Date(s) - 18/01/2022
12:00 pm - 1:00 pm
NoCA Training: Proxy Modelling, is being provided by Gaurang Mehta, FIA.
Gaurang is qualified actuary since 2013 and has worked in a freelance capacity for few of the large UK insurers. His experience is in the areas of risk calibrations, MA/VA and system design and implementation.
The course will comprise of 3 lessons of 1 hour each on:
1. 18th January 2022, 12pm – 1pm GMT
2. 20th January 2022, 12pm – 1pm GMT and
3. 25th January 2022, 12pm – 1pm GMT.
A NoCA Training Certificate will be provided on the completion of the course.
The Course will cover the following modules:
Session 1: Introduction to Proxy Models
- What is proxy model and use of proxy models?
- Types of proxy models used and further discussion on Loss functions and LSMC
- Pros and Cons of using proxy models
- Different type of proxy models used and market practice
- Building a simple proxy model in a spreadsheet
Session 2: Further on Proxy Models
- Evaluating proxy models
- Choice of basis polynomial, e.g., orthogonal polynomial as an example.
- Setting up of proxy model including choice of training scenarios, e.g., SOBOL numbers, etc.
- Validation of proxy models, e.g., risk ranking, etc.
Session 3: Practical Case Study: Fitting of Proxy Models and Python Code Scripts
- Use of various machine learning techniques for proxy model fitting
- Ridge regression
- Lasso regression
- Elastic Net regression
- Acceptance criteria
- Out of sample testing and out of model adjustments
- Best practices in proxy models