Alumnus Mike Pieters wins the Johan de Witt Thesis Prize 2019 of the Royal Dutch Society of Actuaries
Alumnus Mike Pieters, MSc in Econometrics and Management Science with the specialisation Quantitative Finance, wins the Johan de Witt Thesis Prize 2019 of the Royal Dutch Society of Actuaries. On 28 November 2019, Pieters received a statue of Johan de Witt from the chairman of the jury Jos Berkemeijer as well as €5.000 in prize money for his thesis 'Micro-economic Stochastic Loss Reserving'.
In his thesis, Pieters models different steps in the process of handling claims reservations as separate processes. He expands the existing methodology by choosing a Bayesian approach for process and parameter uncertainty. Moreover, Pieters considers truncation. At some point we only know that a process step lasts longer than a certain time, and not how long that step lasts precisely. The calculations are carried out on several units of account on the computer, and where necessary also on the graphical unit of account. In short, the thesis is methodologically interesting, but also the numerical implementation of the Bayesian methods is no sinecure. His application to a portfolio of legal expense insurance is very fitting, because the handling process of this type of insurance is quite variable.
The jury, consisting of scientists and actuaries, was impressed by his work. According to the jury report, Pieters discusses a complex model, identifies the advantages and disadvantages of the approach at micro level and implements the methods. His Bayesian approach seems to be a good alternative for the reservation methods that have been discussed in the literature until now. Although it is not to be expected that all insurers will implement his method from now on, his thesis will certainly offer sufficient leads and computer code to experiment with. The applied methodologies are fully explored and the applications on premium setting and catastrophe risk are as well very interesting and useful. Network theory for cyber risks appears to be a useful addition to the actuarial toolkit.