ASSA 2022 Convention Awards

Last week was the ASSA 2022 Convention held in Cape Town, South Africa. We were delighted to hear that our paper “LASSO Regularization within the LocalGLMnet Architecture” won the RGA Prize for the Best Convention Paper and the Swiss Re Prize for the Best Paper on Risk or Reinsurance.

The paper can be found here:
LASSO Regularization within the LocalGLMnet Architecture

I’m most appreciative of the Actuarial Society of South Africa (ASSA)’s making this award and hope that actuaries will start to use the method proposed for interpretable machine learning. Thanks very much to Professor Mario Wüthrich for this project!

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I was also pleased to hear that another paper, Mind the Gap – Safely Incorporating Deep Learning Models into the Actuarial Toolkit, was highly commended by ASSA’s Research Committee. This paper can be found here:

Mind the Gap

During the event, we also presented a paper on bootstrapping the Cape-Cod method. Below is a nice summary drawn at the Convention.

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