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Markus Gesmann

About me

I am a mathematician, working in the insurance and capital markets. I am also the maintainer and co-author of the ChainLadder and googleVis packages and founder of the Bayesian Mixer Meetups and Insurance Data Science conference series.

In my spare time, I write this blog on data analysis related topics. Some articles are inspired by my packages and current work, other relate to my time at university and the remainder are really just random thoughts.

Occasionally I speak about my work and when possible I make those presentations available on this blog. My talks are often about risk management, price monitoring, claims reserving, statistics, data analysis and dynamical systems.

Recent Posts

Hierarchical Compartmental Reserving Models for Business Planning

Introduction It’s been three years since the Casualty Actuarial Society published our research paper on Hierarchical Compartmental …

Portfolio Allocation for Bayesian Dummies

This post is about the Black-Litterman (BL) model for asset allocation and the basis of my talk at the Dublin Data Science Meet-up. The …

googleVis 0.7.0 adds Gantt charts

Version 0.7.0 of the googleVis R package has been released, adding a new function for Gantt charts. Gantt charts are helpful to …

Modelling incremental vs cumulative growth data - Does it matter?

It is exactly one year ago that the Casualty Actuarial Society published our research paper on Hierarchical Compartmental Reserving …

Prediction for the 100m final at the Tokyo Olympics

On Sunday the Tokyo Olympics men sprint 100m final will take place. Francesc Montané reminded me in his analysis that 9 years ago I …

Projects

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ChainLadder

Statistical Methods and Models for Claims Reserving in General Insurance.

googleVis

R Interface to Google Charts.

Recent Publications

Hierarchical Compartmental Reserving Models

Hierarchical compartmental reserving models provide a parametric framework for describing aggregate insurance claims processes using …

Exposure rating, destruction rate models and the mbbefd package

mbbefd: Maxwell Boltzmann Bose Einstein Fermi Dirac Distribution and Destruction Rate Modelling. Distributions that are typically used …

Claims Reserving and IBNR

This chapter gives an introduction to some reserving models and the focus will be on the practical implementation in R. The chapter is …

Underwriting, fast and slow

Thoughts on what might distinguish successful underwriters. It’s about embracing basic hygiene factors and a systematic approach …

Conference Report: R in Insurance 2014

Conference report about the 2nd R in Insurance conference at Cass Business School London on 14 July 2014. This one-day conference …

Upcoming & Past Talks

Future talks

2024

Past talks

2023

  • Measuring daily value creation of global specialty (re)insurance. Insurance Data Science Conference. City, University of London, 16 June
  • Insurance as an asset class - What could possibly go wrong? Together with Quentin Moore. London Quant Group. Lloyd’s, London, 13 June.
  • Introduction to Specialty (Re)Insurance & Lloyd’s. Imperial College Business School. London, 2 June.
  • Portfolio Allocation for Bayesian Dummies. Dublin Data Science. Dublin, Ireland, 15 February.

2022

2021

2020

  • Introduction to Lloyd’s and insurance risk as an asset class, together with Quentin Moore. Imperial College Business School. Webinar, 2 June
  • Review of Lloyd’s 2019 Results, together with Quentin Moore. Association of Lloyd’s Members. Webinar, 16 April
  • Models are about what changes, and what doesn’t. LondonR, Darwin Lecture Theatre, UCL. London, 31 March Cancelled
  • Hierarchical Compartmental Reserving Models. IDSC – AFRICA 2020. Sandton Convention Centre, Johannesburg, South Africa, 20 April Cancelled

2019

  • Hierarchical Compartmental Reserving Models. 18th Bayesian Mixer. Lockton Re, London, 25 September
  • Managing Investment Strategy. LMA Academy Business Management Development Programme, together with Quentin Moore, London, 19 September
  • Managing the Cost Base: Understanding the Combined Ratio. LMA Academy Business Management Development Programme, together with Quentin Moore, London, 18 September
  • Managing the Capital Base: Attracting and Keeping Investors. LMA Academy Business Management Development Programme, together with Quentin Moore, London, 17 September
  • Reserving Workshop - Compartmental Reserving, together with Jake Morris. Institute and Faculaty of Actuaries, Royal College of Physicians, London, 25 April
  • Investing at Lloyd’s: drivers, appetites and processes, together with Kamran Hossain, Anna Bender & Quentin Moore. LMA Masterclass, Lloyd’s Old Library, London, 13 March

