Session 15 OF, Unpacking the Actuary's Technical Toolkit. Moderator: Albert Jeffrey Moore, ASA, MAAA

Transcription

1 Session 15 OF, Unpacking the Actuary's Technical Toolkit Moderator: Albert Jeffrey Moore, ASA, MAAA Presenters: Melissa Boudreau, FCAS Albert Jeffrey Moore, ASA, MAAA Christopher Kenneth Peek Yonasan Schwartz, FSA, MAAA

2 Session 15: Unpacking the Actuary s Technical Toolkit Presenters: Chris Peek Yonasan Schwartz, FSA, MAAA Moderator: Albert J. Moore, ASA, MAAA

3 Actuarial Uses for Microsoft Access Yonasan Schwartz TIAA-CREF

4 Agenda What is Access? Access vs. Excel pros and cons Access basics: Tables Access basics: Queries Access basics: SQL Case studies

5 What is Access?

6 Access vs. Excel pros and cons Excel is better for: Less data Complex operations Exceptions Processes that may change Access is better for: More data Simple operations Consistency Stable processes

7 Access basics: Tables Similar to Excel spreadsheets Records and Fields instead of rows and columns Fields must have a data type Primary key used to enforce uniqueness of records

8 Access basics: Queries Pull data from tables (or other queries) Join tables together for powerful analysis Based on SQL Input and output always in the form of a table picture

9 Access basics: SQL (Structured Query Language)

10 Case studies Valuation system Financial reporting data warehouse

11 Session 15: Open Forum Unpacking the Actuary s Toolkit Presenter: Chris Peek President, Actuarial Resources Corporation

12 Advanced Excel Features Power Pivot Cost effective approach for Business Intelligence Data accumulation into Excel from multiple outside sources Extends Excel features you already know Power View Feature of Excel 2013 and add-in for SQL SSRS for SharePoint Servers Data visualization and reporting tool Integrates with Power Pivot workbooks 11

13 PowerPivot Demonstration 12

14 Why use programming to solve problems? Actuarial problems complex many involve: Stochastic calculations Large data sets Iterative techniques Require advanced statistical measures Can use both Excel and programming languages to prototype calculations for later inclusion in company production processes Useful to test 3 rd party bespoke applications 13

15 Common Actuarial Programming Options What s available Language Cost C#/C++ $$$ VB.NET $$$ VBA Free VB Script Free R Free MATLAB $$$ Mathematica $$$ APL $$$ SAS $$$ 14

16 Insights from an Actuarial Software Vendor Actuaries from my firm have used all of the applications discussed. Their key comments include: All programming requires the development of Best Practices for coding, testing and version control Don t reinvent the wheel. If there is code out there, use it! This is particularly true with the open source languages (e.g. R ) Be careful that your ad-hoc program doesn t become the standard process As an organization, commit to a specific programming platform 15

17 What is R? R is a free open source programming platform Data analysis software suited for: Statistical analysis Predictive modeling Data visualization R community is large and active with more than 2000 addin packages available for free download Lots of free resources to learn R and jumpstart a project Python is another open source language gaining traction as an easier to learn, intuitive application. 16

18 R Console Direct execution of code from the console, no compilation Use of the R command line console allows for interactive exploration of a data set as well as on the fly graphics and plotting Extensive number of ready to use packages. CRAN (Comprehensive R Archive Network) is a network of ftp sites storing up-to-date versions of code and documentation 17

19 Key R Capabilities Statistical Modeling Simulation Big Data Analytics Machine Learning Dynamic Graphics 18

20 R Visualizations Ready made packages in R Example: ggvis for graphics Can integrate with other R packages Diverse set of graphing charts and plots 19

21 Getting started in R Clear use of R with your IT professionals Free online courses Tons of YouTube tutorials The R Project for Statistical Computing 20

22 Useful Utilities for the Actuary Beyond Compare Comparison tool for files and folders Can do byte-by-byte comparisons Synchronize folders Data reconciliation Command line scripting for automating tasks Can be used for version control activities Compare log files of meta data Comparisons for different types of files EXE files Binary 21

23 Useful Utilities for the Actuary CSTEP Developed by Central Washington University Cluster Sampling Technique for Tail Estimation of Probability (CSTEP) Supports four sampling methods: Euclidean Distance Method Significance Method Present Value Distance Method Economic Value Distance Method CSTEP is a desktop application with a reasonable amount of documentation 22

24 Useful Utilities for the Actuary MAXIMA Computer Algebra System Open Source Specializes in solving symbolic mathematical equations Integration Partial and total differentiation Automatic simplification Large number factorization Manipulation of large polynomials 23

25 Useful Utilities for the Actuary AutoIt Freeware with BASIC-style scripting to allow for automation Large user community, good help files Simulates key-strokes and mouse movements Interacts with all standard Windows controls Used to help automate manual, repetitive processes in 3 rd party applications: Example: Update tables in other Windows applications 24

26 Useful Utilities for the Actuary Mortality and Other Rate Tables mort.soa.org XtbML format The value of standard formats Facilitates Automated processing Portability Independent of Platform Simple Text Files A persistent International Standard 25

27 Useful References (MATLAB) (Business Intelligence and Analysis Tools) (Free online R Programming Course) (Free packages for use with R) (Beyond Compare) (MAXIMA) (CSTEP Presentation) (CSTEP Application) (AutoIt Site) 26