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Old 08-08-2013, 11:50 AM
bigalxyz bigalxyz is offline
 
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Default GLM Software - State of the Market?

Hello forum,

Any P&C/GI actuaries out there will probably be familiar with the use of generalised linear modelling (GLM) techniques.

Where is the market at the moment?

Emblem (Towers Watson) is the product I know best - I've used it on & off for about 12 or 13 years. Fast, stable, handles big data sets, does the job, lots of functionality, but very expensive, clunky graphics, confusing suite of "bolt ons".

I gather some people do this stuff using SAS, but I don't really know SAS myself.

My interest lies in things like R, which can of course fit GLMs - and it's free. Awkward to use - command line, text output. And I'm told that it struggles with really big data sets (although I understand that there are things like RevolutionR which can address this - at a cost).

I find myself wondering if there's room in the market (UK/US/Europe/Asia/wherever) for a relatively simple piece of commercial software - a GUI built around R (so that users are shielded from R's command line if they want to be) - to give functionality to allow models to be specified, to send commands to R, to collect the output and interpret it/graph it/record it/etc. Something that perhaps can do 80% of what Emblem can do, for 20% of the cost (say).

Two questions I suppose:
(a) Does such a thing already exist (in whole or in part)?
(b) If not, how big might the market be?

Grateful for any opinions on the matter...

Thanks!
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Old 08-08-2013, 11:57 AM
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sloppyjoe sloppyjoe is offline
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Something to consider: TW also provides support & training as a part of the cost. It will be more or less useful to different people. As actuaries get better understanding of GLM and need less hand-holding, the software you describe probably becomes a better value.
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Old 08-08-2013, 11:59 AM
bigalxyz bigalxyz is offline
 
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That's true, yes. I've relied on that support/training in the past and I'm sure others still do.
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Old 08-08-2013, 12:48 PM
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Ron Weasley Ron Weasley is offline
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For getting started with GLMs for insurance applications, Emblem is probably the best. That's really about all that it's good at though.

I don't feel that the stat software market has really matured yet, even though SAS has been around long enough to become a cash cow. There is nothing that
  1. Readily implements new statistical techniques
  2. Handles large data sources, common to transactional data sets, well
  3. Has an intuitive interface
With an immature market, there is lots of opportunity.

You're proposing to take R, which already has 1, and is better at 2 with Revolution, and adding 3. There's potential if 3 is well designed, and all of the other easy-to-say-but-difficult-to-do things, like marketing, support, acceptance, expense/price management, etc. are done well.
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Last edited by Ron Weasley; 08-08-2013 at 01:29 PM..
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Old 08-08-2013, 12:53 PM
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The worst thing that can happen to R is Excel-ization.

Text-based commands are a blessing, imo
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Old 08-08-2013, 01:03 PM
bigalxyz bigalxyz is offline
 
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@Colonel Smoothie: I suppose some users will prefer command line environments. I have my moments, although mostly I prefer pointing & clicking

@Ron Weasley: the market for this sort of thing might be limited in the UK (where I am based) - Emblem is already very widely used by insurance companies, and the cost is mostly in the past (and sunk) + they have already invested time & money in staff training, etc. However there may be openings eg (a) freelancers (b) TW's competitors - rival consultancy firms (c) small niche insurers with modest amounts of premium income who might balk at the cost of Emblem. Outside the UK I'm less clear on the size of the opportunity.

Last edited by bigalxyz; 08-08-2013 at 03:51 PM..
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Old 08-09-2013, 02:14 AM
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In my opinion, the strength of r is tied to its programming language. That doesn't mean it's the right choice for everyone. Bit I think that most of the work in setting up a GUI glm would be in setting up the GUI itself, and probably the memory management if you wanted it to be fast for large data. R doesn't really do either of these things all that well right now. (Well, it does the GUI thing quite well if you prefer a powerful programming language to a GUI.)

I'm not saying you couldn't use r that way, but my guess is the time you saved on the glm calculation would be small compared to the time spent on the GUI.
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Old 08-09-2013, 05:33 AM
bigalxyz bigalxyz is offline
 
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Agreed, GUI design is no small task.

Re: the GLM algorithm itself. I'd love to know how much better things like RevolutionR are in terms of speed, ability to deal with big files, etc.

I've often wondered if someone might have written some C (say) code to do the GLM calculations (lots of matrix inversion & all that) - a la "Numerical Recipes in C" - but I haven't been able to find anything. Well, perhaps that's what lies at the heart of Emblem, but obviously that code is proprietary & guarded very jealously! I wonder how big a job it would be to create something like that from scratch (my coding skills are about 20 years out of date).
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Old 08-09-2013, 08:51 AM
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Quote:
Originally Posted by bigalxyz View Post
Agreed, GUI design is no small task.

Re: the GLM algorithm itself. I'd love to know how much better things like RevolutionR are in terms of speed, ability to deal with big files, etc.

I've often wondered if someone might have written some C (say) code to do the GLM calculations (lots of matrix inversion & all that) - a la "Numerical Recipes in C" - but I haven't been able to find anything. Well, perhaps that's what lies at the heart of Emblem, but obviously that code is proprietary & guarded very jealously! I wonder how big a job it would be to create something like that from scratch (my coding skills are about 20 years out of date).
I wrote vba code that does GLMs if you are interested (Poisson and Logistic). I'm working on moving it all to C# so that it can buffer data from files (eliminating the size concern), and take advantage of threading.
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Old 08-09-2013, 09:15 AM
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Default R Revolution

Does anybody here have hands on experience with R Revolution? I've had some preliminary discussions with them and while their basic premise sounds promising (R for larger data with a less intimidating user interface) it seems like their end product isn't really complete yet and they don't quite have their act together.
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