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Statistical Learning Algorithms Applied to Automobile Insurance Ratemaking

In: Intelligent And Other Computational Techniques In Insurance Theory and Applications

Author

Listed:
  • C. Dugas

    (Department of Computer Science and Operations Research, Université of Montréal, CP 6128 succ Centre Ville, Montreal Quebec H3C 3J7, Canada)

  • Y. Bengio

    (Department of Computer Science and Operations Research, Université of Montréal, CP 6128 succ Centre Ville, Montreal Quebec H3C 3J7, Canada)

  • N. Chapados

    (Department of Computer Science and Operations Research, Université of Montréal, CP 6128 succ Centre Ville, Montreal Quebec H3C 3J7, Canada)

  • P. Vincent

    (Department of Computer Science and Operations Research, Université of Montréal, CP 6128 succ Centre Ville, Montreal Quebec H3C 3J7, Canada)

  • G. Denoncourt

    (Alpha Compagnie d'Assurances Inc, 430 St-Georges, Drummondville QC J2C 4H4, Canada)

  • C. Fournier

    (Insurance Corporation of British Columbia, 151 West Esplanade, North Vancouver British Columbia V7M 3H9, Canada)

Abstract

The following sections are included:IntroductionConcepts of Statistical Learning TheoryHypothesis Testing: an ExampleParameter Optimization: an ExampleMathematical ObjectivesThe Precision CriterionThe Fairness CriterionMethodologyModelsConstant ModelLinear ModelTable-Based MethodsGreedy Multiplicative ModelGeneralized Linear ModelCHAID Decision TreesCombination of CHAID and Linear ModelOrdinary Neural NetworkHow Can Neural Networks Represent Nonlinear Interactions?Softplus Neural NetworkRegression Support Vector MachineMixture ModelsExperimental ResultsMean-Squared Error ComparisonsEvaluating Model FairnessComparison with Current PremiumsApplication to Risk Sharing Pool FacilitiesConclusionAppendixReferences

Suggested Citation

  • C. Dugas & Y. Bengio & N. Chapados & P. Vincent & G. Denoncourt & C. Fournier, 2003. "Statistical Learning Algorithms Applied to Automobile Insurance Ratemaking," World Scientific Book Chapters, in: A F Shapiro & L C Jain (ed.), Intelligent And Other Computational Techniques In Insurance Theory and Applications, chapter 4, pages 137-197, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812794246_0004
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    Citations

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    Cited by:

    1. Omerašević Amela & Selimović Jasmina, 2020. "Classification Ratemaking Using Decision Tree in the Insurance Market of Bosnia and Herzegovina," South East European Journal of Economics and Business, Sciendo, vol. 15(2), pages 124-139, December.
    2. Riccardo Borgoni & Andrea Gilardi & Diego Zappa, 2021. "Assessing the Risk of Car Crashes in Road Networks," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 156(2), pages 429-447, August.
    3. Amela Omeraševiæ & Jasmina Selimoviæ, 2020. "Risk factors selection with data mining methods for insurance premium ratemaking," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 38(2), pages 667-696.

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