2018

  • Models are about what changes, and what doesn’t. Cologne R User Group Meeting Cologne, 28 September
  • Managing Investment Strategy. LMA Academy Business Management Development Programme, together with Quentin Moore, London, 27 September
  • Managing the Cost Base: Understanding the Combined Ratio. LMA Academy Business Management Development Programme, together with Quentin Moore, London, 26 September
  • Managing the Capital Base: Attracting and Keeping Investors. LMA Academy Business Management Development Programme, together with Quentin Moore, London, 25 September
  • Panel discussion: R communities. EARL Conference. London, 13 September
  • Taking ILS transactions beyond natural catastrophes. Bank of England. London, 6 September
  • Hierarchical Reserving Models. Swiss Re Reserving Workshop. Zurich, 16 May
  • Visualisation & Diagnostics: From classical to Bayesian regression. Swiss Re Reserving Workshop. Zurich, 15 May
  • Risk Analysis: Experience vs Data. Full Stack Quants Meetup. Skills Matter, London, 9 May
  • Trading risks - A perspective from the Lloyd’s market place. Imperial College Business School. London, 8 March

2017

  • Generalised Linear Models in R. London R. London, 21 November
  • Risikoanalyse: Erfahrung vs. Daten. eoda [R] Kenntnis-Tage. Kassel, 8 - 9 November
  • Innovative Risikotransformation. Guy Carpenter Rückversicherungsworkshop. Petersberg, 19 September
  • Generalised Linear Models in R. EARL Conference London, 14 September
  • Risk Analysis: Experience vs Data. Düsseldorf Data Science Meetup. Düsseldorf, 13 June
  • Generalised Linear Models in R. 21st Cologne R User Group Meeting Cologne, 9 June
  • Data-Driven Approaches in the Insurance Industry. CIO and CTO Data Driven Roundtable London, 28 February
  • Trading risks - A perspective from the Lloyd’s market place. Imperial College Business School London, 9 February

2016

  • Risk Analysis: Experience vs Data. Open Data Science Conference. London, 9 October
  • Fostering an R Culture in a Commercial Organization. EARL Conference. London, 15 September
  • Trading Risks. EARL Conference. London, 14 September
  • Trading risks - A perspective from the Lloyd’s market place. Annual Meeting of the Swiss Association of Actuaries. Fribourg, 2 September
  • European Insurance Forum. Royal Hospital Kilmainham. Dublin, 16 March
  • Risk Analysis and Modelling. University of Westminister. London, 1 March
  • Experience vs Data. 1st Bayesian Mixer Meetup. Artillery Arms, London, 12 February

2015

  • Linking Underwriting, Pricing and Capital Modelling. Capital Modelling and Risk Management for Insurers. London, 9 - 10 December
  • Experience vs Data. Warsaw R user group. Warsaw, 26 November
  • GIRO Plenary Session & Claims inflation workshop. General Insurance Conference. Liverpool, 20 - 23 October
  • Communicating Risk. EARL Conference. London, 15 September
  • Pragmatic Stochastic Reserving Working Party: Wrap up and next steps together with Alessandro Carrato. General Insurance Reserving Seminar. Royal College of Surgeons. London, 18 June.
  • Experience vs Data. LondonR, University College London. London, 15 June
  • Communicating risk - A perspective from an insurer. R in Finance. University of Illinois at Chicago. Chicago, 29 May
  • Communicating risk. Bay Area R User Group @ Microsoft. Mountain View, 26 May
  • Rating Methodologies and Pricing together with Quentin Moore. Imperial College Business School. London, 13 & 20 May
  • General Insurance Pricing Forum. London, 25 March
  • Risk Analysis and Modelling. University of Westminister. London, 17 March
  • Performance & Risk Analysis. Imperial College Business School. London, 13 March
  • Data Visualisation. Cass Business School. London, 5 March
  • Performance & Risk Analysis. Imperial College Business School. London, 28 February

