Artikel
Concordance probability for insurance pricing models
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 pricing of a non-life insurance product. For the frequency model, the need of two different groups is tackled by defining three new types of the concordance probability. Secondly, these adapted definitions deal with the concept of exposure, which is the duration of a policy or insurance contract. Frequency data typically have a large sample size and therefore we present two fast and accurate estimation procedures for big data. Their good performance is illustrated on two real-life datasets. Upon these examples, we also estimate the concordance probability developed for severity models.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 9 ; Year: 2021 ; Issue: 10 ; Pages: 1-26 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
C-index
clustering
efficient algorithm
frequency
performance measure
severity
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ponnet, Jolien
Van Oirbeek, Robin
Verdonck, Tim
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2021
- DOI
-
doi:10.3390/risks9100178
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Ponnet, Jolien
- Van Oirbeek, Robin
- Verdonck, Tim
- MDPI
Entstanden
- 2021
Ähnliche Objekte (12)
Asymptotically normal estimators of the ruin probability for Lévy insurance surplus from discrete samples
Probability of default and default correlations
Sound deposit insurance pricing using a machine learning approach
A model of protocoalition bargaining with breakdown probability
Credit rating and pricing: Poles apart
Asymptotic expansion of risk-neutral pricing density
Validation of corporate probability of default models considering alternative use cases
Quantifying correlation uncertainty risk in credit derivatives pricing
Survey of green bond pricing and investment performance
Crypto-coins and credit risk: Modelling and forecasting their probability of death
Catastrophe insurance modeled by shot-noise processes
Monopolistic insurance and the value of information
Asymptotically normal estimators of the ruin probability for Lévy insurance surplus from discrete samples
Probability of default and default correlations
Sound deposit insurance pricing using a machine learning approach
A model of protocoalition bargaining with breakdown probability
Credit rating and pricing: Poles apart
Asymptotic expansion of risk-neutral pricing density
Validation of corporate probability of default models considering alternative use cases
Quantifying correlation uncertainty risk in credit derivatives pricing
Survey of green bond pricing and investment performance
Crypto-coins and credit risk: Modelling and forecasting their probability of death
Catastrophe insurance modeled by shot-noise processes
Monopolistic insurance and the value of information
Asymptotically normal estimators of the ruin probability for Lévy insurance surplus from discrete samples
Probability of default and default correlations
Sound deposit insurance pricing using a machine learning approach
A model of protocoalition bargaining with breakdown probability
Credit rating and pricing: Poles apart
Asymptotic expansion of risk-neutral pricing density
Validation of corporate probability of default models considering alternative use cases
Quantifying correlation uncertainty risk in credit derivatives pricing
Survey of green bond pricing and investment performance
Crypto-coins and credit risk: Modelling and forecasting their probability of death
Catastrophe insurance modeled by shot-noise processes