Hands-on Adaptive Learning of GLMs for Risk Modelling in R 2023 | European Actuarial Academy | 12 November 2023 | Webinar

This event will dive into a specific algorithm that uses GLM regularisation in an easy yet powerful way. In this algorithm, we first postulate a complex model structure that represents all potential linear and non-linear patterns for the main effects (and possibly interaction effects) in the data. We then introduce a global penalty term which we apply to reduce the model to only the statistically significant effects at which model accuracy on unseen data performs best.

Applying the algorithm results in a simple but generally more accurate model in which we adaptively learned the relevant effects in a data-driven, simultaneous and automated way. A key feature is that we can account for all common types of explanatory variables (continuous, ordinal, nominal) both at the same time and in the same way. The desired balance between model simplicity and forecast accuracy can be set by means of a single control parameter. The final model has a proven GLM structure that is still explainable and allows seamless integration into existing pricing workflows.

The event will first explore the theoretical foundations of regularised GLMs and the explicit design of the algorithm. The remainder will then be hands-on as we provide extensive code that implements the algorithm in the statistical programming language R. It will discuss and run the code. You will learn how to use the programme and apply the algorithm to non-life claims data for pricing. Further focus will be on the visualization of the results, especially on the insights gained from the learned meta-results of the algorithm, e.g., the implicit way how we selected, prioritised and pre-processed variables.