2014

  • Small & Big Data - Risks & Opportunities with Nick Beecroft. Lloyd’s Data & Intelligence Day. London, 15 October
  • Swimming in data and diving for whales. EARL Conference. London, 15 - 17 September
  • End User Computing with R under Solvency II. R in Insurance. Cass Business School. London, 14 July
  • Underwriting Risk Management - Identifying Key Issues & Challenges. 3rd Annual Insurance ERM Forum. Vienna, 5 & 6 June
  • googleVis update & developments. Cologne R User Group Meeting. Cologne, 23 May
  • Interactive charts with googleVis in R. Tokyo R user group. Tokyo, 17 April
  • Interactive charts with googleVis in R. Institute of Geoinformatics at the University of Münster. Münster, 11 April
  • Underwriting Risk Management - Identifying Key Issues & Challenges. Underwriting Risk Management Forum. London, 27 March
  • General Insurance Pricing Forum. London, 26 March
  • Performance Analysis. Imperial College Business School. London, 21 March
  • Transforming the Approach to Underwriting and Reinsurance. Predictive Analytics in Insurance Forum. London, 25 February

2013

  • Whales and bubbles – Swimming in data. Lloyd’s Data & Intelligence Day. London, 11 December
  • Panel discussion on Big Data. Insurance Strategy Insights Forum. London, 26 - 27 November
  • Lightning Talk: R in Insurance. UseR! 2013. University of Castilla-La Mancha Albacete, 11 July
  • GoogleVis Tutorial. UseR! 2013. University of Castilla-La Mancha Albacete, 9 July
  • Building interactive relationships with data and colleagues. Exeter Initiative for Statistics and its Applications Conference. University of Exeter. Exeter, 20 June
  • General Insurance Pricing Seminar. Institute of Actuaries. London, 11 June
  • Advanced R course: Introduction to googleVis, googleVis on shiny and R package development. Lancaster University. Lancaster, 21-22 May
  • Extremes and Model Uncertainty. Imperial College Business School. London, 26 March
  • Price Monitoring in the Lloyd’s market: Where to go next? Commercial Pricing Seminar. London, 21 March

2012

  • Data analysis and benchmarking. Federation of European Risk Management Associations (FERMA) - Lloyd’s professional development programme. London, 11 October
  • Using R in Insurance. GIRO conference. Brussels, 18 September
  • Interactive web graphs with R: Overview and googleVis tutorial. Royal Statistical Society conference, Telford, 5 September
  • Dynamical systems in R with simecol. London R user group. London, 19 June
  • Interactive charts and slides with R, googleVis and knitr. Cambridge R user group. Cambridge, 29 May
  • Modelling Insurance Claims Reserves with R and the ChainLadder Package, An Interactive Overview of Lloyd’s Using R and the googleVis Package. R in Finance Conference. Chicago, 11–12 May
  • Dynamical systems in R with simecol. Cologne R user group. Cologne, 30 March
  • From relative to absolute price monitoring. 3rd Annual Practitioners Forum on General Insurance Pricing. London, 29 March 

2011

  • Performance analysis at Lloyd’s together with Richard Crinson. GIRO conference. Liverpool, 12 October
  • Using the Google Visualisation API with R. London R user group. London, 7 September
  • Performance Framework at Lloyd’s. University of Leipzig. Leipzig, 6 September
  • Using R in Insurance: Examples from Lloyd’s. Poster presentation with Gao Yu and Viren Patel, UseR! 2011. University of Warwick, 16 August
  • Using the Google Visualisation API with R together with Diego de Castillo. UseR! 2011. University of Warwick, 16 August
  • Looking for Lloyd’s data? What is available and where to find it. Lloyd’s and London Market Seminar. London, 15 July
  • Using the Google Visualisation API with R. R/Rmetrics and Computational Finance and Financial Engineering workshop. Switzerland, 27 June
  • Price change monitoring in the Lloyd’s market. Practitioners' Forum on General Insurance Pricing. London, 14 April
  • Extreme weather events: Risk management and modelling implications. Imperial College Business School. London, 31 March

