In this webinar, the authors of the 2021 Brian Hey prize winning paper present a new deep learning model called the LocalGLMnet. While deep learning models lead to very competitive regression models, often outperforming classical statistical models such as generalized linear models, the disadvantage is that deep learning solutions are difficult to interpret and explain, and variable selection is not easily possible. Inspired by the appealing structure of generalized linear models, we propose a new network architecture that shares similar features as generalized linear models, but provides superior predictive power benefiting from the art of representation learning. This new architecture allows for variable selection of tabular data and for interpretation of the calibrated deep learning model.
Brian Hey Award
The Brian Hey prize was established in 1998. Brian Hey was a senior and respected actuary who worked in general insurance.
In his memory, his family and employer donated funds to further actuarial research and the IFoA has used this to establish a research-based prize in his memory.
Ronald Richman is the Chief Actuary at Old Mutual Insure. and is a Fellow of the Institute and Faculty of Actuaries (IFoA) and the Actuarial Society of South Africa (ASSA). He holds practicing certificates in Short Term Insurance and Life Insurance from ASSA, and a Masters of Philosophy in Actuarial Science, with distinction, from the University of Cape Town. Ron chairs the Actuarial Society of South Africa’s ERM committee and is a member of the ASTIN Board.
Mario Wüthrich is Professor in the Department of Mathematics at ETH Zurich, and Honorary Visiting Professor at City, University of London (2011-2022). He holds a Ph.D. in Mathematics from ETH Zurich (1999). From 2000 to 2005, he held an actuarial position at Winterthur Insurance, Switzerland, in the field of non-life insurance claims reserving. He is fully Qualified Actuary SAA (2004), served on the board of the Swiss Association of Actuaries (2006-2018), and is Editor-in-Chief of ASTIN Bulletin.
Cat is the Chair of the IFoA’s GI Lifelong Learning committee and a partner in LCP's Insurance Consulting practice. She has over fifteen years of consulting experience and helps her clients understand and manage their insurance risks better.
She is a Solvency II expert and helps firms navigate the wide-ranging and onerous regulatory requirements. She has performed numerous independent reviews of internal model validation, risk and governance frameworks, standard formula calculations and technical provisions.
Cat authors LCP’s annual review on the SFCRs of 100 non-life insurers across the UK and Ireland, and has presented widely on this subject, including at EIOPA’s industry conference in Frankfurt.
She is also a founding member of LCP's LGBT+ network which leads initiatives and gives support to ensure that LCP provides an accepting environment for LGBT+ individuals to thrive and prosper.
Contact Niki Park for more information.
020 7632 2152