Notes from the 3rd R in Insurance Conference

Photo: Arthur Charpentier

The R in Insurance conference in Amsterdam was a sold out success! Congratulations to the organising committee at the University of Amsterdam, and many thanks to our sponsors:

Milliman, RStudio, CYBAEA, Deloitte, a.s.r., Triple A Risk Finance, AEGON, Delta Lloyd Amsterdam, QBE Re and APPLIED AI

This one-day conference focused once more on applications in insurance and actuarial science that use R. Topics covered included reserving, pricing, loss modelling, the use of R in a production environment and more.

Next summer we are back in London at Cass Business School.

The slides are now available from the links in the agenda below.

R in Insurance 2015

9.30 – 10:30: Keynote 1

• Prof Dr Richard Gill (Leiden University) - Experiences with R in integRity

10:30 – 11:30: Session 1 – New developments in risk modelling for large portfolios

• Markus Gesmann (Lloyd’s, London) – Communicating risk: a perspective from an insurer
• Kristof Verbeken (VUB, Belgium) - BRAVE model risk assessment for large portfolios
• Sébastien de Valeriola (UCL and Reacfin, Belgium) - Using least square Monte Carlo techniques in insurance with R

11:30 – 12:00: Tea/Coffee break

12:00 – 13:00: Session 2 - Lightning talks on R packages and case studies

• Andres Villegas (City University, London) – StMoMo: an R package for stochastic mortality modelling
• Giorgio Spedicato (Unipol, Italy) – Actuarial evaluation of annuities using R (package ‘lifecontingencies’)
• Andrew Webster (Forecast health) – Risk adjustmens in R
• Mark Chisholm (Catlin, UK and US) – Case study of how actuaries use R
• Kevin Kuo (KPMG) – End-to-end insurance analytics with R
• Orsolya Retaller (RUG) - Broken heart in R

13:00 – 14:00: Lunch break

14:00 – 15:00: Session 3 – Life insurance and mortality modeling

• Han Li (Monash University, Australia) – Mortality forecast: global or local?
• Anastasios Bardoutsos (KU Leuven, Belgium) – Bayesian Poisson log-bilinear models for mortality projections with multiple populations
• Applied AI (UK) – Pricing mortality swaps using R

15:00 – 15:30: Panel discussion

15:30 – 15:50: Tea/Coffee break

15:50 – 16:50: Session 4 – Non life and health insurance

• Jake Morris (Liberty Specialty Markets) – Compartmental reserving in R
• Seth J. Chandler (University of Houston) – Using R to examine data from the affordable care act on the American health insurance market
• Indra Loljeeh (QBE Re, Belgium) – Pricing of MAXL treaties
• Carryl Oberson (University of Basel) – Boosting actuarial regression models in R

16:50 – 17:50: Keynote 2

• Dr Jim Guszcza (Chief data scientist, Deloitte US) - The Future of Loss Reserving: A Bayesian 21st Century

17:50 – 18:00: Closing

18:30 (or earlier, if possible) Boat trip to the conference dinner at De Vijffvlieghen