Non-Life insurance is facing many challenges ranging from fierce competition on the market or evolution in the distribution channel used by the consumers to evolution of the regulatory environment.Pricing is the central link between solvency, profitability and market shares (volume). Improving pricing practice encompasses several dimensions:
- Technical: Is our pricing adequate to cover the underlying cost of risk of my policyholders and the other costs we are facing? Which are the key variables driving the risk? Are they adequately taken into account in our pricing? What’s the impact of the claims history of my policyholder on its expected risk? In which segment are we profitable and in which are we not profitable
- Competition: At what price will we attract the segments that we target and price out those that we do not want? Is the positioning of our competitors influencing our pricing practice and our profitability? What’s my position with respect to my competitors in term of pricing? What are the segments in which I am well positioned and the segments where I am not well positioned?
- Elasticity: What price (evolution) are our existing customers prepared to accept? Does the sensitivity to price evolution depend on the profile of my customer?
- Segmentation: Is our segmentation granular enough for our purposes?
The aim of this seminar is to present some advanced actuarial/statistical techniques used in non-life pricing, competition analysis and profitability analysis. The seminar focuses on some practical problems faced by pricing actuaries and product managers and presents some new techniques used in non-life pricing in order to open new perspectives for product development (competition analysis, profitability analysis,…).
Organised by the EAA – European Actuarial Academy and the Instituto de Actuarios Españoles
The seminar is developed for non-life actuaries or statisticians but also for managers working in product development or risk management departments. It is designed as a follow-up workshop to the EAA seminars “Introduction to Non-Life Pricing” held in the years 2013-2016. Participation to this introductory seminar is not a prerequisite but participants should have basic knowledge of non-life pricing (especially of Generalized Linear Models). A short introduction will be performed to recall the key messages of the introductory seminar.
Attendees are encouraged to bring a laptop computer with R as well as some useful packages (all the information will be provided after subscription) installed. A basic knowledge of the R software is useful.
Purpose and Nature
The seminar will alternate between methodological concepts, practical examples and case studies in order to ensure a comprehensive understanding of the techniques presented.The case studies will be performed by the participants with the R software.
The language of the seminar will be English.
Samuel Mahy (Reacfin)
Samuel graduated as a Civil Engineer in Applied Mathematics with an additional minor in Economy and holds a Master in Actuarial Sciences, as well. He is a qualified actuary of the Institute of Actuaries in Belgium (IA|BE) and involved in the Reinsurance and Non-Life Workgroup of the IA|BE. He is the Head of the Non-Life Center of Excellence at Reacfin. Samuel has been active 5 years in the reinsurance sector where he was involved in reinsurance pricing model developments. At the same time he was also the main responsible of the UK market portfolio profitability follow-up. Samuel joined Reacfin in June 2010 as a specialist in Non-Life Insurance and Reinsurance and he has acquired a sound knowledge of Solvency 2 frameworks (Non-Life, Health). As a director, he is involved in various missions as in the modelling, implementation and validation of pillar I deliverables (standard approach and (Partial) Internal models), reinsurance optimization, model documentation, non-life pricing model development for several lines of business, etc…
Xavier Maréchal (Reacfin)
Xavier is founder and CEO of Reacfin. Xavier is one of the co-authors of “Actuarial Modeling of Claim Counts: Risk Classification, Credibility and Bonus-Malus Systems” (Wiley, 2007). Xavier has obtained different academic degrees as Civil Engineer in Applied Mathematics and MSc. Actuarial Sciences and MSc. Management. Xavier is a qualified actuary of the Institute of Actuaries in Belgium (IA|BE). Xavier has extensive experience in the actuarial field obtained during his 13 years as a principal consultant for many national and multinational insurance companies. He has gained a complementary experience in various fields going from Non-Life ratemaking and provisioning to life modeling and ALM. After several years of intensive modeling activities in life, non-life and ALM, Xavier works now as reviewer and mentor for consultants. He performed several validation assignments and holds the actuarial function for two health insurance companies.
Thursday, 26 October 2017
09.45 – 10.00 Registration
10.00 – 10.15 Introduction & welcome (EAA)
10.15 – 11.30 Basics of Non-Life Pricing (GLM for frequency and severity modelling, GAM for continuous variables and geographical ratemaking)
11.30 – 11.45 Coffee Break
11.45 – 13.15 Machine learning techniques in non-life pricing (regression trees, boosting, etc.): methodology
13.15 – 14.15 Lunch
14.15 – 15.00 Machine learning techniques in non-life pricing (regression trees, boosting, etc.): examples and comparison of methods
15.00 – 16.15 Machine learning techniques in non-life pricing (regression trees, boosting, etc.): case study performed by the participants
16.15 – 16.30 Coffee Break
16.30 – 18.00 Penalized regression techniques (Lasso, Ridge, interaction detection,…): methodology and examples
approx. 20.00 Dinner
Friday, 27 October 2017
09.00 – 10.30 Experience rating: how to adapt individual premium with past claims history? Credibility models and Bonus-Malus Systems
10.30 – 10.45 Coffee Break
10.45 – 11.30 Competition analysis: reverse engineering of competitors prices and positioning assessment with regression trees
11.30 – 12.15 Client behaviour and elasticity
12.15 – 13.15 Profitability analysis with regression trees and heatmaps
13.15 – 14.15 Lunch
14.15 – 15.10 Other topics (Generalized Linear Mixed Models, broker efficiency analysis,…)
15.10 – 15.15 Concluding Remarks, Closing of Seminar (EAA)
Fees & Registration
Your early-bird registration fee is € 790.00 plus 21 % VAT until 26 August 2017. After this date the fee will be € 970.00 plus 21 % VAT.
Instituto de Actuarios Españoles fellows will reach 12 CPD hrs.