The Institute of Science & Technology’s AI Special Interest Group is delighted to announce the next in its series of seminars and welcomes Markus Gesmann, Co-Founder of Insurance Capital Markets Research.
Hierarchical compartmental reserving models provide a parametric framework for describing the high-level business processes driving claims development in insurance using differential equations.
We will discuss how those models can be presented in a fully Bayesian modelling framework for the aggregated claims settlement process to capture trends observed in paid and outstanding claims development data reflecting the random nature of claims and latent underlying process parameters.
We show how the experienced modeller can utilise her expertise to describe the volatility of the underlying risk exposure profile and uncertainty on prior parameter assumptions and highlight in particular the subtle, but important difference between modelling incremental and cumulative claims payments.
Link to register: Click here to register (link coming soon)
Date & time: Thu 15th January, 15:30 – 16:30
Guest Speaker:
Markus Gesmann
Insurance Capital Market Research
Markus Gesmann is the Co-Founder of Insurance Capital Market Research, a quantitative research house based in London. He has spent over 20 years in both insurance and capital markets. Markus is the former head of analysis at Lloyd’s of London, where he set up a market wide analytical performance and price monitoring framework. While at Lloyd’s he developed tools to assess the credibility of business plans, using Bayesian models.
Markus is an expert in modelling non-life insurance portfolios and probabilistic programming, and an Honorary Visiting Fellow at Bayes Business School, City, University of London. He is also the co-founder of the Insurance Data Science conference series and the Bayesian Mixer meetups.
