dr. Katrien Antonio

Bio

• Assistant professor in actuarial science at the University of Amsterdam.
• MSc in Mathematics (KU Leuven, 2003) and PhD in statistics and actuarial science (KU Leuven, 2007).

Grants and awards

• IWT Strategisch Basis Onderzoek grant for the project 'Innovative pricing and reserving for non-life insurance' (nr. 131173), financing PhD student Roel Verbelen, January 2014-December 2017. Promoter: Gerda Claeskens, co-promoter: Katrien Antonio.

• Carefin – Bocconi Centre for Applied Research in Finance research grant for the project Bayesian mortality models for two and more (sub)populations, with A. Bardoutsos and W. Ouburg, December 2013.

• Best session award as voted by the participants at the Casualty Loss Reserve Seminar, Casualty Actuarial Society, Boston, USA, September 2013.

• Research grant from FWO (Belgium) in 2012 (244,000 euro) for the project 'Stochastic models in health insurance' (with prof. Jan Dhaene (KU Leuven) and prof. Michel Denuit (UCL)).

• Johan de Witt prize (2011) by the Dutch Actuarial Association for their paper 'Micro-level stochastic loss reserving' (with dr. Richard Plat).

• Veni grant (2009) by NWO (250,000 euro) for the project 'Non-life: a life insurance approach'. 

• Johan de Witt

• Casualty Actuarial Society Best Session Award 2013

Research interests

• Actuarial statistics and insurance analytics
• Tarification and reserving for non-life, life and health insurance.
• Mortality modeling and forecasting.
• Using R and SAS.

Consulting work and CPD courses

• Katrien is available for consulting work and CPD courses that meet her research interests.
• Examples of recent in house trainings: stochastic loss reserving, stochastic modeling of longevity risk, predictive modeling, predictive modeling in non-life insurance, individual claims reserving, ...

Teaching

• Life and non-life insurance, predictive modeling, analytics, general statistics and probability theory, statistics for finance and insurance (at KU Leuven and University of Amsterdam). 
• Current courses: Inleiding Levenactuariaat (UvA, Bachelor in actuariële wetenschappen), APC 4 on claims reserving (Amsterdam Executive Master in Actuarial Science, with Bart Kling), APC 3 on disability insurance (with Wilbert Ouburg and Christine de Haan), Advanced Non-Life Insurance Mathematics (KU Leuven, Master in Financial and Actuarial Engineering) and Advanced Life Insurance Mathematics (KU Leuven, Master in Financial and Actuarial Engineering).

MSc Thesis supervision

• The MSc thesis by Wilbert Ouburg (supervisor: Katrien Antonio) was nominated for the Johan de Witt prijs 2013 and was awarded the Netspar thesis award 2014. Topic: Bayesian single and multivariate population mortality models.
• The MSc thesis written by Hok-Kwan Kan (under supervision of Katrien Antonio) was nominated for the Johan de Witt prijs 2012 (2nd place) and was awarded the Netspar thesis award in 2013. Topic: Bayesian experience rating in mortality. 
• The MSc thesis written by Frederik Borgers (under supervision of Katrien Antonio) was awarded the IA|BE prize (by the Belgian Institute of Actuaries) in March 2012. Topic: micro-level loss reserving.
• The MSc thesis written by Frank Van Berkum (under supervision of Katrien Antonio) was awarded in 2011 the H.K. Van Nieuwenhuis prize for the best thesis in economics at UvA. Topic: tarification in automobile insurance.
• Best AFI (Accountancy/Finance/Insurance) papers at Faculty of Economics & Business (KU Leuven): Laurence Verheye & Siska Depril (2012) on mortality forecasting with the AG projection method, Bruno De Laet (2013) on mortality improvement rate modeling.
• Other (selected) recent MSc thesis projects: Laurence Verheye & Siska Depril (KU Leuven) on Rosenlund's RDC reserving method (2012), Roel Verbelen (KU Leuven) on Phase type distributions and mixtures of Erlangs - as study of theoretical concepts, calibration techniques and actuarial applications (2013), Bruno De Laet (KU Leuven) on Regression trees and ensembles of trees in P&C pricing (2014), Lianne Westinga (UvA) and Lize Devolder (KU Leuven) on Computational aspects of calibrating and projection of stochastic mortality models (2014).
• Contact me if interested in any of those papers.

