Pricing Scientist

UP Ph.D.


EXPERIENCE

2013 - Present 
Academia, Center for Risk Management & Insurance
Research Fellow

  • Write ‘Generalize Additive Model' chapter, book co-author with Prof. P.L. Brockett
  • Research areas: predictive models, big data, marketing, insurance, finance.


2012-2013 Pricing Software Company
Pricing Scientist, Pricing Science

  • Proposed unordered set index to be used for pricing segmentation evaluation.
  • Provided pricing analysis as the basis for merger decisions of US equipment rental companies.
  • Developed pricing models for a large machinery company (Fortune 500) using multi-stage pricing scheme at multi-level granularity of segmentation attributes.

2009-2012 Insurance Company
Actuarial Statistician, Actuarial Department

  • Built price elasticity models predicting retention of auto policies, and designed algorithm for stabilizing price change at policy renewal based on price elasticity
  • Designed experiments for testing actual retention prediction in live environment.
  • Formulated catastrophe risk allocation as network optimization problem.
  • Designed risk model monitoring process - proposed KL divergence and invented pseudo standardized estimate to be used as monitoring indicators.
  • Derived statistical formulae for confidence interval of lift curve movement.
  • Proposed model evaluation measures based on marginal error reduction of models.

Predictive Modeling Development

  • Built auto and homeowners models predicting loss ratio for making Customer Rating factor to be applied to more than 30 million insurance policies.
  • Built neural networks models for generating benchmark scores for model monitoring.

2008 Paypal
Risk Modeler, Risk Detection Unit

  • Built logistic regression models predicting fraud.

2005-2008 Fair Isaac Corp.
Scientist, Research & Development Department


Project Leader

  • Developed marketing predictive models and strategies for large mortgage company.
  • Redesigned space allocation optimization model for the large electronic retail stores.
  • Analyzed Hepatitis C patient data for a large pharmaceutical company.

Methodologies & Model Development

  • Maintained scorecard development and responded to its theoretical questions.
  • Proposed decomposition scheme in Decision Optimizer software.
  • Designed and developed cross-selling marketing optimization model.
  • Proposed Bayesian scheme predicting delivery addresses for large pizza company
  • Extended information value formulae to calculate its variance.

 

1998-2004 Texas Department of Insurance
Research Specialist, P&C Actuarial Department

  • Credit Scoring Study Project, mandated by Texas Senate Bill 14.
  • Analyzed the predictability and disproportionate impact of credit score in auto and home-owners insurance pricing based on actual data from six largest insurers.

1996-1998 Citigroup, Thailand
FX trader, Treasury Department

  • Advised Japanese corp. (Toyota, etc.) on FX hedging strategies during currency crisis.
  • Priced cross currency interest rate swaps (USD/baht) and USD/JPY options.

Technical Skills:

  • T-SQL, C++, PYTHON, R, some JAVA; SAS, SCORECARD, MATLAB; UNIX, Tableau, Excel

Education:

  • 1993 The University of Texas at Austin, School of Business, Ph.D.
    Concentrations: Finance, Computer, and Mathematical Modeling
  • 1989 Rice University, Houston, TX
    Master, Applied Mathematical Science

 

Contact mary@analyticsearches.com.