2010

  • The ChainLadder package, working with databases and MS Office interfaces. Predictive Modelling Workshop, Institute of Actuaries. London, 11 November
  • Price change monitoring in the Lloyd’s market together with Patrick Conlon. GIRO conference. Newport, October 14
  • Google Motion Charts with R together with Eric Wambach. London R user group. London, October 5
  • Climate change, emerging risks and insurance markets. Imperial College Business School. London, 19 July
  • From a finger in the air to a finger on the pulse. PMDR: Performance Management Data Return. Lloyd’s and London Market Seminar. London, 15 July
  • Claims Reserving with R. R/Rmetrics and Computational Finance and Financial Engineering workshop. Switzerland, 30 June
  • Reserve variability calculations together with Wayne Yanwei Zhang and Jimmy Curcio Jr. Casualty Actuarial Society (CAS) spring meeting. San Diego, 25 May
  • How to integrate R into MS Office. London R user group meeting. London, 4 May

2009

  • The ChainLadder package, working with databases and MS Office interfaces. “R you ready?” workshop. Institute of Actuaries. London, 24 July
  • The ChainLadder package. London R user group meeting. London, 31 March

2008

  • Introduction to R, Loss reserving with R. Stochastic Reserving and Modelling Seminar, Institute of Actuaries. London, 2 – 3 December
  • Loss reserving with R. Annual CAS meeting together with Vincent Goulet and Daniel Murphy. Seattle, 16 - 19 November
  • The ChainLadder package - Insurance claims reserving in R. R User Conference. Dortmund, 12-14 August

2007

  • Introduction to R, The Mack and Munich chain ladder models. Stochastic Reserving and Modelling Seminar, Institute of Actuaries. London, 29 – 30 November
  • Performance Management at Lloyd’s. Institute of Actuaries. London, 27 July

Events

Many thanks to friends and colleagues for supporting and working with me, particularly Bernd Weiß, Jessica Peterka-Bonetta, Kirill Pomogajko (Kölner R Treffen), Andreas Tsanakas (Insurance Data Science conference series), Gary Budinger (Lloyd’s & LMA events), Matt Drew (Bayesian Mixer Meetups) and Davide De March

Future events

  • 31th Bayesian Mixer. Bayes Business School, City, University of London, London, 14 November
    • Bayesian analysis: A Journey from Outlier to Mainstay. Tom Chivers and Andy Grieve

Past events

2024

2023

  • 27th Bayesian Mixer. Bayes Business School, City, University of London, London, 12 October
    • Understanding Insurance Profitability using Bayesian Hierarchical Models. Chris Halliwell & Cynon Sonkkila
  • 5th Insurance Data Science. Bayes Business School, City, University of London, London, 15-16 June
  • 26th Bayesian Mixer. Bayes Business School, City, University of London, London, 2 June
    • Developing Hierarchical Models for Sports Analytics using PyMC - Chris Fonnesbeck, Principal Quantitative Analyst in Baseball Research & Development for the Philadelphia Phillies
  • 25th Bayesian Mixer. Bayes Business School, City, University of London, London, 21 March
    • Rocket Science meets Bayesian Models: Space risks - small binary data - Neil Fleming, Space Risk Analyst

