Probabilistic Programming for Actuarial Science

Introduction A core task of actuarial analysis is estimation of risk rates for insured events. This includes analyses such as estimating mortality rates, lapse rates, incidence rates, termination rates and so on. In addition to determining best estimates for risk rates, understanding the uncertainty around the best estimates is a critical component of the overall …

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Life Expectancies in the US Worsen (but with some bright spots)

The CDC has just published its new set of reports analyzing the trends in mortality and life expectancy from 2016 to 2017. Unfortunately, there has been a decline in overall life expectancies in the US.  Sources of mortality that have shown statistically significant increases in mortality are (from highest to lowest impact): Uninentional Injuries Influenza …

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Gaussian Process Models for Actuarial Science

We have written in collaboration Professor Michael Ludkowski and Ph.D candidate James Risk of U.C. Santa Barbara, a paper introducing Gaussian Processes (GPs) to the actuarial community.  Our paper has focused on a practical implementation of GPs in mortality analysis.  A pre-publication version of the paper can be found here:  https://arxiv.org/abs/1608.08291 GPs are an extremely powerful …

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Tracking Presidential Polls: A New Approach

Final Review: A summary of the final results can be found here. Original article: 7/22/2016:  Being in the height of the presidential election season, there is intense interest as to who is likely to win the November elections.  The standard approach in the press has been to commission a poll, report the results and compare …

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Predictive Analytics Presentation on ERM to the Actuarial Society of New York

Howard Zail from Elucidor and Nefissa Sator from Forsides Actuary recently delivered a joint presentation to the Actuarial Society of New York on  “Solvency II and Predictive Analytics in LTC and Beyond:  How U.S. companies can improve Enterprise Risk Management (ERM) by using Advanced techniques developed for Solvency II and emerging predictive analytics methods”.  The presentation was …

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Data Science Articles

Here are some recent articles about data science that are worth reading: On Data Science education: Data Science should not be taught in business schools White House To Universities: We Need More Data Scientists Around the industry: IBM to open up Watson to third party developers Research Methods: How Science goes Wrong

Bayesian Analytics and the Presidential Election

Something interesting happened in the lead up to the presidential election.  Most of the mainstream media outlets were predicting a statistical dead heat between Obama and Romney, and only towards the end did some in the media start reporting that Obama had a razor thin margin. However, this so-called statistical tie was at odds with …

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