This is a broad area of research undertaken within the School of Computing Sciences at UEA over a period of 20 years. Two different areas of research directly contribute to actuarial applications: research into data-mining and statistical analysis.
In mid-1990s, Prof Rayward-Smith and Dr de la Iglesia developed new approaches to solving optimisation problems by developing metaheuristics and, by the mid-to-late 90s, the expertise was being applied within the newly emerging discipline of data mining. This led to one of the first descriptions of how data mining can be used in industrial applications. Applications included new methods for companies to develop and maintain complex software systems and the use of metaheuristics to mine insurance data.
Aviva uses our research into meta-heuristic techniques, data mining and machine learning for both pricing and marketing in general (e.g. car and household) insurance. This is of direct benefit to general insurance customers, because adoption of these techniques allows a more competitively priced, product to be offered to customers, whilst still maintaining Aviva's profitability. This line of research is currently being developed in the Ph D on machine learning in general insurance by Ellis Kurland under supervision by Dr. Cawley.
Meta-analysis and evidence synthesis are statistical techniques that amalgamate information from disparate sources so as to obtain more reliable evidence. They had been used widely in medicine and social sciences, but not yet in insurance. In collaboration with Aviva Life actuaries and the researchers in NMS, we apply statistical methods of evidence synthesis to the development of a methodology for actuarial meta-analysis to investigate mortality in a variety of chronic medical conditions, with a view of developing new insurance products: enhanced annuities.
An annuity provides an individual with a regular income for remaining life in exchange for a lump sum, typically accumulated through a personal pension. Life expectancy is a key determinant of the regular income that can be purchased with a given lump sum. Enhanced (impaired lives) annuities provide more income for a given lump sum for individuals known to have conditions that shorten their life expectancy and are a fast growing area of life insurance of direct interest to Aviva.
Our new two-pronged approach to the evidence-based pricing of enhanced annuities, developed by the UEA/Aviva team consists of
- the use of meta-analysis and evidence-synthesis of the published studies to assess the effects on longevity of a number of chronic medical conditions,
- a state-of-the-art large scale longitudinal analysis of primary care data informed by the obtained evidence-base.
Both steps are being implemented by the joint UEA and Aviva team.
- Bagnall, A.J., Rayward-Smith, V.J., Whittley, I.M. (2001) The next release problem. Information and Software Technology, 43, 883–890
- Rayward-Smith, V.J., Debuse, J.C.W., de la Iglesia, B. (2002) The use of modern heuristic algorithms for mining insurance data. in Handbook of Data Mining and Knowledge Discovery, pp.849-856 ed. W. Klosgen and J. Zytkow, Oxford University Press
- de la Iglesia, B., Richards, G., Philpott, M.S., Rayward-Smith, V.J. (2006) The application and effectiveness of a multi-objective metaheuristic algorithm for partial classification. European Journal of Operational Research, 169, 899-917
- Kulinskaya, E., Morgenthaler, S., Staudte, R. (2010) Variance stabilizing the difference of two binomial proportions. The American Statistician, 64, 350-356
- Kulinskaya, E., Morgenthaler, S. and Staudte, R. (2010) Combining the Evidence using Stable Weights. Research Synthesis Methods. 1: 284–296. doi: 10.1002/jrsm.20
- de la Iglesia, B., Potter, J. F., Poulter, N.R., Robins, M.M., Skinner, J. (2011) Performance of the ASSIGN cardiovascular disease risk score on a UK cohort of patients from general practice. Heart,97 491-499
Prof Elena Kulinskaya, Dr Gavin Cawley, Dr Beatriz de la Iglesia, Ellis Kurland, Skevi Pericleous, Lisanne Gitsels, Hussein Wahedally, Mohamed Elsheemy
- Nigel Wright, Actuary, Aviva Life
- Prof Ruth Hancock, Group of Health Economics, NMS
- Dr Nicholas Steel, NMS
- Dr Allan Clark, NMS