Stan in Insurance Workshop

Stan in Insurance Workshop Tuesday 17 July 2018

[9:00 - 10:30] Eric Novik

  • Intro to Stan, including:
    • Coding linear regression to assess wine quality
    • Demonstrating important parts of the Stan program
    • Doing some basic posterior predicting checking
    • Introduction to calibration and model comparison
    • Introduction to making decisions with Bayesian models

[10:30 - 11:00] Coffee

[11:00 - 12:30] Paul-Christian Bürkner

  • From classical GLMs to multi-level models
    • Comparing classical GLMs with bayesian GLMs using rstanarm
    • Building more complex multi-level models using brms
    • Examples from pricing and claims reserving

[12:30 - 13:30] Lunch

[13:30 - 14:30] Mick Cooney & Jake Morris

  • Case studies from the insurance industry
    • Loss development curves in Stan (Mick Cooney)
    • Hierarchical compartmental reserving models (Jake Morris)

[14:30 - 15:00] Coffee

[15:00 - 17:00] Working in groups with support of the presenters