Statistical Machine Learning and Data Analytic Methods for Risk and Insurance

309 Pages Posted: 11 Oct 2017 Last revised: 11 Dec 2017

See all articles by Gareth Peters

Gareth Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University; University College London - Department of Statistical Science; University of Oxford - Oxford-Man Institute of Quantitative Finance; London School of Economics & Political Science (LSE) - Systemic Risk Centre; University of New South Wales (UNSW) - Faculty of Science

Date Written: December 11, 2017

Abstract

Lecture series on Statistical Machine Learning for Risk and Insurance.

PART I. Unsupervised Learning Methods In Risk and Insurance:

The goal of this part of the lecture series is to develop core aspects of dimension reduction and feature extraction methodology from modern machine learning and data analytic approaches that can be directly applicable to working with Risk and Insurance modelling contexts.

Feature Extraction and Dimension Reduction Methods in Risk and Insurance: In this section we will cover aspects of feature extraction methodology and dimension reduction methods that have the following core attributes: 1. capable of extracting relevant feature information that can be understood from a clear statistical perspective; 2. capable of treating outliers in the data (robust methods); 3. capable of treating missing data in the records; 4. computationally efficient to extract features.

Detailed Real Applications to Illustrate the Ideas: a) Examples are developed in areas of: b) Premium and rate making applications in insurance c) Cyber risk and Operational Risk d) Claims reserving e) Home and contents insurance f) Mortality and Demographics in life insurance and annuities g) Telematics h) Catastrophe insurance i) Agricultural Insurance

Keywords: Machine Learning, Risk, Insurance, Statistical Learning

Suggested Citation

Peters, Gareth, Statistical Machine Learning and Data Analytic Methods for Risk and Insurance (December 11, 2017). Available at SSRN: https://ssrn.com/abstract=3050592 or http://dx.doi.org/10.2139/ssrn.3050592

Gareth Peters (Contact Author)

Department of Actuarial Mathematics and Statistics, Heriot-Watt University ( email )

Edinburgh Campus
Edinburgh, EH14 4AS
United Kingdom

HOME PAGE: http://garethpeters78.wixsite.com/garethwpeters

University College London - Department of Statistical Science ( email )

1-19 Torrington Place
London, WC1 7HB
United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )

University of Oxford Eagle House
Walton Well Road
Oxford, OX2 6ED
United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre ( email )

Houghton St
London
United Kingdom

University of New South Wales (UNSW) - Faculty of Science ( email )

Australia

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