• H.K. Van Nieuwenhuis prijs F. Van Berkum

CV Katrien Antonio (last update January, 2015)

• CV Katrien Antonio (January 2015)

• [WP.1] E. Godecharle & K. Antonio. 2014. Reserving by conditioning on markers of individual claims: a case study using historical simulation. R&R.
• [WP.2.] K. Antonio, A. Badescu, L. Gong, L. Sheldon & R. Verbelen. 2014. Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm. Under revision.
• [WP.3] R. Verbelen, K. Antonio & G. Claeskens. 2014. Multivariate mixtures of Erlangs for density estimation under censoring and truncation. Submitted.
• [WP.4] K. Antonio, A. Bardoutsos & W. Ouburg. 2015. Bayesian Poisson log-bilinear models for mortality projections with multiple populations. Submitted.

• Download WP.1

• Download WP.2

• Download addendum to WP.2

• R code used in WP.2

• Example: use of R code in WP.2

• Download WP.3

• Download WP.4

[Check CV for a full list]

2014

• Statistics seminar at University of Bologna, Italy, June 5, 2014.
• Live long and prosper: actuaries and mortality forecasts, Colloquium dept. of Mathematics, KU Leuven, Belgium, February 28, 2014. 

2013

• Micro level stochastic loss reserving for general insurance. Talk in the actuarial statistics session (host: prof. Tim Verdonck) at ERCIM 2013, University College London (UK), December 15, 2013.
• Stochastische schadereservering op microniveau. 50 jaar ASTIN. Verleden, heden en toekomst. (with H.J. Plat), Celebrating 50 years of ASTIN The Netherlands, Soest, October 29, 2013.
• Individual loss reserving. CAS Loss Reserve Seminar. Boston, September 15-17, 2013.
• Individual loss reserving with the multivariate skew normal framework. Talk in the claims reserving session (host: prof. Mario Wüthrich) at the Cramér Symposium in Insurance Mathematics, Stockholm University (Sweden), June 11-14, 2013.
• Structural breaks in mortality rates with an application to Dutch and Belgian data (with Frank Van Berkum and Michel Vellekoop). Insurance: Mathematics and Economics conference, Copenhagen, July 2, 2013.
• Revisiting Rosenlund's Reserving by Detailed Conditiong (RDC) method (with Els Godecharle). Insurance; Mathematics and Economics conference, Copenhagen, July 1, 2013.
• Individual loss reserving with the multivariate skew normal framework. Cramer Symposium in Insurance Mathematics, Stockholm University, June 14, 2013.
• Individual loss reserving with the multivariate skew normal framework. ASTIN Colloquium, The Hague, May 22, 2013.
• Bayesian stochastic mortality models for two populations: A technical note on MCMC sampling. PanHellenic Statistics Conference. Piraeus, Greece, 8-11 May 2013. (A. Bardoutsos, with K. Antonio & W. Ouburg)

2012

• Micro-level stochastic loss reserving. Cass Business School, London, October 24, 2012.
• Micro-level stochastic loss reserving. KU Leuven, October 18, 2012.

2011

• Stochastic mortality models. KU Leuven, July 6, 2011.
• A multilevel analysis of intercompany claim counts. Statistics Canada, Concordia University, Montreal, July 3, 2011.
• Micro-level stochastic loss reserving. Presentation for the Johan de Witt prijs (with Richard Plat), Utrecht, May 27, 2011.
• Short course on claims reserving. University of Barcelona, April 26-27, 2011.

2010

• A micro model for IBNR and RBNS loss reserving. Technical University of Lisbon, September 16, 2010.
• A micro model for IBNR and RBNS loss reserving. University of Amsterdam, KAFEE Lunch Seminar, May 10, 2010.
• A micro model for IBNR and RBNS loss reserving. University of Oldenburg, Mathematical Institute, Oldenburg (Germany), April 14, 2010.

2009

• Credibiliteit voor de hedendaagse schadeactuaris: een bruikbare interpretatie van een actuariele hoeksteen. ASTIN day Dutch Actuarial Association, Amsterdam, November 5,2009.

2008

• A multilevel analysis of intercompany claim counts. University of Waterloo, Waterloo (Canada), December 2, 2008.

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