Implementation of Bayesian Predictive Analytics for Insurance Product Pricing, Underwriting and Risk Management by Howard Zail

Event Date: 

Wednesday, October 14, 2015 -
3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 p.m

Event Location: 

  • South Hall 5607F

Howard Zail — Elucidor, LLC; New York, NY 

Title: Implementation of Bayesian Predictive Analytics for Insurance Product Pricing, Underwriting and Risk Management

Abstract: There has been an explosion of new and powerful Bayesian predictive analytics techniques and methodologies over the last twenty years, but the insurance industry has been very slow at adopting these methodologies in practice. This seminar will present a number of real problems faced by insurers or pension funds and show how these new techniques can be implemented to improve profitability and establish a more efficient capital management strategy. In particular, we will discuss utilizing the following methodologies in a cohesive framework: state space modeling, hierarchical models, efficient and large scale MCMC, feature selection, and probabilistic programming.