Search

Regression tree credibility model

Recurso electrónico / Electronic resource
Section: Articles
Title: Regression tree credibility model / Liqun Diao, Chengguo WengAuthor: Diao, Liqun
Physical description: 29 p.Notes: Sumario: This article applies machine learning techniques to credibility theory and proposes a regression-tree-based algorithm to integrate covariate information into credibility premium prediction. The recursive binary algorithm partitions a collective of individual risks into mutually exclusive subcollectives and applies the classical Bühlmann-Straub credibility formula for the prediction of individual net premiums. The algorithm provides a flexible way to integrate covariate information into individual net premiums prediction. It is appealing for capturing nonlinear and/or interaction covariate effects. It automatically selects influential covariate variables for premium prediction and requires no additional ex ante variable selection procedure. The superiority in prediction accuracy of the proposed algorithm is demonstrated by extensive simulation studies. The proposed method is applied to the U.S. Medicare data for illustration purposes.Related records: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/06/2019 Tomo 23 Número 2 - 2019 , p. 169-196Materia / lugar / evento: Matemática del seguro Teoría de la credibilidad Otros autores: Weng, Chengguo
Other categories: 6
See issue detail