Conference Report: R in Insurance 2015

We're recently back from R in Insurance in Amsterdam where we heard several interesting talks, delivered one of our own, and met some really great people.

We would like to thank the organising committee of Katrien Antonio, Roger Laeven, Angela Van Heerwaarden and Michel Vellekoop, along with the staff of the University of Amsterdam for their extremely well-ran conference - everything ran without a hitch and the talks were excellent.

On a personal note, it was interesting to see a talk on Least Squares Monte Carlo by Sébastien de Valeriola. That was a topic I worked on quite a bit during my PhD, and it was interesting to see it being used in the calculation of Solvency Capital Ratios for Solvency II. I plan to revisit the technique, it is a useful tool for the shed.

I will resist the urge to mention the other talks as I will invariably forget some and promptly feel bad for the omission, but all the talks were excellent, and provided ample food for future thought. My talk was well received and I fielded a very interesting question about using the approach to price a swaption, which is a definite path for future work.

Amsterdam is sublime, and the boat tour we took to the restaurant in the fine summer weather was one for the memoirs, especially with the wine and beer! That was followed by an excellent meal at a restaurant whose name I have tragically forgotten.1

Of course, the most important part of the conference was simply getting to know likeminded experienced practitioners which is a similar situation to the Dublin R usergroup, and also topic I intend to write about in the future. After dinner, a large proportion of us decamped to a bar just off the Rembrandtplein where copious pitchers of beer were to be found.

I spent most of the evening discussing Bayesian methods and loss triangles with Jake Morris of Liberty Specialist Markets; along with the organisational structure of Lloyd's of London with Markus Gesmann2.

Overall, it was a thoroughly enjoyable experience, consider us signed up for next year!


Addendum:

While it appears that the various slides for the talks will be distributed where permission is granted, I am happy to make my slides available now on SlideShare:

http://www.slideshare.net/MickCooney/pricing-mortality-swaps-using-r

For those interested, the slides were generated with knitr and beamer and the bitbucket repository is public:

https://bitbucket.org/appliedai/r_in_insurance_2015

Finally, those brave souls interested in the mortality swaps can find the bare bones package I have started working on in bitbucket:

https://bitbucket.org/appliedai/mcmortswap



  1. Note to self: ask the conference organisers for the name so I can go back there when on holiday with my wife.

  2. Markus is co-founder of the conference and head of Analysis at Lloyd's of London, and also finds time to maintain an excellent blog about data analysis.

Mick Cooney

Mick is highly experienced in probabilistic programming, high performance computing and financial modelling for derivatives analysis and volatility trading.