2022

2021

2020

2019

2018

2017

  • 10th Bayesian Mixer Meetup. AIG Europe, London, 22 September
  • The Bayesian Revolution in Stochastic Loss Reserving - Glenn Meyers
  • 9th Bayesian Mixer Meetup. AIG Europe, London, 22 September
    • Bayesian Hierarchical Models for Loss Development - Jake Morris, Mick Cooney, Cy Sonkkila
  • 8th Bayesian Mixer Meetup. Imperial College, London, 30 June
    • Gaussian process with PyMC3 - Chris Fonnesbeck (Vanderbilt University)
  • Kölner R Treffen. Eyeo GmbH, Cologne, 9 June
    • Generalised Linear Models in R - Markus Gesmann
    • Is R fit to create reproducible results? - Stephan Portz
  • 5th R in Insurance Conference. ENSAE, Paris, 8 June
    • Keynotes:
      • Textual analysis of expert reports to increase knowledge of technological risks - Julie Seguela (Covea)
      • Recent developments in micro-level reserving - Katrien Antonio (KU Leuven)
  • Insurance Linked Securities - Impact and opportunities for the Lloyd’s market. Vario Partners & LMA, Lloyd’s of London, London, 31 May
    • Panel discussion with Rob Procter, James Slaughter, Des Potter, Rajiv Punja & Bryan Joesph
  • Kölner R Treffen. Eyeo GmbH, Cologne, 17 March
    • H2O Deep Water - Making Deep Learning Accessible to Everyone - Jo-Fai Chow (H2O),
    • Analyze Traffic Hot Spots using R (and a little bit of Python) - Dubravko Dolic (dsquare)
  • 7th Bayesian Mixer Meetup. Imperial College, London, 6 March
    • Probabilistic Programming Products - Mike Williams (Fast Forward Labs)

2016

  • 6th Bayesian Mixer Meetup. King, London, 22 November
    • Tricks and Tools for Bayesian Computation in R - Rasmus Bååth
  • 5th Bayesian Mixer Meetup. Cass Business School, London, 21 October
    • Hierarchical Bayesian Modelling of Growth Curves inc Stochastic Processes - Darren Wilkinson (University of Newcastle)
    • Advanced PyMC3 - Peadar Coyle
  • Kölner R Treffen. Eyeo GmbH, Cologne, 14 October
    • Introduction to the tidyverse tools - Jiddu Alexander
    • Performance profiling and improvement in R - Nils Glück
  • 4th Bayesian Mixer Meetup. Product Madness, London, 27 September
    • Modelling Ecosystems via Hamiltonian and Sequential Monte Carlo Sampling - Dominic Steinitz
    • Bayesian Model Averaging (BMA) - Volodymyr Kazantsev
  • 4th R in Insurance Conference. Cass Business School, London, 11 July
    • Keynotes
      • (New) Challenges in Actuarial Science - Mario Wüthrich (RiskLab ETH Zurich)
      • Persuasive Advice for Senior Management: the Three-C’s - Dan Murphy (Trinostics)
  • Kölner R Treffen. Microsoft Deutschland, Cologne, 7 July
    • Introduction to SparkR - Dubravko Dolić
    • R at Microsoft - Stefan Cronjaeger
  • 3.5th Bayesian Mixer Meetup: PyMC3 summer special (talks & hack session). Rise London. London, 25 June
    • PyMC3 summer special (talks & hack session) - Chris Fonnesbeck & Thomas Wiecki
  • 1st Lloyd’s & LMA Datathon. Lloyd’s of London. London, 20 June
  • 3rd Bayesian Mixer Meetup: Crossval, PGMs and more. Cass Business School. London, 19 June
    • CrossVal & LOO in Stan - Luis Usier
    • DNA Mixtures & Bayesian Networks - Robert Cowell
  • 2nd Bayesian Mixer Meetup. Cass Business School. London, 15 April
    • Bayesian Networks for the Design of Experiments - Davide De March
    • Bayesian Modelling of Loss Curves in Insurance - Mick Cooney
  • Kölner R Treffen. Microsoft Deutschland, Cologne, 26 February
    • Introduction to Bayesian Regression Models using Stan with the brms package - Paul-Christian Bürkner (Uni Münster)
    • RKWard: A Graphical User Interface and Integrated Development Environment for Statistical Analysis with R - Meik Michalke (Uni Düsseldorf)
  • 1st Bayesian Mixer Meetup. Artillery Arms, London, 12 February
    • Experience vs Data - Markus Gesmann
    • Outlier detection using PyMC3 - Jon Sedar

