Category: Actuaries, Insurance, Risk and Quants Society

A Glimpse into the Quantitative Modelling within R Software

It is no exaggeration to say that much of our world is unrecognisable from how it was just a few months ago. The coronavirus has upended everyday life – how we live, how we work, and how we interact with one another. The vast majority of professional individuals have been mandated to work from home, and the work of the Actuarial, Insurance, Risk and Quant (AIR-Q) society has shifted to mirror this new reality. As an MSc Quantitative Finance student, being a part of a student society has been an incredibly rewarding experience allowing me to network and immerse myself in the industry I am pursuing. Despite the difficulties of our current working and studying reality, I am proud as Co-president to present another AIR-Quantitative workshop on June 15th through Zoom platform, as a part of ongoing work that our society plans to continue throughout the rest of the academic year and summer.

Adam Upenieks, MSc Quantitative Finance (2020)

Hosting an event with a fellow alumna

The event was centred around the work of Olga Ponomarenko. Currently, Olga is a VP Quant at Barclays Bank in London. Her work focuses on implementing and developing advanced statistical models in Python and R. She studied Financial Economics in the joint program of Higher School of Economics and London School of Economics and has a degree in Quantitative Finance from Cass. As a Cass alumna, she was the perfect person to host an informative workshop on real-world applied statistics, using skills she developed during her time studying Quantitative Finance at Cass. The event hosted over 60 excited individuals who were delighted to catch a glimpse into some of her modelling insights.

Olga began by polling attendees on which part of the world they had joined the online AIR-Quant workshop. It was a pleasure to see participants from all parts of the world; many from London, across Europe, to North America all the way to India, as well as South and Central Asia. The talk began with a bit of Olga’s professional background. Olga talked about the state of the industry, and in data science, the difference in approach between Statisticians, Econometricians, and Machine Learning Data Scientists.

Olga’s case study: different perspectives to solve the same problem

The bulk of the presentation was centred around a case study. The goal was to demonstrate the many perspectives one can develop from analysing just one simple problem: defining the relationship between recessions and budget deficits. Olga provided World Economic Outlook data on 196 countries and took participants through a variety of techniques to break down the data. She performed naïve and Beta regressions, administered an Arellano-Bond GMM procedure to single out causality, and then applied a Bayesian approach while also displaying the importance of hierarchical models.

Opening up the floor

The presentation ended with a question and discussion period. Olga answered questions on the current state quant jobs in the industry. She gave meaningful advice to participants pondering looming career moves and to those of us soon to be starting our first quant jobs in the industry. She gave great advice on potential interview questions, which programming languages are most desirable for new hires, and specific topics to be aware of before entering any interview in the quant field. She provided us with a primer for interviews in Quantiative Finance, which can be found here. She also took us through a typical day as a Quant at Barclays and proffered the importance of staying up to date on academic literature.

Some participants later joined the discussion to share their journeys into data science – some who began with very little quantitative backgrounds and grew to be successful in their fields. Others shared their favourite programming languages and packages. Overall, the interactive event was enlightening to those of us interested in quantitative disciplines and could not have been hosted by a more qualified and remarkable guest. The Cass AIR-Quant society was delighted to host Olga Ponomarenko, and we look forward to hosting her again in the future as guest for planned AIR-Q Forum Women in Quant Finance.

Thank you!

The Presidents and the founder of the Cass AIR-Q Society Rocio Plasencia, Juan Sebastian De La Torre, Evangelos Santas, Lucy Nondi, David Flanigan, Adam Upenieks and Peter V would like to deliver special thanks to the Cass events team, the participants, and especially Olga Ponomarenko for her remarkable presentation and her insightful view on the continuously changing world of Quantitative Finance.

Adam Upenieks, MSc Quantitative Finance (2020)

Will AI replace actuaries?

What is data science and how is it related to actuaries?

That is the main question that Mr Dimitrios Velmachos and Mr Michael Tripp, our keynote speakers aimed to answer in the Actuarial, Insurance, Risk and Quants Society’s latest forum.

As an MSc Actuarial Management student, I’ve greatly benefitted from being part of the Actuarial, Insurance, Risk and Quants Society (AIR-Q) as Co-President. Meeting key industry leaders and discussing developments in the sector has enhanced what I’ve learned in my studies.

Students and alumni who attended were eager to understand what trending topic of AI means for their future careers.

