1. Dependency modelling Data Challenge 12 July 2007

2. Welcome! • Short introduction to • Quantitative Finance Network • Lighthill Risk Network • Launch of the Data Challenge • Next Steps • Pub? • Counts as 1.5 hours CPD! “Harness collective intelligence”

3. Quantitative Finance Network • Quant & Mammon Study (1999) • Centre for the Study of Financial Innovation (CSFI) • Quantitative Finance Initiative (QFI) • Engineering & Physical Sciences Research Council (EPSRC) • Faculty and Institute of Actuaries • Four Rounds of Funding (2001 to 2004) • EPSRC’s Sustainability Objective • Switch from Directed to Responsive Mode • To build a Network “Pick the best tool for the job”

4. Quantitative Finance Network Objectives: • To build a sustainable network • linking researchers and practitioners • to support the UK’s Financial Services sector • To identify challenges and opportunities • to initiate and support research • to present funding opportunities • To foster collaboration • Branding for Profession’s knowledge transfer activities • CPD, research groups and workshops “Search out and use prior art”

5. Quantitative Finance Network “If you find a useful tool…”

6. Lighthill Risk Network • Major initiative with other core members • Lloyd’s, Benfield, RMS, Guy Carpenter, Catlin • Bridge between academia and industry • Offers “expert panels” on various risk areas of interest to insurers: • Catastrophe modelling • Climate Change • http://www.lighthillrisknetwork.org “…post it and tell the world”

7. Lighthill Risk Network • Not for profit, set up Jan 2006, launched at Lloyd’s in April 2007 • Based at the Lighthill Institute of Mathematical Sciences (LIMS) and administered within UCL • Role as a facilitator not a sponsor of research • No equivalent organisation exists, nearest are: • QFN (Quantitative Finance Network) funded by EPSRC and run by Institute of Actuaries • RPI (Risk Prediction Initiative) which sponsors research from Bermuda “We need a new relationship with IT”

8. Lighthill Risk Network “Harness collective intelligence”

9. Dependency modelling • Timetable • 12 July 2007 : Launch Pseudo Data • 28 September 2007 : Solutions submitted to us • 30 October : Climb the learning curve • 8 November : Results and Keynote Speech “Pick the best tool for the job”

10. The data challenge • 10 years aggregate claims experience • Psuedo classes of business • Property - Direct • Property - Treaty • Directors & Officers/Professional indemnity • Workers Compensation/Employers Liability • Aviation • Marine • Terrorism “Pick the best tool for the job”

11. The data challenge • The data will be provided as five tables • each a separate realisation • each model slightly more complex • labelled A, B, C, D and E. • Assume aggregate claims’ figures are • accurate and final • not subject to any estimation error. “Pick the best tool for the job”

12. The data challenge • E.g model A “Pick the best tool for the job”

13. The data challenge • what is 99.5% Aggregate VaR? (across all lines of business) • what is 99.5% Aggregate TVaR (E(X|X>VaR(X)) • what is Mean for each line of business individually? • what is the Price for each line of business individually? “Pick the best tool for the job”

14. The data challenge • Methods • Purpose = illustrate different approaches • Any techniques may therefore be applied • As long as participants are prepared to describe these and present them at the autumn seminars. “Pick the best tool for the job”

15. The data challenge Submissions • Answers should be presented using the template to be supplied • Accompanied by a written description of the approach • submissions used to select who will be invited to present • identify and understand broadly the methods used • without being overly long or going into great technical depth! • 1,000 words (ish) • Longer descriptions also welcome as attachments. • The completed answer templates and written submissions should be • sent to Nicky Wilkinson at nicky.wilkinson@actuaries.org.uk • by 28th September 2007. • include full identification and contact details • or upload yourself to the wiki and send a link to Nicky… “Pick the best tool for the job”

16. The data challenge Prizes (just for fun…) • Answers ranked on absolute difference from the organisers’ calculated estimates (OCE). • this will give 15 rank figures for each submission • the participant with the lowest sum of these ranks will be judged the winner. • Missing answers will be given the lowest rank • Equally good answers across participants will be given the same rank. • The prize for the best submission will be something. • The winner and two runners-up will be announced at the autumn event and their names will be published in The Actuary magazine. “Pick the best tool for the job”

17. The Toolkit Manifesto • Pick the best tool for the job • Search out and use Prior Art • If you find a useful tool, post it and tell the World • Harness collective intelligence • We need a new relationship with IT