October 2, 2024 & October 9, 2024

Penalized Regression and Lasso Credibility

Penalized regression is a powerful tool to enhance traditional GLM modeling. This session will explore the nature of this enhancement both in theory and in practice. We will briefly review GLMs before discussing the benefits of penalized regression and its deep connections to credibility. Then, we will take this one step further and describe the application of penalized regression directly as a credibility procedure: lasso credibility. By following the evolution of modeling from GLMs to lasso credibility, attendees will be able to identify practical applications of these techniques in their own work.

Featured speaker:
Thomas Holmes, Chief Actuary - US Region, Akur8
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Learn more about the speakers

Thomas Holmes, Chief Actuary - US Region, Akur8
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Thomas Holmes, Chief Actuary - US Region, Akur8

Thomas Holmes is the Chief Actuary for the US at Akur8. In this role, he works directly with clients providing modeling insights and best practices with Akur8's software. Additionally, he works with Akur8’s product development team to improve the software's functionality for the US region. Prior to Akur8, Thomas has worked in both traditional ratemaking and modeling roles. Thomas is a Fellow of the CAS.