Estimation of Generalized Linear Models Using Bayesian Approach in Actuarial Modeling

Authors

  • Петро Іванович Бідюк NTUU KPI, Ukraine
  • Світлана Віталіївна Трухан NTUU KPI, Ukraine

DOI:

https://doi.org/10.20535/1810-0546.2014.6.57738

Keywords:

Bayesian parameter estimation, Generalized linear model, Actuarial modeling, Forecasting loss in insurance

Abstract

The article deals with Bayesian methodology for estimating unknown parameters of mathematical models and the method of analysis statistic data in insurance based on generalized linear models. These models are extension of linear regression when distribution of random variable can differ from normal. For estimating the parameters of proposed models classical and Bayesian approach were used. The main advantage of Bayesian approach is its ability to generate not only accurate estimates but probability distributions too. It gives the opportunity to describe in details the structure and the nature of investigated models. The value of damages in autoinsurance were hired for creating the forecasting model of actuarial process. The model with Poisson distribution and an exponential link function turned out to be acceptable for further use because it has minimum value of observation error and reliable estimate for risk value which was received using Bayesian approach. A normal model with identity link function allows to generate a result after one iteration with small value of observation error but “weak” predicted value of losses and poor risk assessment.

 

Author Biographies

Петро Іванович Бідюк, NTUU KPI

Bidyuk Petro I., doctor of engineering, professor at the Institute for Applied System Analysis

Світлана Віталіївна Трухан, NTUU KPI

Trukhan Svitlana V., postgraduate student at the Institute for Applied System Analysis

References

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Published

2014-12-26

Issue

Section

Art