2015

  • Kölner R Treffen. Startplatz, Cologne, 18 September
    • Monitoring process change using Bayesian methods - Mick Cooney
    • Editing R files with DataJoy - Dietmar Janetzko
    • Emoticons decoder for social media sentiment analysis in R - Jessica Peterka-Bonetta
  • Lloyd’s & LMA Data Day. Lloyd’s of London. London, 14 October
  • Kölner R Treffen. Startplatz, Cologne, 18 September
    • R in big data pipeline with luigi - Yuki Katoh
    • shinyjs - Paul Viefers
    • Experience vs Data - Markus Gesmann
  • 3rd R in Insurance Conference. University of Amsterdam. Amsterdam, 29 June
    • Keynotes:
      • Experiences with R in integRity - Richard Gill (Leiden University)
      • The Future of Loss Reserving: A Bayesian 21st Century - Jim Guszcza (Deloitte US)
  • Kölner R Treffen. Startplatz, Cologne, 26 June
    • Data Science at the Commandline - Kirill Pomogajko
    • An Introduction to RStan and the Stan Modelling Language - Pau Viefers
  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 6 March
    • Introduction to “Calidris”: Excel-R-Integration via R.NET - Günter Faes und Matthias Spix
    • Text Mining with R - Cornelius Puschmann

2014

  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 12 December
    • Introduction to Julia for R Users - Hans Werner Borchers
    • Dynamic Linear Models and Kalman Filtering - Holger Zien
  • Lloyd’s & LMA Data & Intelligence Day. Lloyd’s of London. London, 15 October
  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 12 September
    • Introduction to Renjin, the R interpreter for the JVM - Maarten-Jan Kallen
    • DataCamp: online interactive learning platform for R - Jonathan Cornelissen & Martijn Theuwissen
  • 2nd R in Insurance Conference. Cass Business School. London, 14 July
    • Keynotes
      • New trends in predictive modelling - the uplift models success story - Montserrat Guillén & Leo Guelman
      • Getting into Bayesian Wizardry… (with the eyes of a muggle actuary) - Arthur Charpentier
  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 23 May
    • Taking R to the Enterprise - Andrie de Vries
    • googleVis Update - Markus Gesmann
  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 26 February
    • R und Datenbanken - Diego de Castillo
    • Hands on using R and kdb+ together - Kim Kuen Tang
    • ArangoDB - ein kurzer Überblick - Frank Celler

2013

  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 13 December
    • data.table - Matt Dowle
    • Vorstellung des Buches “Datendesign mit R” - Thomas Rahlf
  • Lloyd’s & LMA Data & Intelligence Day. Lloyd’s of London, London, 11 December
  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 18 October
    • Divide et impera: Split-apply-combine-Ansätze in R - Bernd Weiß
    • XLConnect - Günter Faes
  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 19 July
    • Mit Twitter den Euro-Dollar Kurs vorhersagen - Dietmar Janetzko
    • Networks in R using igraph - Afshin Sadeghi
  • 1st R in Insurance Conference. Cass Business School. London, 15 July
    • Keynotes:
      • There is an R in Lloyd’s - Trevor Maynard (Lloyd’s)
      • Implementing CreditRisk+ in R - Alexander McNeil (Heriot-Watt University)
  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 12 April
    • Shiny - Diego de Castillo
    • Clusteranalyse in R - Stephan Holtmeier
  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 6 February
    • Workshop on Formal R Development and Creating Apps in R - Mango Solutions
  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 6 February
    • Eliminierung von Wolkenpixeln durch zeitliche Interpolation von Zeitreihen klassifizierter Satellitendaten - Klaus Jacobi
    • roxyPackage - Meik Michalke

2012

  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 5 October
    • The R-package phtt: Panel Data Analysis with Heterogeneous Time Trends - D Liebl
    • Automatische Messwertanalyse komplexer physikalischer Systeme mit GNU R - J Stein
    • knitr - S Westrop
  • Kölner R Treffen. Institut für Soziologie und Sozialpsychologie, Cologne, 6 July
    • ANOVA (Varianzanalyse) für Nicht-Statistiker - J. Schumann
    • ggplot2 einfacher mit Deducer - S. Sprenger
    • “Reproducible Research” mit Emacs’ Org mode und R - B. Weiß
  • Kölner R Treffen. Em Keldenich, Cologne, 30 March
    • R and Excel - Günter Faes
    • ggplot2 and XeLaTeX - Diego de Castillo
    • Dynamical systems in R with simecol - Markus Gesmann

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