project management for class plan projects cas special interest seminar on predictive modeling...
TRANSCRIPT
Project Management For Class Project Management For Class Plan ProjectsPlan Projects
CAS Special Interest Seminar on CAS Special Interest Seminar on Predictive ModelingPredictive Modeling
October 11-12, 2007October 11-12, 2007
Jonathan White
33
Project Management BasicsProject Management Basics
Set research project goalSet research project goal Define project tasksDefine project tasks Organize – work breakdown Organize – work breakdown
structure (WBS)structure (WBS)– Identify dependenciesIdentify dependencies– Sequence of tasksSequence of tasks– Resource requirements of tasksResource requirements of tasks– Duration of tasksDuration of tasks
Project schedule – Gant chartProject schedule – Gant chart Project milestonesProject milestones
44
PlanningPlanning Clear understanding of the Clear understanding of the
business objectivesbusiness objectives– Where is the plan to be used – Where is the plan to be used –
Channel/state/Channel/state/– Marketing sourceMarketing source– Product/business expectationsProduct/business expectations– Current competitive positionCurrent competitive position– Implementation strategyImplementation strategy
55
PlanningPlanning Clear research objectivesClear research objectives
– Statistical methodologyStatistical methodology– SoftwareSoftware– New data New data – New variablesNew variables– Scope of analysisScope of analysis– Required research infrastructureRequired research infrastructure
Research vision of end productResearch vision of end product IT / Operations / U/W … IT / Operations / U/W …
integrationintegration
DefinesResearchScope
77
PlanningPlanning Environmental changesEnvironmental changes
– Business strategyBusiness strategy– RegulatoryRegulatory
VulnerabilitiesVulnerabilities– DataData– MethodologyMethodology– SoftwareSoftware
Research contingenciesResearch contingencies– What if xxxx does not work?What if xxxx does not work?
88
Phases of a Class Plan ProjectPhases of a Class Plan Project1.1. PlanningPlanning
2.2. DataData
3.3. Equity ModelingEquity Modeling
4.4. SelectionSelection
5.5. ImplementationImplementation
6.6. MonitoringMonitoring
99
DataData InternalInternal
– Previously usedPreviously used– NewNew
ExternalExternal– Hit rateHit rate
Understand the dataUnderstand the data Data qualityData quality Significant potential for delaysSignificant potential for delays
1010
Equity Modeling Equity Modeling Many times the simplest phaseMany times the simplest phase Modeling optionsModeling options
– RegressionRegression– Classification treesClassification trees– Neural netsNeural nets
Dependent variableDependent variable– Loss ratioLoss ratio– Claim frequency/claim severityClaim frequency/claim severity– Pure premiumPure premium
1111
Equity Modeling Equity Modeling Holdout sampleHoldout sample Threshold for variable inclusionThreshold for variable inclusion Statistical measures of overall Statistical measures of overall
model predictivenessmodel predictiveness DeliverablesDeliverables
– StructureStructure– Indicated factorsIndicated factors
Peer ReviewPeer Review
1212
SelectionSelection
Recent performance vs. Modeling Recent performance vs. Modeling indicationsindications
New plan vs. Old plan comparisonNew plan vs. Old plan comparison– DislocationDislocation– Conversations with the businessConversations with the business– Percentage change vs. Observed loss Percentage change vs. Observed loss
ratioratio Cost benefit conversationsCost benefit conversations
1313
Percentage Change Vs. Observed Percentage Change Vs. Observed LRLR
0.0
0.5
1.0
1.5
2.0
2.5
Largestdecr
2 3 4 5 6 7 8 9 Biggestincr
Decile by average change
Rel
ativ
e lo
ss r
atio
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
Ave
rag
e ch
ang
e
Rel LR
Avg change
1414
SelectionSelection
Benefits analysisBenefits analysis Price optimizationPrice optimization
– Data requirementsData requirements– Analysis requirementsAnalysis requirements
Environmental changesEnvironmental changes– InternalInternal– ExternalExternal
1515
Benefits analysisBenefits analysis
Loss ratio/issue rateLoss ratio/issue rate RequirementsRequirements
– Equity model (indicated class plan)Equity model (indicated class plan)– Quote data - Issue rate modelQuote data - Issue rate model– Retention data - Retention rate model Retention data - Retention rate model
(if applied to renewal business)(if applied to renewal business)– Re-rating capabilitiesRe-rating capabilities– Competitor pricing data or proxyCompetitor pricing data or proxy
1616
ImplementationImplementation
Off-balanceOff-balance– Traditional – static environmentTraditional – static environment– Dynamic – reflect mix changesDynamic – reflect mix changes
Filing supportFiling support– What do you do when loss ratios don’t mean What do you do when loss ratios don’t mean
very much?very much? State exceptions – personal autoState exceptions – personal auto
– Credit, driving record, prior carrier infoCredit, driving record, prior carrier info– Balance efficiency and accuracyBalance efficiency and accuracy
1717
MonitoringMonitoring Key metricsKey metrics
– Loss performanceLoss performance– Issue rateIssue rate– Operational metricsOperational metrics
Importance of early readsImportance of early reads– Leading indicatorsLeading indicators
BenchmarksBenchmarks
1818
Loss Performance MonitoringLoss Performance Monitoring
Determine key variables/nichesDetermine key variables/niches Establish and calculate benchmarksEstablish and calculate benchmarks Look for leading indicatorsLook for leading indicators
– Claim frequencyClaim frequency– Stabile, quick settling coveragesStabile, quick settling coverages– Cap severityCap severity– Credibility weight observed with Credibility weight observed with
benchmarksbenchmarks
1919
Issue Rate MonitoringIssue Rate Monitoring
Leading indicatorLeading indicator Problem of quotesProblem of quotes Comparison pointsComparison points
– Prior planPrior plan– BenchmarkBenchmark
Do you believe the market or your Do you believe the market or your equity modeling?equity modeling?