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Macro vs. micro methods in non-life claims reserving (an econometric perspective)

Charpentier, Arthur; Pigeon, Mathieu - In: Risks : open access journal 4 (2016) 2, pp. 1-18

Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on aggregated data). However, it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncertainty related to reserves with "macro" and...

Persistent link: https://www.econbiz.de/10011507357

Defining geographical rating territories in auto insurance regulation by spatially constrained clustering

Xie, Shengkun; Esposito, Emilio Xavier - In: Risks : open access journal 7 (2019) 2/42, pp. 1-20

equity of pure premium, as required by insurance regulation. To achieve this goal, the spatially-constrained clustering of … the design of geographical rating territories, a clustering approach based on Delaunay triangulation is proposed …-constrained clustering approach in defining geographical rating territories for insurance rate regulation purposes. The significance of this …

Persistent link: https://www.econbiz.de/10012019293

Concordance probability for insurance pricing models

Ponnet, Jolien; Van Oirbeek, Robin; Verdonck, Tim - In: Risks : open access journal 9 (2021) 10, pp. 1-26

The concordance probability, also called the C-index, is a popular measure to capture the discriminatory ability of a predictive model. In this article, the definition of this measure is adapted to the specific needs of the frequency and severity model, typically used during the technical...

Persistent link: https://www.econbiz.de/10012632224

Regularization of autoencoders for bank client profiling based on financial transactions

Filchenkov, Andrey; Khanzhina, Natalia; Tsai, Arina; … - In: Risks : open access journal 9 (2021) 3, pp. 1-16

Predicting if a client is worth giving a loan-credit scoring-is one of the most essential and popular problems in banking. Predictive models for this goal are built on the assumption that there is a dependency between the client's profile before the loan approval and their future behavior....

Persistent link: https://www.econbiz.de/10012508541

Credit scoring for peer-to-peer lending

Aheleghbey, Daniel Felix; Giudici, Paolo - In: Risks : open access journal 11 (2023) 7, pp. 1-8

This paper shows how to improve the measurement of credit scoring by means of factor clustering. The improved …

Persistent link: https://www.econbiz.de/10014340263