The Measures of Accuracy of Claim Frequency Credibility Predictor

Nowadays, the sustainability risks and opportunities start to affect strongly insurance companies in regard to the resulting additional variability of future values of variables taken into account in the decision processes. This is important especially in the era of sustainable non-life insurance pr...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Alicja Wolny-Dominiak, Tomasz Żądło
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	sustainable insurance measures of accuracy credibility predictor GLMM bootstrap estimation Environmental effects of industries and plants TD194-195 Renewable energy sources TJ807-830 Environmental sciences GE1-350
Acceso en línea:	https://doaj.org/article/e9ea7d93df5449d78a5b195c6e96f1f5
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:e9ea7d93df5449d78a5b195c6e96f1f5
record_format	dspace
spelling	oai:doaj.org-article:e9ea7d93df5449d78a5b195c6e96f1f52021-11-11T19:38:16ZThe Measures of Accuracy of Claim Frequency Credibility Predictor10.3390/su1321119592071-1050https://doaj.org/article/e9ea7d93df5449d78a5b195c6e96f1f52021-10-01T00:00:00Zhttps://www.mdpi.com/2071-1050/13/21/11959https://doaj.org/toc/2071-1050Nowadays, the sustainability risks and opportunities start to affect strongly insurance companies in regard to the resulting additional variability of future values of variables taken into account in the decision processes. This is important especially in the era of sustainable non-life insurance promoting, among others, the use of ecological car engines or ecological systems of building heating. The fundamental issue in non-life insurance is to predict future claims (e.g., the aggregate value of claims or the number of claims for a single policy) in a heterogeneous portfolio of policies taking account of claim experience. For this purpose, the so-called credibility theory is used, which was initiated by the fundamental Bühlmann model modified to the Bühlmann–Straub model. Several modifications of the model have been proposed in the literature. One of them is the development of the relationship between the credibility models and statistical mixed models (e.g., linear mixed models) for longitudinal data. The article proposes the use of the parametric bootstrap algorithm to estimate measures of accuracy of the credibility predictor of the number of claims for a single policy taking into account new risk factors resulting from the emergence of green technologies on the considered market. The predictor is obtained for the model which belongs to the class of Generalised Linear Mixed Models (GLMMs) and which is a generalization of the Bülmann–Straub model. Additionally, the possibility of predicting the number of claims and the problem of the assessment of the prediction accuracy are presented based on a policy characterized by new green risk factor (hybrid motorcycle engine) not previously present in the portfolio. The paper presents the proposed methodology in a case study using real insurance data from the Polish market.Alicja Wolny-DominiakTomasz ŻądłoMDPI AGarticlesustainable insurancemeasures of accuracycredibility predictorGLMMbootstrap estimationEnvironmental effects of industries and plantsTD194-195Renewable energy sourcesTJ807-830Environmental sciencesGE1-350ENSustainability, Vol 13, Iss 11959, p 11959 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	sustainable insurance measures of accuracy credibility predictor GLMM bootstrap estimation Environmental effects of industries and plants TD194-195 Renewable energy sources TJ807-830 Environmental sciences GE1-350
spellingShingle	sustainable insurance measures of accuracy credibility predictor GLMM bootstrap estimation Environmental effects of industries and plants TD194-195 Renewable energy sources TJ807-830 Environmental sciences GE1-350 Alicja Wolny-Dominiak Tomasz Żądło The Measures of Accuracy of Claim Frequency Credibility Predictor
description	Nowadays, the sustainability risks and opportunities start to affect strongly insurance companies in regard to the resulting additional variability of future values of variables taken into account in the decision processes. This is important especially in the era of sustainable non-life insurance promoting, among others, the use of ecological car engines or ecological systems of building heating. The fundamental issue in non-life insurance is to predict future claims (e.g., the aggregate value of claims or the number of claims for a single policy) in a heterogeneous portfolio of policies taking account of claim experience. For this purpose, the so-called credibility theory is used, which was initiated by the fundamental Bühlmann model modified to the Bühlmann–Straub model. Several modifications of the model have been proposed in the literature. One of them is the development of the relationship between the credibility models and statistical mixed models (e.g., linear mixed models) for longitudinal data. The article proposes the use of the parametric bootstrap algorithm to estimate measures of accuracy of the credibility predictor of the number of claims for a single policy taking into account new risk factors resulting from the emergence of green technologies on the considered market. The predictor is obtained for the model which belongs to the class of Generalised Linear Mixed Models (GLMMs) and which is a generalization of the Bülmann–Straub model. Additionally, the possibility of predicting the number of claims and the problem of the assessment of the prediction accuracy are presented based on a policy characterized by new green risk factor (hybrid motorcycle engine) not previously present in the portfolio. The paper presents the proposed methodology in a case study using real insurance data from the Polish market.
format	article
author	Alicja Wolny-Dominiak Tomasz Żądło
author_facet	Alicja Wolny-Dominiak Tomasz Żądło
author_sort	Alicja Wolny-Dominiak
title	The Measures of Accuracy of Claim Frequency Credibility Predictor
title_short	The Measures of Accuracy of Claim Frequency Credibility Predictor
title_full	The Measures of Accuracy of Claim Frequency Credibility Predictor
title_fullStr	The Measures of Accuracy of Claim Frequency Credibility Predictor
title_full_unstemmed	The Measures of Accuracy of Claim Frequency Credibility Predictor
title_sort	measures of accuracy of claim frequency credibility predictor
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/e9ea7d93df5449d78a5b195c6e96f1f5
work_keys_str_mv	AT alicjawolnydominiak themeasuresofaccuracyofclaimfrequencycredibilitypredictor AT tomaszzadło themeasuresofaccuracyofclaimfrequencycredibilitypredictor AT alicjawolnydominiak measuresofaccuracyofclaimfrequencycredibilitypredictor AT tomaszzadło measuresofaccuracyofclaimfrequencycredibilitypredictor
_version_	1718431499235098624

The Measures of Accuracy of Claim Frequency Credibility Predictor

Ejemplares similares