Tweedie GLM Interpretations and Stochastic Loss Development
CAL

Tweedie GLM Interpretations and Stochastic Loss Development

I recently had the opportunity to participate in UC Berkeley's Actuarial case competition, hosted by the Cal Actuarial League. The topics of this case competition are Property & Casualty and General Analytics. The full case competition debrief is available here (.pdf), and a copy of the starter files is available here (.zip). Students were allotted roughly 2 weeks (Oct 23 - Nov 8) to complete the following tasks. Property & . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
18 min read
Markov Chains, Driver Risk Classification, Generating Functions, and Extinction Probability
Actuarial

Markov Chains, Driver Risk Classification, Generating Functions, and Extinction Probability

Markov chains are essential in initiating the study of stochastic processes. A typical example is a random walk, where the transition (probabilities) of going from one state to the next depends only on the current state (location), with no relation to the past. That is, we can ignore and throw away the past history as we continue to take steps forward in the time horizon. Let's look at some examples . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
10 min read
Numerical Analysis, Predictor Corrector Methods, and Iterative Improvement
Berkeley

Numerical Analysis, Predictor Corrector Methods, and Iterative Improvement

The study of numerical methods and machine algorithms for systems modeling and computations exhibits widely applicable themes reaching far and beyond delivering outputs to calculator operations. Such themes and concepts are made explicit in Numerical Analysis (Math 128A) at UC Berkeley, which I had the pleasure of taking under the instruction of Professor John Strain. Because lectures by Strain are orthogonal (but complementary) to many ideas in three textbooks used . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
4 min read
Insuring Against Going Viral: Life Expectancy on Spotify Top Charts
Projects

Insuring Against Going Viral: Life Expectancy on Spotify Top Charts

This project showcases a spectrum of technical skills in a nontraditional actuarial setting. Many methods are known for analyzing and predicting movement in a financial market and quantifying risk. We seek to give similar treatment in the case of Spotify's Top Charts, where popularity "drives up" the ranking (price) of a given index (song). In particular, we draw special attention to Queen's "Bohemian Rhapsody". Put concisely, in all of Spotify's . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
18 min read
LiveType LaTeX: A Library and Guide to Rapid Typesetting in a Technical Lecture Setting
Projects

LiveType LaTeX: A Library and Guide to Rapid Typesetting in a Technical Lecture Setting

Live demos (.gif / video) will be added to this article as time permits, as I'm still developing and improving my definitions and snippets. There will be more added over time (especially for diagrams and plots). Please see my github for the current development!Examples of my notes, created in-class during lectures. Here's the current version of an ongoing collaboration with John-Michael Laurel for Stochastic Processes by Professor Jim Pitman. Math . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
5 min read
Uniform Approximation, Bernstein Polynomials (Real Analysis)
Berkeley

Uniform Approximation, Bernstein Polynomials (Real Analysis)

Motivation for Bernstein Polynomials:A canonical method to approximating a function is by polynomial interpolation at a specified number of points. We study the asymptotic behavior of particular interpolation schemes in Math 128A, Numerical Analysis. However, we note that interpolation can yield wildly inaccurate results near the endpoints of interpolation (Runge Phenomenon), so we may instead want a sequence of polynomials that approximates our desired continuous function uniformly. As it . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
2 min read
Basic Ratemaking: Pricing of Insurance Products (Werner, Modlin, CAS)
Actuarial

Basic Ratemaking: Pricing of Insurance Products (Werner, Modlin, CAS)

My notes to be transposed here (along with written scans of notes). See the full CAS document here. Contents: 1 - Introduction 2 - Rating Manuals 3 - Ratemaking Data 4 - Exposures 5 - Premium 6 - Losses and LAE 7 - Other Expenses & Profit 8 - Overall Indication 9 - Traditional Risk Classification 10 - Multivariate Classification 11 - Special Classification 12 - Credibility 13 - Other . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
1 min read
Reserving: Estimation of Unpaid Claims (Friedland, CAS)
Actuarial

Reserving: Estimation of Unpaid Claims (Friedland, CAS)

Here I've compiled outlined notes of the CAS Exam 5 text on Reserving by Friedland. It is my hope that these notes be of some use to other CAS candidates or curious students in gaining more insight and understanding across a spectrum of topics within insurance, from the claims process to various basic techniques for estimating unpaid claims. The contents (whose formatting will be fixed) are as follows. Additionally, my . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
13 min read
Linear Algebra
Berkeley