Mr Velmachos wears many hats: he is an entrepreneur, an Insurance Executive and an actuary. He has extensive international experience in the fields of finance, insurance and reinsurance. His main area of focus is utilising his technological skills in advising his clients on how to deliver value to the insurance industry.

As the first presenter for the forum, Dimitrios discussed how data analytics are transforming the insurance industry. He talked about the algorithms currently in use for risk assessment, claims handling and policy administration. One of the best illustrations he gave was how technology is being used in China to determine the morbidity rate applicable to a policyholder seeking out an income protection policy. By using AI, the insurer can know information such as the client’s lifestyle, health status and even the age without the need of filling out the proposal form. This trend has thus helped curb the uncertainty involved in determining the appropriate cover to be charged.

Mr Velmachos further explained how the data ecosystem has changed when it comes to pricing and reserving in general insurance. Insurers are now investing in advanced systems that can accommodate more data points, unlike ten years ago when actuaries had to rely on Excel as the primary data storage tool. As a result, more data groupings can be accommodated by this modern software which has resulted in better pricing of insurance products.

The speaker also highlighted how the use of telematics has improved policyholder behaviour in motor insurance, thus reducing the number of claims significantly. The use of Google Maps in property insurance has also helped mitigate fraudulent claims arising from such cover. By using such examples, Mr Velmachos concluded that data science is a significant contributor to the digitisation of the world of insurance.

Data Science and the IfoA

Our final speaker Mr Tripp talked about how the Institute and Faculty of Actuaries (IFoA) have started embracing data science by offering courses and assessment to its current members in partnership with the Royal Statistical Society. Being a general insurance actuary with over 40 years of experience in the insurance industry, Michael can comfortably say he has been part of the transformation. Being part of the data science steering committee in the IFoA council, he has helped push forward this transformation.

 

Michael emphasised that the council aims to reposition the actuarial profession by enhancing members’ experience based on what is currently happening in international markets. It is for this reason that the team considered it wise to include elements of programming to some of the professional papers offered by the body to build skills and maintain professional competence.

In his concluding speech, Michael also agreed with Mr Velmachos by stating how artificial intelligence has aided time series prediction, data analysis and modelling and optimising logistics. Thus, by applying these features, AI has been able to use cognitive reasoning in the decision-making process.

What Does the Future Hold for Actuaries?

So, what does this mean for the actuarial profession? Will AI surpass human intelligence in such a way that fewer actuaries will be needed in the future? These, among other questions, were discussed at length during the panel session led by Dr Zoltan Butt, a senior lecturer at Cass Business School and our event moderator for the Cass AIR-Q Actuarial Forum.

 

 

Both speakers disagreed with this notion as actuaries will stay play a big role in making data science a success. It is apparent most systems require some form of human interaction to execute a job. Thus, AI will help make work easier for the role that actuaries play in the insurance and finance market. Dimitrios also stated that although it is not a requirement for excelling in the profession, it would be advantageous for student members to learn some element of programming language.

Michael highlighted that the decision between needing humans or machines is more a philosophical debate. The answer will depend on how you see intelligence: is intelligence natural or artificial?

Thanks to AIR-Q and Cass!

The Cass AIR-Q Actuarial Forum was an eye-opener for the attendees as they were given a chance to interact with the speakers during the networking session that followed the panel discussion. The society aims to bridge the knowledge gap between our student members and the industry— and I can say the forum did justice to this goal.

Myself and the fellow Co-Presidents of AIR-Q Society (Rocio Plasencia, Juan Sebastian De La Torre, Evangelos Santas, Lucy Nondi, David Flanigan, Adam Upenieks and Peter Vodička) would like to deliver special thanks to our speakers, our moderator, and the entire Cass Business School events team. We would also like to congratulate the audience who participated in making the event an engaging one.

The AIR-Q Society will also like to thank the LSE Actuarial Society representatives that came to offer their support. We are looking forward to meeting you in the next academic year but in the meantime, stay safe and follow the regulation of the government towards fighting the coronavirus pandemic.

Lucy Nondi, MSc Actuarial Management (2020)

Fly me to the moon: Career opportunities for Cass graduates

Kalman filter in electronic trading

The famous lyrics “Fly me to the moon, let me play among the stars” by Frank Sinatra could perfectly describe our learning journey during our recent Cass quants workshop.

