Actuarial pricing, capital modelling and reserving


Pricing Squad newsletter

Pricing Squad is a newsletter for fellow pricing practitioners and actuaries in general insurance. You can now access all back issues online.

Think tank

Here are some papers on actuarial topics written in the past:

  • Thoughts of a pricing actuary on moving from the US to the UK: Why is the insurance market so much more evolved in England?
  • Pricing for Value Creation – in this talk, given at the Actuarial Profession's Current Issues at General Insurance in 2009, Francisco Gómez Alvado and Jan Iwanik present a business case of a successful pricing optimisation project.
  • Model Monitoring in Personal Lines – in this presentation, made at the Actuarial Profession's Pricing Seminar in 2010, Stuart Curson and Jan Iwanik provide practical examples of working governance procedures and reports for pricing models.
  • Response to Office of Fair Trading's 2011 consultation on the ban of price comparison intelligence software. We explain how banning this software in the UK will make the market slightly less competitive and how OFT is increasing barriers of entry and contributing to the formation of cartels. Jan Iwanik received The Actuary's Best Writer award in April 2011 for this paper.
  • Opinion piece on EU's Gender Directive's application to insurance pricing – we argue that the application of the directive to insurance pricing is unfair, with undesirable consequences.
  • Statistical Tools for Finance and Insurance, Springer Verlag's 2011, chapter on insurance pricing. If you have not read a comprehensive description of the maths and practice behind GLM pricing yet, this is a good place to find one.
  • Game Theory in General Insurance - this GIRO 2012 Actuarial Profession's working party paper explores the games we play when we price insurance products. Through a range of examples, we show how insurers can use commitments and promises as strategic moves. This paper shows that sometimes a firm is better off as one of the small guys.
  • Back of the Envelope Price Optimisation - in this GIRO 2013 presentation Oliver Helm and Jan Iwanik show three tricks to optimise insurance rates using just a pen and paper. These are: 1) using a covariance rule for predicting shifts in mix changes after rate change, 2) equalising marginal profit, 3) closed formulae for determining optimal rates in a simple typical scenario.
  • GLM-Free Predictions of Rate Change Impacts - in this GIRO 2015 presentation we demonstrate how to conduct the most basic pricing analysis - the prediction of the impact of a rate change - without a retention, conversion and elasticity model and instead how to directly leverage the elasticity information inherent in a randomised price test and quotation data. This GLM-free method is fully multivariate, unbiased and in most cases more accurate than a suit of GLMs.
  • "Cat people" vs. "Dog people" at Pricing Seminar 2017. Pricing reviews rely on claim, conversion and elasticity models. The models take long time to build, introduce model risk and inaccuracy. A model-free framework using “fuzzy interpolation” algorithm is an alternative - here, mix, premium and loss changes are derived directly from historical data. This improves accuracy and efficiency. It also enables predicting for unreported risk factors.
  • 2017 Clean Deductibles Report contains a ranking of 75 providers based on their approach to deductible pricing, detailed ilustration showing how 75 providers deal with each deductible level, a summary showing how each provider handles Third Party Fire & Theft and Third Party Only pricing, a comparison of claim frequency in each deductible band implied by each provider's pricing, a summary of how the market as a whole prices deductibles and more.
  • 2017 Telematics Pricing Report describes current UK telematics pricing practices and provides a comparison of major products and how they are being priced. The Report will help people who are developing a new telematics product or redesigning an existing one.
  • Trust is Good, Control is Better or how to quickly sense check a complex pricing model and challenge its creator. Workshop at 2nd Annual Pricing in Personal Lines Insurance, London 2018.
  • Parallel Computing for Actuaries - this GIRO 2018 workshop presented together with Matt Evans demonstrated the speed of various parallel programming approaches to an actuarial application. We started with good old Excel, cover C++, R and finished with a life demonstration of solving the same problem with a 200+ core GPU cluster.