December 18, 2017
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Insurance Data Science Conference 2018

Following five R in Insurance conferences, we are organising the first Insurance Data Science conference at Cass Business School London, 16 July 2018. In 2013, we started with the aim to bring practitioners of industry and academia together to discuss and exchange ideas and needs from both sides. R was and is a perfect glue between the two groups, a tool...

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Correlated log-normal chain-ladder model

December 1, 2017
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Correlated log-normal chain-ladder model

On 23 November Glenn Meyers gave a fascinating talk about The Bayesian Revolution in Stochastic Loss Reserving at the 10th Bayesian Mixer Meetup in London. Glenn Meyers speaking at the Bayesian Mixer Glenn worked for many years as a research actuary at Verisk/ ISO, he helped to set up the CAS Loss Reserve Database and published a monograph on Stochastic loss...

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R in Insurance 2017 Programme online

May 11, 2017
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The programme for the 2017 R in Insurance conference in Paris has been published. Talks will discuss new ideas and research with the applications in life and general insurance, from network analysis, reserving, pricing to catastrophe modelling, followed by a conference dinner at the Musée d’Orsay. Registration is open until 22 May. Agenda 9:00 am - 9:10 am ...

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R in Insurance 2017

December 13, 2016
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R in Insurance 2017

The fifth conference on R in Insurance will be held on 8 June 2017 at ENSAE. ENSAE is the Paris Graduate School for Economics, Statistics and Finance.The intended audience of the conference includes both academics and practitioners who are active or interested in the applications of R in Insurance.This one-day conference will focus again on applications in insurance and...

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