Centro de Documentacion de Fundación MAPFRE - Valid Model-Free Prediction of Future Insurance Claims

MAP20220000628

Valid Model-Free Prediction of Future Insurance Claims / Liang Hong, Ryan Martin

Sumario: Bias resulting from model misspecification is a concern when predicting insurance claims. Indeed, this bias puts the insurer at risk of making invalid or unreliable predictions. A method that could provide provably valid predictions uniformly across a large class of possible distributions would effectively eliminate the risk of model misspecification bias. Conformal prediction is one such method that can meet this need, and here we tailor that approach to the typical insurance application and show that the predictions are not only valid but also efficient across a wide range of settings

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 06/12/2021 Tomo 25 Número 4 - 2021 , p. 473-483

1. Predicciones estadísticas . 2. Métodos actuariales . I. Martín, Ryan . II. Título.