Stan Workshop at Cass Business School 17 July 2018

Stan in Insurance Workshop 17 July 2018

[8:30-9:00] Registration

[9:00 - 10:30] Eric Novik

• Intro to Stan, including:
  • Coding linear regression to assess wine quality
  • Demonstrating important parts of the Stan program
  • Doing some basic posterior predicting checking
  • Introduction to calibration and model comparison
  • Introduction to making decisions with Bayesian models

[10:30 - 11:00] Coffee

[11:00 - 12:30] Paul-Christian Bürkner

• From classical GLMs to multi-level model
  • Comparing classical GLMs with bayesian GLMs using rstanarm
  • Building more complex multi-level models using brms
  • Examples from pricing and claims reserving

[12:30 - 13:30] Lunch

[13:30 - 14:30] Mick Cooney & Jake Morris

• Case studies from the insurance industry
  • Loss development curves in Stan (Mick Cooney)
  • Hierarchical compartmental reserving models (Jake Morris)

[14:30 - 15:00] Coffee

[15:00 - 17:00] Working in groups with support of the presenters

• Work on your own problems or work through on of the following examples:
  • Loss curve case study (Mick Cooney)
  • Extreme value case study (Aki Vehtari)
  • Various insurance related examples from Markus Gesmann
  • Examples from the brms vignettes (Paul-Christian Bürkner)

Files for the Stan Workshop

• R/Stan installation instructions
• Eric's old receipe for R/Stan on Windows