1 / 18

The Matrix Inverted: A Primer in the Theory of GLMs

The Matrix Inverted: A Primer in the Theory of GLMs. CAS Annual Meeting New Orleans November 9-12, 2003. Gilbert Korthals, FCAS, MAAA, Assistant Vice President, Actuary GuideOne Insurance, 515.267.5277, gkorthals@guideone.com. Encounters Along the GLM Path. Preparing for the trip

roland
Download Presentation

The Matrix Inverted: A Primer in the Theory of GLMs

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. The Matrix Inverted: A Primer in the Theory of GLMs CAS Annual Meeting New Orleans November 9-12, 2003 Gilbert Korthals, FCAS, MAAA, Assistant Vice President, Actuary GuideOne Insurance, 515.267.5277, gkorthals@guideone.com

  2. Encounters Along the GLM Path • Preparing for the trip • Modeling curves • Implementation speed bumps

  3. Choosing the Vehicle & Features • Software • Hardware • Driver

  4. Packing the Van • Data collection • Coding • Exposures • Other situations

  5. Data Collection • Amount of data: • Minimum 50k to 100k earned exposures • Different sources • Matching records • External data • Sources? Cost? Usability?

  6. Coding • Definitions • Thoroughly know your codes • Check for reasonableness • Mapping • Codes change over time • Territory #’s, BI limits • Integrity • How good are the codes? • Still being updated? • Driver/vehicle assignments

  7. Exposures • Balance # of variables and exposures • Try to have 50+% of field populated • Re-map smaller exposures • CW vs state specific analysis? • Low frequency exposures

  8. Other Data Situations • Treatment of CWP’s • Can model handle severity = 0? • Records with negative amounts • Can model handle? • Excess vehicles • What driver chars. do you assign? • Orphan claims • Software

  9. On the Highway - Modeling • Counterintuitive results • Factor categorization • Business decisions

  10. Counterintuitive Results • Interpretation issue • Example - limits & deductibles • Near aliasing • Look at each year to see if pattern consistent • Look at other coverages

  11. Factor Categorization • Categorization • Creating a new variable from two or more other variables – sex and marital status • Myriad of choices & combinations • Need sufficient exposures and claims • Goal is not to find as many combinations as possible • Goal is to find ones too powerful to ignore

  12. Decision Time Considerations • When to change current rates/relativities • How far to change current rates • What new variables to include • Removal of variables impacts interaction among remaining variables • Competition & comparing to existing rates

  13. Competition • Who to look to? • How similar is their rating system to yours? • How similar is their book of business to yours?

  14. Comparing to Competition & Existing Rates • Re-rating book of business • Retention analysis • Leaving money on the table • Know your marketing opportunities • Finalize rating plan • Understand impact of tempering or excluding variables

  15. Managing Market Disruption • No easy answer • To convert or not to convert • Conversion choices • Look at matching price points (assuming you have the data and allowed by regulators) • Allow swings (with or without capping) • Remember credit scoring

  16. Dealing with Other Audiences • Senior management • Underwriting • Systems • Regulators

  17. End of the Road? • Not a once in a lifetime vacation • Fear of breakdowns, detours, squabbling kids and unknown

  18. Questions?

More Related