Non-life pricing using GLMs

Bucharest 21 November 2019

Trainer: Frederick Borgers

Details

The workshop focuses on the practical aspects of P&C pricing. First, the pricing cycle for Non-Life insurance will be explained in detail:

a)    Data preparation

b)    Risk modelling

  1. Generalized Linear Models
  2. Alternative Techniques

c)    Callibration of premium: from net risk premium to gross risk premium

d)    Considerations when setting commercial premiums

Special attention will be given to the increasing role of the actuary in setting of commercial premiums (phase d):

  • Traditionally the actuary has limited influence on commercial adaptations, risking that a tariff turns unprofitable
  • Commercial adjustments are more and more data driven:
    • Market data are used to optimize tariffs
    • Prices are individualized in function of the client value

Examples will be made in Excel or R, so participants can actively contribute. Possibly examples from commercial pricing softwares will be shown too.

Target group

-          Junior actuaries

-          More senior actuaries who are currently not dealing with pricing, or life actuaries willing to expand their knowledge

-          Non-actuaries who are dealing with products, underwriting, and want to find out more about pricing

Course objectives

-          Make the participants familiar with the P&C pricing cycle

-          Update the participants on ongoing developments in P&C pricing

-          Show practical examples that can be used on the Romanian market

-          Prepare the participants for meetings with Underwriting, Sales, Management Board to defend a tariff calculation

Subjects

Pricing cycle for P&C insurance

-          Data preparation

  • How to obtain a representative dataset for pricing
  • Match with accounting figures

-          Selection of risk factors

  • Univariate analysis
  • Interactions between variables
  • Grouping of variables

-          GLM modelling

  • Choice of parameters (link function, offsets, etc)
  • Frequency – severity model
  • Signficance tests

-          Callibration of premium

  • Costs, commissions, etc.

-          Final premium including commercial adjustments

  • Introduction of a data driven approach for commercial adjustments
  • External data: market position, price elasticity, customer profile

Trainer

Frederick Borgers is the head of Group Property & Casualty Pricing at UNIQA Insurance Group AG. Frederick was an actuary within the International Actuarial Specialist Programme at Eureko, a non-life actuary at Uniqa Insurance Group AG and the Actuarial Project Manager at UNIQA Asigurări.

Duration / Period

The workshop will last for 6 hours and will take place on the 24th of November 2017, between 09:30 and 16:30.

Discounts

At the above fee the following discounts will be granted:

  •     5% for registration and payment until the 20th of October 2019;
  •     5% for the registration of more than 2 persons from the same organization;

    The discounts can be cumulated.

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