The Ratemaking Research Working Group has announced two winners of their 2023 call paper program:
- “Nonlife Insurance Risk Classification Using Categorical Embedding” by Peng Shi and Kun Shi.
- “An Analysis of the Current Saudi Arabian No-Claim Discount System and Its Adaptability For Novice Women Drivers” by Jorge Yslas-Altamirano, Asrar Alyafie and Corina Constantinescu.
Both papers will be available in the Spring 2023 volume of the E-Forum, along with four other papers submitted for the call paper program. The $15,000 cash prize available for the call will be split equally between the two papers.
“Peng and Kun’s paper addresses a data analysis problem that is particularly acute in actuarial applications: categorical data with many different categories,” said Brian Fannin, CAS staff actuary for research. “These are things like rating territory or class codes. They’re vital to insurance companies, but they don’t play well with many modeling techniques which expect data to exist on a continuum. This paper illustrates a technique to use categorical data in a novel way to support risk classification and input to deep learning models.”
The paper by Altamirano, Alyafie and Constantinescu is broader than the title may suggest. Beyond a critical examination of the regulatory response to the sudden appearance of a large, new class of drivers, the authors consider rating schemes in other countries. “The result is a fantastic primer of some of the possible options to gauge the success of mandatory auto tariffs,” Fannin said. “This is foundational material for actuaries working in those markets, and also for policymakers who want more context to evaluate their decisions.”
Research call paper programs are routinely announced by the Ratemaking, Reinsurance, Risk and Reserving research working groups. Each group typically operates a call paper program once every two years, though additional calls are sometimes conducted in off years. For each call paper program, authors are invited to submit short research proposals, which are vetted by the sponsoring working group. If accepted, authors are paired with reviewers who will comment on preliminary and final drafts. A cash prize is available to recognize particularly exemplary work. All papers which are cleared by reviewers will appear in the E-Forum.
Peng Shi, ACAS, FSA, Ph.D., is the associate editor of Variance and an associate professor in the Risk and Insurance Department at the Wisconsin School of Business. He is also the Charles and Laura Albright Professor in Business and Finance. His interests are problems at the intersection of insurance and statistics. His current research focuses on actuarial data science, probabilistic forecasting and predictive modeling, insurance and risk analytics, dependence models and multivariate analysis, machine learning and statistical learning, and intensive longitudinal data methods. He holds a Ph.D. in business with a minor in economics from the University of Wisconsin-Madison.
Kun Shi, FCAS, is a senior advisor, data science for Southwest Airlines in Dallas. Shi holds a Ph.D. in statistical signal processing from Georgia Institute of Technology, a master’s in statistical signal processing from Tsinghua University, and a B.S. in wireless communication and signal processing from Beijing University of Posts and Telecommunications. Kun Shi has also worked in data science for Deloitte, FICO and Texas Instruments.
Asrar Alyafie is a Ph.D. student at the Institute for Financial and Actuarial Mathematics in the Department of Mathematical Sciences of the University of Liverpool. She is supervised by Dr. Constantinescu and Dr. Yslas on the theme “Fair pricing of insurance for women drivers in Saudi Arabia.” She holds a bachelor’s degree in statistics from King Abdulaziz University and a master’s in financial mathematics from the University of South Wales. Asrar also serves as a lecturer at the University of Jeddah, Saudi Arabia.
Corina Constantinescu is a professor of mathematics and director of the Institute for Financial and Actuarial Mathematics at the University of Liverpool. Prior to being an academic, Corina worked as an actuary and led the life insurance department of one of the first private Romanian insurance companies. Named in Cranfield University’s 100 Women to Watch list in 2020, her expertise focuses on analytical methods for exact or asymptotic results for ruin probabilities and, more recently, fair insurance pricing and financial inclusion. During her sabbatical year, 2022-23, she is a visiting scholar within the Social Finance Programme, International Labour Organization, United Nations.
Jorge Yslas is a lecturer in actuarial mathematics at the Institute for Financial and Actuarial Mathematics of the University of Liverpool. He earned his Ph.D. in insurance and economics from the University of Copenhagen. Jorge’s research expertise spans across extreme value theory, actuarial modeling and statistical theory and applications. Beyond academia, he has four years of experience in the insurance sector, where he worked on various subjects, including reserving, capital modelling and insurance pricing.