Predictive modelling in Life portfolios

Predictive modelling in Life Portfolios

Dominik Sznajder - Actuarial consultant in Milliman's Brussels office

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EIOPA guidelines on the valuation of Technical Provisions require the actuarial function to be able to explain which methods are used and why. Thus, the methods applied have to take into account the strong interrelation among the nature, scale and complexity of embedded risks. Yet, modern analysis techniques can also play a very important role from the business point of view to create opportunities for competitive advantage.
During the seminar we would like to present a coherent approach to parameter setting in Life portfolios. We start off with a heuristic calculations based on the raw empirical data. We then move towards a model approach: from Linear Models to Generalized Linear Models. We also discuss how Generalized Additive Models can enhance GLM modelling. Finally, we discuss how machine learning techniques can be applied to reinforce the parameter study.