I am Evangelos Santas, studying MSc Financial Mathematics (2020) and one of six Presidents of the newly rising society at Cass: AIR-Q Society. In January, we held the Quant workshop “Kalman Filter in Electronic Trading” in which we discovered the algorithm used in the Apollo 11 mission and learned about the wider applications of the Kalman filter.

The event was a great success, and we welcomed a very special guest: Dr Veronika Lunina, Quantitative Vice President at NatWest Markets. She spoke passionately about the Kalman filter, an important algorithm used in statistics and control theory and its applications in finance.

Kalman filter and the Apollo 11 mission 

Dr Lunina piqued interest of all attendees with the Kalman filter’s wide applications starting from the famous Apollo 11 navigation system that took Neil Armstrong to the Moon and most importantly, brought him back!

There are many different applications in technology, control systems and, most recently, finance – especially electronic trading. Veronika discussed the intuition and the theoretical foundations behind the Kalman filter.

She put together an Excel example of estimating a time-varying cointegration coefficient between two financial price series using Kalman filter (e.g. for the purpose of pairs trading) and compared it to a rolling-regression estimate.

Veronika discussed practical challenges of choosing parameter matrices, drawing on her own practical experience, and illustrating for us how different choices lead to different outcomes. She stressed how financial data is inherently noisy and that while Kalman filter may work extremely well for engineering applications with good knowledge of the underlying physics, it is no magic and we should exercise discretion when applying the methodology in the financial domain. With that said, Veronika was positive about her own experiences using extended Kalman filter for automated marking of FX implied volatility surface.

Quantitative jobs and career progression in finance

After a short coffee and cake break, Dr Lunina opened the floor for an informative and helpful Q&A on quantitative jobs and career progression in finance.

She openly shared her own professional experiences and gave some helpful advice on how to be successful as a quant. I particularly liked how she emphasised that we can shape our jobs. We are in charge of our own careers and must be positive and proactive about advancing it on daily basis. Her own work and experiences were informative and insightful and helped us raise our commercial awareness around the Quantitative Finance industry.

Veronika discussed different types of quantitative roles and the ever-changing skillsets required. She then talked about what to expect from a quant recruitment process and gave advice for interviews. She shared several tips and gave examples for how to solve problems by breaking them down into simpler ones, by applying backward induction and symmetry arguments.

As a gift, our guests kindly offered three quants books, “The Man Who Solved the Market” by David Zuckerman, “The Quants by Scott Patterson” and “My Life as a Quant” by Emanuel Derman – to three attendees who most actively participated during the talk and the Q&A session.

Thanks to AIR-Q and Cass!

After the end of the workshop we shared some laughs and interesting stories with our guest over drinks at the networking session in the Cass milling area.

The Presidents of the Cass AIR-Q Society Rocio Plasencia, Juan Sebastian De La Torre, Evangelos Santas, Lucy Nondi, David Flanigan, Adam Upenieks and Peter Vodička would like to deliver special thanks to Dr Veronika Lunina for her amazing presentation and her insightful view on the continuously changing world of Quantitative Finance, especially electronic trading. After the workshop Veronika wrote to us, “I find it very rewarding to teach and was happy there were many challenging questions.”

We would also like to thank Cass Business School for supporting us, then to all our internal members and industry attendees for their valuable contribution. We are looking forward to seeing you all at our next AIR-Q Forums and Workshops that are already on track for the following weeks of the second term.

Evangelos Santas, MSc Financial Mathematics (2020)

Meet Cass AIR-Q Society’s Presidents of 2019/20

I am Peter Vodicka, PhD Candidate at Cass and Founder of Cass AIR-Q Society – the Cass Actuarial, Insurance, Risk and Quants Society. We are focused on bringing together students with like-minded interests, the society organises meetups, workshops and networking events allowing students to immerse themselves in the actuarial, insurance, risk and quantitative finance industries.

The Society is made up of five Co-Presidents: one undergraduate student and four master’s students. I spoke to our Co-Presidents and asked them about their time at Cass so far and their plans for AIR-Q. Meet the Co-Presidents:

Rocio Plasencia, MSc Insurance and Risk Management (2020) from Peru

I decided to study at Cass to continue my personal and professional development. Cass is not only providing me the appropriate tools to improve my skills and to progress my expertise and vision in insurance business, but also it is giving me the opportunity to get to know the worldwide leading insurance market. I have met incredible and inspiring people from all over the world. I am looking forward to all our future events at Cass AIR-Q Society.

