Concordance Probability for Insurance Pricing Models

Risks

Robin Van Oirbeek¹  Tim Verdonck²  Jolien Ponnet² 

[1] Data Office, Allianz Benelux, 1000 Brussels, Belgium;Department of Mathematics, Katholieke Universiteit Leuven, 3000 Leuven, Belgium;

关键词: C-index;    performance measure;    efficient algorithm;    frequency;    severity;    clustering;   

DOI  :  10.3390/risks9100178

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown