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Valid Model-Free Prediction of Future Insurance Claims
Recurso electrónico / Electronic resource
MAP20220000628
Hong, Liang ‌
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. Title.