Linear Algebra

This Spring 2019 semester I've completed the second course in Berkeley's Linear Algebra series (Math 110) with Professor Olga Holtz. Traditionally at Cal, students' first encounter with linear algebra takes form of computational linear algebra (Math 54), with a heavy focus on factorization and applications in solving linear problems. In this course, we take a purist approach (as done by course textbook author Axler) to not employ determinants of matrices . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
1 min read
Statistical Analysis for Economic Demography
Berkeley

Statistical Analysis for Economic Demography

Demography and the concept and analysis of an "optimal" population poses an economic framework for population resources versus costs. In Spring 2019 I've taken a course on Economic Demography, comparing and analyzing population, fertility, and age-structure models as well as testing these theories versus historical data and simulations in R. Numerous economic concepts and analysis techniques can be abstracted or applied to actuarial, financial economic, or data analytics type work. . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
2 min read
Weighted Average Cost of Capital, (Un)levered Beta
Exams

Weighted Average Cost of Capital, (Un)levered Beta

"A company must finance its assets with capital. There are two primary sources of capital: debt and equity. That's how you end up with the fundamental accounting equation: $A=L+E$. "$L$" stands for liabilities, which is just another name for debt. The capital providers collectively own all the assets. The debt holders and equity holders own the assets. They provided the funds to buy the assets. When the company . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
4 min read
Sustainable Investing and the Cross-Section of Stocks Risks and Returns
Finance

Sustainable Investing and the Cross-Section of Stocks Risks and Returns

AbstractThe identification of factors that predict the cross-section of stock returns has been a focus of asset pricing theory for decades. We address this challenging problem for both equity performance and risk, the latter through the maximum drawdown measure. We test a variety of regression-based models used in the field of supervised learning including penalized linear regression, tree-based models, and neural networks. Using empirical data in the US market from . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
5 min read
Endogenous Risk, Indirect Contagion, and Systemic Risk
Finance

Endogenous Risk, Indirect Contagion, and Systemic Risk

Rama Cont, University of Oxford Abstract: Deleveraging by financial institutions in response to losses may lead to contagion of losses across institutions with common asset holdings. Unlike direct contagion via counterparty exposures, this channel of contagion - which we call indirect contagion - is mediated through market prices and does not require bilateral exposures or relations. We show nevertheless that indirect contagion in the financial system may be modeled as . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
5 min read
Research Questions: Topics of Interest
Projects

Research Questions: Topics of Interest

Ranging over different lines of business and applications, these are some of my topics of interest for independent research projects: Analyses on personal health data gathered by wearables; what indicators and variables are missing to construct a better understanding of the user?How can actuarial practices (such as generalized linear models or loss triangles) be extended to other data-science and machine learning motivations such as predictive modeling for sales and . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
1 min read
Tweedie Distribution & the Generalized Linear Model
Projects

Tweedie Distribution & the Generalized Linear Model

Tweedie distributions are a special case of exponential dispersion models and are particularly useful in generalized linear models, as in fitting claims data to statistical distributions. We use exponential dispersion models (and particularly the Tweedie distribution) for pure premium approaches for actuarial estimations. There are particular cases where the Tweedie compound Poisson distribution is suitable and appropriate for a given regression. See here for a useful overview on using a . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
6 min read
Health & Benefits: A First Look
Health and Benefits

Health & Benefits: A First Look

Health & Benefits - A First Look Today I attended a CAL informational presentation from Mercer from their San Francisco practice, which has about 100 people in their Health & Benefits team, and about 30 people on the Wealth management team. Presenters included Tim Oakes, Wendy Tan, and Alexa Garzelli on the Health & Benefits side, and Deidre Schelin and Marc Corbeil on the Wealth side. As it stands, Mercer's . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
2 min read
Actuarial Career Panel - Fall 2017
CAL

Actuarial Career Panel - Fall 2017

Actuarial Career Panel - Fall 2017 Thursday evening was a memorable one for me. I had the privilege of hearing from actuarial analysts from different companies around the bay area in different fields speak bits about their careers, their day-to-day, and tips and advice as to how to move forward in the actuarial career path. Moderated by EVP Jackson Meyers, CAL held a discussion with company representatives from Mercer, Willis . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
2 min read