Actuarial pricing, capital modelling and reserving


Pricing Squad


Issue 6 -- September 2016

Welcome back to Pricing Squad

Pricing Squad is a newsletter for fellow pricing practitioners and actuaries in general insurance. Enjoy, and let me know your comments and ideas for future issues.

Today's issue is pushing the limits of predictive modelling into the realm of the super-human using GLM-free methods.


Are you a dog person or a cat person?

I can only capture demand elasticity differences for those factors which are actually captured in my data: age, vehicle type, location etc. It is impossible to capture differences by, say, policyholder's mum's hair colour.

Right?

Wrong.

What?

I like to maximise the information I extract from elasticity data. You can do this too, using GLM-free rate change impacts.

Example

In this Excel sample dataset (www.iwanik.co.uk/uploads/public/dog_cat_person_v1.xlsx) 10,000 quotes are equally divided between "dog people" and "cat people", a characteristic your company definitely does not collect.

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