FAQCTUARY

          FAQctuary-V2

          The FAQctuary series

          The FAQctuary are a series of educational papers dedicated to the insurance sector. Each issue addresses a specific actuarial topic, expressed as a question asked by market players. FAQctuary's are published by members of the Detralytics team and written in a clear and accessible language. The team combines academic expertise and business knowledge. Detralytics was founded to support companies in the advancement of actuarial science and the solving of the profession’s future challenges. It is within the scope of this mission that we make our work available through our DETRAnotes and FAQctuary series.

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          List of publications

          ICC, deviance, AUC : What are the differences ?
          Date : April 2021
          Author : Louise d'Oultremont, Michel Denuit and Julien Trufin
          Publisher : Detralytics
          Language : English

          Assessing performances of different models is essential in modelling processes. Many measures exist to determine these performances and draw conclusions. This FAQctuary compares the behaviour of three measures on different datasets. The measures under consideration are the integrated concentration curve, the deviance and the area under the curve (AUC).
          Features with flat partial dependence plots up to a certain level: not important?
          Date : November 2020
          Author : Elke Gagelmans, Michel Denuit and Julien Trufin
          Publisher : Detralytics
          Language : English

          This paper focuses on partial dependence plots which are often used when modeling with machine learning techniques in order to better understand the effects of the features on the conditional expectation of the response variable. However, these plots must be interpreted with caution. Indeed, they can easily lead to wrong interpretations in case the analyst is not enough familiar with these plots. As noticed in a previous FAQctuary, a typical situation is the case where a feature is important because of its interactions with others while its partial dependence plot is flat. In this FAQctuary, we go one step further and we consider a very simple example with a three-way interaction effect and we show that only looking at partial dependence plots for each feature and for two features may indeed lead the analyst to wrong conclusions.
          Features with flat partial dependence plots: not important?
          Date : April 2020
          Author : Elke Gagelmans, Michel Denuit and Julien Trufin
          Publisher : Detralytics
          Language : English

          This paper focuses on partial dependence plots which are often used when modeling with machine learning techniques in order to better understand the effects of the features on the conditional expectation of the response variable. However, these plots must be interpreted with caution. Indeed, they can easily lead to wrong interpretations in case the analyst is not enough familiar with these plots. A typical situation is the case where a feature is important because of its interactions with others while its partial dependence plot is flat. In such a case, an analyst who would only base his analysis on this plot could be tempted to conclude that the feature is not important to explain the conditional expectation of the response while he would be wrong. In this FAQctuary, we aim to illustrate such a situation with the help of a simulated example that is very simple.
          How to combine market and internal medical indices in orsa ?
          Date : January 2020
          Author : Candy Mahirwe, Audrey Meganck, Michel Denuit and Julien Trufin
          Publisher : Detralytics
          Language : English

          “As part of the Own Risk and Solvency Assessment (ORSA), health insurance companies using the standard formula are required to assess the appropriateness of this formula for among others the medical inflation risk covered within the Health SCR module. However, for some companies, the medical index does not seem to reflect the real evolution of their own medical expenses. Therefore, we choose as topic of our first FAQctuary, the medical index in which we will attempt to answer this following question : - How to combine market and internal medical indexes in ORSA ?”