As a Peruvian lawyer, the diversity of the modules on the MSc Insurance and Risk Management can be a big challenge, but it was one of the main reasons I chose this master’s. What I love the most about the insurance industry is the possibility of getting to know people with different perspectives and professions.

As one of the Presidents of the Cass AIR-Q Society, my objective is to contribute to the society becoming a reference point and a source of knowledge at Cass and in the industry by hosting specialised workshops and seminars.

Lucy Nondi, MSc Actuarial Management (2020) from Kenya

Located at the hub of UK’s capital, Cass attracts a blend of cultures from all over the world. This has been one of its outstanding attributes, on top of the quality of education it provides in the fields of finance and business. My first three months have been very exciting as I have been able to attend various events that have helped sharpen both my networking skills and clarify my career path.

Joining Cass AIR-Q as one of the Presidents provides a great platform for interacting and learning from different professionals who are already in the finance field. I will therefore be able to keep up to date with what is currently happening in the industry through the networking events are planning for in the new year. Cass AIR-Q will also be an opportunity for me to improve my networking skills that is really essential in my career goal as an actuary.

Evangelos Santas, MSc Financial Mathematics (2020), from Greece

Being a postgraduate student in the heart of the financial capital and being in contact with world-leading finance leaders, every day here at Cass just feels so amazing. The professional environment have made me feel back in my element and comfortable. The many helpful people I work with every day made me quickly forget about London’s rainy weather. It’s a great way to entry in the world of business!

Coming from a university in a different country, I had to face with a completely different study culture. Understanding how to approach my finance classes, as I come from a quantitative background, were challenging but incredibly rewarding.

Joining AIR-Q Society as one of its Presidents has been a great opportunity to give back to the Cass community. I’ve had the chance to meet interesting people, to learn about the industry’s current trends and to develop my organisational and communication skills by preparing interesting events, focusing on quants master’s students.

Adam Upenieks, MSc Quantitative Finance (2020), from Canada

 

Walking through the doors for the first time, I noticed that Cass is more than just a place to learn. It is a place to meet people, gain connections and learn about your peers. The atmosphere of Cass and the energy of London has made it a great place to train for a career in finance.

The biggest challenge of any graduate programme is time management. It is a crucial part of being a successful student and an invaluable skill to have for a successful career. Currently, I am balancing my time between studying for my CFA level II, taking extra-curricular Python courses, and studying a full course load at Cass. This is a challenge, but I wouldn’t have it any other way!

Being part of AIR-Q presents you with opportunities to gain invaluable knowledge through meeting industry professionals and networking. It is also a fantastic opportunity to create tailored events for our peers in the quantitative disciplines. As a President, you need to have your finger on the pulse of what is happening in the world of finance, what is interesting to your peers and to organise remarkable events. My goal this year is to bring meaningful information to my peers in the world of quantitative finance, so that we can all learn and move forward together.

Juan Sebastián de la Torre, MSc Insurance and Risk Management (2020), from Ecuador

Joining Cass and AIR-Q has been amazing and I’m enjoying every moment. The campus facilities are excellent— you have access to every resource you need for your research and studies. The master’s programme encourages you to give your best and reach your potential.

Finding a balance between studies, social life and hobbies is a must. At the moment my modules have been amazing providing me with a lot of knowledge and that encourages me to seek for more information and always be investigating about new trends in the insurance market.

I decided to run for Cass AIR-Q President because I’m passionate about the field I’m studying and it is a great opportunity to provide my classmates and Cass students with great opportunities to assist to workshops, discussions panels and events organized by the society with interesting and experienced workers in the field. My goal with Cass AIR-Q is to provide quality events that will benefit the students and increase the society group members.

Follow AIR-Q Society on LinkedIn

David Flanigan, BSc Actuarial Science (2020), from the United Kingdom

I am in my final year of BSc Actuarial Science and have benefited hugely by making the most of the resources and facilities offered by Cass and would urge new students to do the same!

As well as my role as President of AIR-Q, I am also President of the undergraduate Society of Actuaries and hope to establish a strong link between master’s students and our undergraduate students who may be looking for mentors or advice.  Collectively, we can recognise the benefits expanding our networks to draw on our peers’ expertise.

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