Detralytics invites you to their event

Lunch & Learn | Risk management with Local Least Squares Monte-Carlo

About this event

We invite you to participate in our next Lunch & Learn* on "Risk management with Local Least Squares Monte-Carlo". It's FREE and OPEN to everyone.

Given in English by our Scientific Director, Donatien Hainaut, and our TAP Consultant Adnane Akbaraly, this online session will take place on March 28, 2023, from 12:30 to 13:30 (UTC+1).

Accreditation : 1 CPD | 6 PPC

*Our Lunch & Learn sessions discuss our publications over lunchtime, based on the brown-bag session concept.


Introduction

This Lunch & Learn will present the content of our Detra Note about the same topic.

The method of least squares Monte-Carlo (LSMC) has become a standard in the insurance and financial sectors for computing the exposure of a company to market risk. The sensitive point of this procedure is the non-linear regression of simulated responses on risk factors. This article proposes a novel approach for this step, based on an a-priori segmentation of responses. Using a K-means algorithm, we identify clusters of responses that are next locally regressed on corresponding risk factors. A global function of regression is obtained by combining local models and a logistic regression. The efficiency of the Local Least squares Monte-Carlo (LLSMC) is checked in two illustrations. The first one focuses on butterfly and bull trap options in a Heston stochastic volatility model. The second illustration analyzes the exposure to risks of a participating life insurance.


About the speakers

Donatien Hainaut is Scientific Director at Detralytics and professor at UCLouvain where he is Director of the new Master program in Data Science, statistical orientation. Prior to this he held several positions as associate professor at Rennes School of Business and the ENSAE in Paris. He also has several field experiences having worked as Risk Officer, Quantitative Analyst and ALM Officer. Donatien is a Qualified Actuary and holds a PhD in the area of Assets and Liability Management. His current research focuses on contagion mechanism in stochastic processes and applications of neural networks to insurance.

Adnane Akbaraly is part of the Talent Accelerator Program (TAP) at Detralytics. Prior to joining Detralytics, Adnane worked at CNP Assurances in retirement department and developed skills in Market Consistency Embedded Value (MCEV) assessment. He graduated with a Master’s degree in Actuarial Sciences from ISFA in Lyon, France. His Master’s thesis deals with the construction of a prospective mortality law by an exogenous method.



Hosted by

  • Team member
    T
    Detralytics Learning

    Actuarial consulting and training firm helping companies to solve their challenges through expertise and innovation.

  • Guest speaker
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    Donatien Hainaut Directeur Scientifique @ Detralytics

  • Guest speaker
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    Adnane Akbaraly TAP Consultant @ Detralytics

  • Guest speaker
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    Anthony Weemaels Managing Partner @ Detralytics

Detralytics

Consulting and training firm focused on Actuarial Science, Data Science and Risk Management

Detralytics was founded to support companies in the advancement of actuarial science and help them to solve their challenges, while offering the perfect stepping stone to the most talented actuarial students, as they will be able to evolve with our senior experts through our TAP and TCP programs.