Events Calendar

Colloquium Talk - Dr. Chengguo Wen

Thursday, May 25, 2017
3:30 pm
Western Science Centre (WSRC)
Room: 248

Colloquium Talk given by Dr. Chengguo Weng from the Department of Statistics and Actuarial Sciences at the University of Waterloo.

Topic - Regression Tree Credibility Model

Credibility theory is one of the cornerstones in actuarial science and has been widely applied for insurance premium prediction. In this talk I will introduce our research for an SOA-funded project jointly with Dr. Liqun Diao (University of Waterloo). We bring regression trees techniques into the credibility theory and propose a novel credibility premium formula, which we call regression tree credibility (RTC) premium. The proposed RTC method first recursively binary partitions a collective of individual risks into exclusive sub-collectives using a regression tree algorithm based on credibility loss, and then applies the classical Buhlmann-Straub credibility formula to predict individual net premiums within each sub-collective. The proposed method e ectively predicts individual net premiums by incorporating covariate information in a very exible way, and it is particularly appealing to capture various non-linear covariates effects and/or interaction effects because no specific regression form needs to be prespecified in the method. Our proposed RTC method automatically selects in uential
covariate variables for premium prediction with no additional ex ante variable selection procedure required. The superiority in prediction accuracy of the proposed RTC model is demonstrated by extensive simulation studies.

Jiandong Ren
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