Steve Mildenhall Python for Pricing Insurance Part 2

Today’s show is a highly practical conclusion to my walkthrough of Steve Mildenhall's python package aggregate which implements the ideas in his and John Major's book: Pricing Insurance Risk, Theory and Practice here's part 1: • Steve Mildenhall Pytho...
This video is literally us walking through a google colab notebook Steve put together and executing real code to explore how to use Steve's package to price insurance. This second part of the walkthrough recaps installation and the last section of part 1, then gets straight into portfolio and capital modeling.
A link to the colab notebook we're using:
colab.research...
Topics:
Pricing with Distortions
Price gross with assets at 99 percent level
Distortion pricing calculation algorithm for a discrete random variable
Compare gross, ceded, and net pricing
Part II: Strategic Planning and Capital Modeling with aggregate
Portfolios
Update parameters
Set up a pricing framework
Calibrate distortions
Plot the distortions
TVaR as a Pricing Measure
Natural allocation pricing across range of distortions
Compare pricing by unit across different methods
Occurrence PMLs (Sidebar)
Impact of Reinsurance on Pricing by Unit
Implied walkaway loss ratios for reinsurance
Documentation for the package: aggregate.read...
Source code: github.com/myn...
How-to videos • aggregate
Installation: pypi.org/proje...
Steve Mildenhall is head of analytics at QualRisk, an insurance consulting firm, formerly Assistant Professor of Actuarial Science at St John’s University and before that CEO of Analytics at Aon.
Twitter: @davecwright
Surprise, It's Insurance mailing list: notunreasonabl...
Linkedin: / david-wright-73661214
Social Science of Insurance Essays: notunreasonabl...