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Alexis Agustín

See how Deloitte uses R for actuarial analysis - 0 views

blog.revolutionanalytics.com/...-r-for-actuarial-analysis.html

Deloitte Analisis de datos Regression Poisson extrapolacion

shared by Alexis Agustín on 25 Apr 13 - No Cached
    • Alexis Agustín
      Alexis Agustín on 25 Apr 13
       
      Aqui un consultor de Deloitte nos muestra como usa R para explorar datos y ajustarlos en distribuciones, calculando proyecciones usando la regresion de Poisson. Ademas lo contrapone a Excel, concluyendo que no hay una hoja de calculo en la que confundir columnas, si no que en lineas de codigo simple que se puede copiar se puede trabajar mas facilmente con grandes cantidades de datos
  • Jim Guszcza (Predictive Analytics lead at Deloitte Consulting and Assistant Professor at UW-Madison) who gave a great webinar presentation yesterday
  • R is used for exploratory data analysis and modeling, with a live examples of fitting a mixute distribution to bimodal claims data, and calculating loss reserves using Poisson regression.
  • ...2 more annotations...
  • Just one simple line of [R] code that would work just as well for a 100-by-100 loss triangle as it would for a 10-by-10 triangle. No hidden cells in the spreadsheet, no risk of spreadsheet error. It's a little bit of code you could look at in one screen, it's replicable ... and this does all the work that a spreadsheet would do. 
  • He uses the Allstate Claim Prediction Challenge data (from a recent Kaggle competition) to fit a Tweedie model to 13 million records of claim data. (The Tweedie distribution is often used to model insurance claims, where many claims are exactly zero, and non-zero claims follow a continuous Gamma-like distribution.) Using the forthcoming rxGLM function, he fit the model to this large data set in just over two minutes (140.22 seconds) using a single quad-core PC.
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