Early discussions of proxy modelling were focused on replicating formulae type models and attempting to understand the different methods that have evolved within the industry. Even when replicating formulae type models there are many variations in methodology, so the methods have been split into broad categories upon which to base future investigations.
The categories have been defined in order to identify and differentiate between key methodology differences, for example, the choice between regression and precise interpolation and whether to build a formula from optimised components or optimise the complete formula. Further variations in model design are also being considered, including choice of basis function.
Further investigations will attempt to improve our understanding of the models and their behaviours in order that improvements can potentially be made to the design, calibration and testing of proxy models as used in the insurance sector.
The Working Party is currently considering whether to continue with its research during 2015/2016.
- Work in progress paper February 2014 sessional meeting
- Risk and Investment Conference 2013 workshop presentation
- Article for the Actuary Feb 2012.
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