ANALYSIS OF DATA UNCERTAINTIES IN MODELING AND FORECASTING OF ACTUARIAL PROCESSES
DOI:
https://doi.org/10.15588/1607-3274-2024-2-5Keywords:
actuarial risk, generalized linear models, optimal Kalman filter, exponential family of distributions, simulation, iterative-recursive weighted least squares method, Adam method, Monte Carlo for Markov chainsAbstract
ABSTRACT Context. Analysis of data uncertainties in modeling and forecasting of actuarial processes is very important issue because it allows actuaries to efficiently construct mathematical models and minimize insurance risks considering different situations.
Objective. The goal of the following research is to develop an approach that allows for predicting future insurance payments with prior minimization of possible statistical data uncertainty.
Method. The proposed method allows for the implementation of algorithms for estimating the parameters of generalized linear models with the preliminary application to data of the optimal Kalman filter. The results demonstrated better forecast results and more adequate model structures. This approach was applied successfully to the simulation procedure of insurance data. For generating insurance dataset the next features of clients were used: age; sex; body mass index (applying normal distribution); number of children (between 0 and 5); smoker status; region (north, east, south, west, center); charges. For creating the last feature normal distribution with known variance and a logarithmic function, exponential distribution with the identity link function and Pareto distribution with a known scale parameter and a negative linear function were used.
Results. The proposed approach was implemented in the form of information processing system for solving the problem of predicting insurance payments based on insurance data and with taking into account the noise of the data.
Conclusions. The conducted experiments confirmed that the proposed approach allows for more adequate model constructing and accurate forecasting of insurance payments, which is important point in the analysis of actuarial risks. The prospects for further research may include the use of this approach proposed in other fields of insurance related to availability of actuarial risk. A specialized intellectual decision support system should be designed and implemented to solve the problem by using actual insurance data from real world in online mode as well as modern information technologies and intellectual data analysis.
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