Search

Frequentist inference in insurance ratemaking models adjusting for misrepresentation

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Frequentist inference in insurance ratemaking models adjusting for misrepresentation</title>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20190008143">
<namePart>Akakpo, Rexford M.</namePart>
<nameIdentifier>MAPA20190008143</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20170005513">
<namePart>Xia, Míchelle</namePart>
<nameIdentifier>MAPA20170005513</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20190008150">
<namePart>Polansky, Alan M.</namePart>
<nameIdentifier>MAPA20190008150</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">gbr</placeTerm>
</place>
<dateIssued encoding="marc">2019</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
<extent>30 p.</extent>
</physicalDescription>
<abstract displayLabel="Summary">In insurance underwriting, misrepresentation represents the type of insurance fraud when an applicant purposely makes a false statement on a risk factor that may lower his or her cost of insurance. Under the insurance ratemaking context, we propose to use the expectation-maximization (EM) algorithm to perform maximum likelihood estimation of the regression effects and the prevalence of misrepresentation for the misrepresentation model proposed by Xia and Gustafson [(2016) The Canadian Journal of Statistics, 44, 198218]. For applying the EM algorithm, the unobserved status of misrepresentation is treated as a latent variable in the complete-data likelihood function. We derive the iterative formulas for the EM algorithm and obtain the analytical form of the Fisher information matrix for frequentist inference on the parameters of interest for lognormal losses. We implement the algorithm and demonstrate that valid inference can be obtained on the risk effect despite the unobserved status of misrepresentation. Applying the proposed algorithm, we perform a loss severity analysis with the Medical Expenditure Panel Survey data. The analysis reveals not only the potential impact misrepresentation may have on the risk effect but also statistical evidence on the presence of misrepresentation in the self-reported insurance status. </abstract>
<note type="statement of responsibility">Rexford M. Akakpo, Míchelle Xia, Alan M. Polansky</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591052">
<topic>Fraude en el seguro</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080553128">
<topic>Algoritmos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080541064">
<topic>Fraude</topic>
</subject>
<classification authority="">6</classification>
<relatedItem type="host">
<titleInfo>
<title>Astin bulletin</title>
</titleInfo>
<originInfo>
<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
</originInfo>
<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>01/01/2019 Volumen 49 Número 1 - enero 2019 , p. 117-146</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">190619</recordCreationDate>
<recordChangeDate encoding="iso8601">20220823212406.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20190019125</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>