Tonight, I will be on my way to Imperial College, in London, to finalize our 2020 actuarial pricing game… More to come soon, on the blog !
(and yes, it’s London, UK, not London, Ontario… where the 6th Workshop on Insurance Mathematics will be organized at the end of the week)
This Friday, I will be in Quebec city to give a talk at the Actuarial Departement, on risk pooling and price segmentation. Slides are now available
Within a few days, we will launch the fourth actuarial pricing game.
- People have to register for that new game. People have to fill a form online before February 28th to get a training dataset. As in our previous versions, players can be individuals or in a team (identified as one player).
- When registration closes, players will receive a training dataset (training.csv). The training dataset will be based on two years of data on household policies. There will be information about the insurance policy from underwriters, as well as, claims data. They will also receive a pricing dataset (pricing.csv) with only underwriters information and no claims. The goal is to propose a premium for all records in the pricing dataset. Note that those registered will also receive additional information and template files after registration closes.
- Before April 9th, 2018, players will have to provide two files: a pricing function (either a formula.py Python function, or a formula.R R function) and a dataset with prices prices.csv). The pricing function should be an understandable explicit function which, once applied to the training dataset, will yield premium prices for each record. There will be limits on the complexity of this function. To ensure this, players will receive instructions on what can be used to construct formulas either in Python or R.
- Before May 14th, 2018, players are asked again to submit two files: a dataset with prices (second_prices.csv) and a pricing model (either a model.py Python file, or a model.R R file). For this round there are no restrictions on what can be used in the model, as long as, by using the model file submitted the prices dataset (second_prices.csv) can be reproduced. Players will again receive further instruction on this after registration.
Ce soir (après la soutenance de doctorat) je donnerais un exposé au Groupe de Travail Big Data de l’Institut des Actuaires, à deux pas de l’Institut. Les slides du mon exposé sont en ligne,
J’avais initialement dit que je présenterais le papier écrit avec Emmanuel Flachaire et Antoine Ly, intitulé Econométrie et Machine Learning. Comme j’ai pas mal de temps, je reviendrais sur le papier au milieu de la présentation, mais l’exposé sera (a priori) un peu plus général.
The Third Actuarial Pricing Game is still open, the deadline for submission is still February 25th. As mentioned in the instructions, for those willing to play in a market where reinsurance is available, here are the prices offered by some reinsurance company.
As mentioned in the description, the price is per insurance policy, per year. Players should send me their premiums in a csv file, gross of reinsurance, and mention in the email that they want to purchase treaty (A) – for instance (and mention explicitly in the object of the email that they want to play in this specific market, where reinsurance is available).
With the support of ACTINFO Chair and the (French) Institute of Actuaries, our Third Actuarial Pricing Game starts today ! There is a toolbox file available online, with
- a description of the game : the rules, the dates, and a description of the datasets
- 3 datasets : one underwriting and one claims databases, for year 0 (training data) and one underwriting dataset to enter the game
Anyone can play. Students from various programs around the world, as well as practitioners are welcome to play. It can be by teams, and there are no limit on the size. And there is no registration: to start playing, teams have to submit a dataset before the deadline (end of February), to email@example.com.