1 / 23

Actuarial Data Processing: Object Hierarchy & Data Structures

Learn about the importance of object-oriented modeling and hierarchy in actuarial data processing. Understand how different categories and hierarchies help in efficient computation and analysis.

btate
Download Presentation

Actuarial Data Processing: Object Hierarchy & Data Structures

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Sam Sebe LLC On Hierarchy of Actuarial Objects:Data Processing from the Actuarial Point of View Aleksey Popelyukhin, Ph.D. SVP, Technology samsebe@consultant.com

  2. Credo Statement: Actuaries deserve a convenient tool based on the latest computer technology Proof:  Actuaries are computer literate enough to use and enjoy well integrated software solution  Actuaries did a good job standardizing their algorithms and data structures  Competitive and regulatory pressures require more work to be done faster Other professionals have it 1

  3. Ideal Actuarial System An ideal data processing solution is a • transparent to users • highly efficient storage/retrieval system for • structured actuarial data (objects) with • an extremely flexible • computationally complete • open calculation engine … 2a

  4. Ideal Actuarial System ... that is, a system which speaks “actuarese” and makes it very easy to express actuarial algorithms and very hard to make mistakes. • The paradigm where goals of • abstraction, • flexibility, • simplicity and • reliability can be easily achieved is Object-Oriented model. 2b

  5. OO computer system • What actuaries have to do about it: • Demand it! • Communicate specs to software engineers • Classify Actuarial DataObjects • Classify Actuarial algorithms • Maintain and constantly improve it • Use it and reap enormous benefits 3

  6. Object Orientation • No system can be called object-oriented unless it supports • encapsulation (“code and data together”) • inheritance (“new features without rewriting old code”) • polymorphism (“same algorithm for different types of objects”) • OO databases add requirements for • persistence (“objects exist even after program stops”) • identity (“way to differentiate objects and guarantee their uniqueness”) 4

  7. Main Statement • Any relationship (“parent-child”) generates a hierarchy • Any equivalence criteria (“same-different”) generates factorization That is exactly our situation: • Inheritance and polymorphism call for class (“internal”) hierarchy, • while the identity required by an OO database calls for object (“external”) hierarchy 5

  8. Data Objects • chunks (arrays) of structured data, • each chunk with its own set of properties 6

  9. Data Objects categories • How can we tell these 2 “triangles” apart? 1. These are not Triangles at all (Shape) 1 1 1 2 2 3 WC  (total) NE p r e m i u m s 2. Cumulative vs. Incremental (CurrentState) 3. Worker’s Comp vs. Auto (LOB) 1 2 3 2 4 3 AL  (total) SW 7 factors 4. NorthEast vs. SouthWest (Regions)

  10. 4 kinds of categories While some categories reflect an “actuarial nature” of the object, others are used just to distinguish similar object of the same “nature”. There are 4 major kinds of categories: 1. Those which define object’s place in a class hierarchy (class attributes) 2. Those which define object’sstate 3. Those which serve identification purposes (dimensions) 4.Those used for grouping within dimension (generations) 8

  11. “Internal” hierarchy Actuarial Object Actuarial Array Actuarial Method Row Column Triangle Diagonals Inflation Ultimate Diagonal 9a Counts Ratios Dollars Open Closed Loss ALAE

  12. “External” hierarchy 9b

  13. 1st rule of thumb To determine which hierarchy (“internal” or “external”) an actuarial category belongs to, consider How it will be used: • whether or not different members of this category need different algorithms to process them • {“Counts” and “Dollars”} vs. {“NY,” “NJ” and “CT”} • whether or not different members of this category affect theway algorithms are applied • {“Cumulative” and “Incremental”} • whether or not members of the category are used to define groups for possible aggregation into subtotals • {“NorthEast” and “SouthWest”} subtotals “Locations” 10

  14. Functional Classes • Classes in OO application can be used for different purposes. • Classes with the principal responsibility of maintaining data information are called abstract data types (“Data Objects”) or data managers. • Classes with the principal responsibility of assisting in the execution of complex tasks called functional classes (“Engines”) or facilitators. • The distinction between abstract data types and functional classes is somewhat similar to the distinction between nouns and verbs in a sentence. 11

  15. 2nd rule of thumb To decide which actuarial operation belongs to the data object (i.e., has to be implemented as a method in the abstract data type) vs. functional class, consider: • whether or not the algorithm is subject to future modification(s) • always the same “accumulation of the triangle” vs. always improving“calculation of the tail factor” • whether or not it is generic or specific • “summation of any two triangles” vs.“annualization of the inflation rate” applicable only to inflation vector • whether or not it is interactive (user interruptible) • automatic “extraction of the last diagonal” vs. “loss development method”, which requires user selection 12

  16. Implementation • Possible design of an Ideal Actuarial System may include the following tasks: • actuarial data arrays can be implemented as a hierarchy of abstract data types • actuarial methods can be wrapped into functional classes • persistence can be achieved by storing objects in an Object-Oriented (or Object-Relational or just plain Relational) Database • links to Actuarial Data Mart can be added to import object’s data and to export results of analysis • a flexible user interface can be added to finalize construction of the OO actuarial system 13

  17. Illustration-syntax (Spreadsheet) =(sum(C35:C39)-max(C35:C39)-min(C35:C39))/3 (OO) AgeToAgeFactors.Average (Type:=ExclHiLo, _ LastDiagonals:=5) 14a

  18. Illustration-abstraction through encapsulation cell (i, j) of the triangle maps to cell k = (i + j - 2)(i + j - 1)/2 + i of the 1-D array 14b this space-conscious arrangement doesn’t affect user or program

  19. Illustration-inheritance Triangle is a Matrix (Range) with a few extra Properties and Methods: • DiagonalsToColumns • DiagonalsToRows • RowsToDiagonals • ColumnsToDiagonals • DiagonalToVector(DiagonalNumber) • VectorToDiagonal(DiagonalNumber) • LastDiagonal 14c

  20. Illustration-inheritance (cont.) DiagonalsToRows 14d

  21. Illustration-engine Loss Development (Chain-Ladder) Method: EstimateOfUltimate = InputTriangle.LastDiagonal(asColumn) * _ UserSelectedFactors (default:= InputTriangle.AgeToAgeFactors.Average(Medial, 5)) 14e

  22. Recommended Reading • David Brown. An Introduction to Object-Oriented Analysis. Objects in Plain English. 1997, Wiley • Mary E.S. Loomis.Object-Oriented Databases: The Essentials. 1995, Addison-Wesley • Michael Bhala, William Premerlani.Object-Oriented Modeling and Design for Database Applications. 1998, Prentice Hall

  23. The Whole Picture On Hierarchy of Actuarial Objects Data Processing from the Actuarial Point of View, 1998 The Big Picture Actuarial Process From the Data Management Point of View, 1996 Let Me See Visualization and Presentation of Actuarial Results, 1999 Watch Your TPA A Practical Introduction to Actuarial Data Quality Management, 1997

More Related