Herramientas estadisticas para el estudio de perfiles de riesgo
AbstractIn this paper it is illustrated, in a practical way, the use of three tools that permit the actuary to define tariff groups and to estimate risk premiums in the class-rating process for non-life insurance. The first is the segmentation analysis (CHAID and XAID) used firstly at 1997 by UNESPA in its common portfolio of automobiles. The second is a stepwise selection process with the distance-based regression model. And the third is a process with the well known generalized linear regression model, which represents the most modern technique in the actuarial bibliography. From the later, if we combine different link functions and error distributions, we can obtain the classical additive and multiplicative models.
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Bibliographic InfoPaper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 88.
Length: 33 pages
Date of creation: 2002
Date of revision:
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Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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