[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/bla/jrinsu/v70y2003i4p665-699.html
   My bibliography  Save this article

Applications of Fuzzy Regression in Actuarial Analysis

Author

Listed:
  • Jorge De Andrés Sánchez
  • Antonio Terceño Gómez
Abstract
In this article, we propose several applications of fuzzy regression techniques for actuarial problems. Our main analysis is motivated, on the one hand, by the fact that several articles in the financial and actuarial literature suggest using fuzzy numbers to model interest rate uncertainty but do not explain how to quantify these rates with fuzzy numbers. Likewise, actuarial literature has recently focused some of its attention in analyzing the Term Structure of Interest Rates (TSIR) because this is a key instrument for pricing insurance contracts. With these two ideas in mind, we show that fuzzy regression is suitable for adjusting the TSIR and discuss how to apply a fuzzy TSIR when pricing life insurance contracts and property‐liability policies. Finally, we reflect on other actuarial applications of fuzzy regression and develop with this technique the London Chain Ladder Method for obtaining Incurred But Not Reported Reserves.

Suggested Citation

  • Jorge De Andrés Sánchez & Antonio Terceño Gómez, 2003. "Applications of Fuzzy Regression in Actuarial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 665-699, December.
    • Handle: RePEc:bla:jrinsu:v:70:y:2003:i:4:p:665-699
    DOI: 10.1046/j.0022-4367.2003.00070.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1046/j.0022-4367.2003.00070.x
    Download Restriction: no
    File URL: https://libkey.io/10.1046/j.0022-4367.2003.00070.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Chambers, Donald R. & Carleton, Willard T. & Waldman, Donald W., 1984. "A New Approach to Estimation of the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(3), pages 233-252, September.
    2. England, Peter & Verrall, Richard, 1999. "Analytic and bootstrap estimates of prediction errors in claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 281-293, December.
    3. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
    4. Mack, Thomas, 1993. "Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 213-225, November.
    5. J. David Cummins & Richard Derrig, 1997. "Fuzzy Financial Pricing of Property-Liability Insurance," North American Actuarial Journal, Taylor & Francis Journals, vol. 1(4), pages 21-40.
    6. Yong Yao, 1999. "Term Structure Models: A Perspective from the Long Rate," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(3), pages 122-138.
    7. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-830, June.
    8. Jacques Carriere, 1999. "Long-Term Yield Rates for Actuarial Valuations," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(3), pages 13-22.
    9. Delbaen, F. & Lorimier, Sabine, 1992. "Estimation of the yield curve and the forward rate curve starting from a finite number of observations," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 259-269, December.
    10. England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(3), pages 443-518, August.
    11. Renshaw, A.E. & Verrall, R.J., 1998. "A Stochastic Model Underlying the Chain-Ladder Technique," British Actuarial Journal, Cambridge University Press, vol. 4(4), pages 903-923, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Apaydin, Aysen & Baser, Furkan, 2010. "Hybrid fuzzy least-squares regression analysis in claims reserving with geometric separation method," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 113-122, October.
    2. Koissi, Marie-Claire & Shapiro, Arnold F., 2006. "Fuzzy formulation of the Lee-Carter model for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 287-309, December.
    3. Morillas, Antonio & Díaz, Bárbara, 2007. "Qualitative Answering Surveys And Soft Computing," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 3-19, May.
    4. G. Maarten Bonnema, 2011. "Insight, innovation, and the big picture in system design," Systems Engineering, John Wiley & Sons, vol. 14(3), pages 223-238, September.
    5. Smimou, Kamal, 2006. "Estimation of Canadian commodity market risk premiums under price limits: Two-phase fuzzy approach," Omega, Elsevier, vol. 34(5), pages 477-491, October.
    6. Heberle, Jochen & Thomas, Anne, 2014. "Combining chain-ladder claims reserving with fuzzy numbers," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 96-104.
    7. de Andres-Sanchez, Jorge, 2007. "Claim reserving with fuzzy regression and Taylor's geometric separation method," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 145-163, January.
    8. Shapiro, Arnold F., 2004. "Fuzzy logic in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 399-424, October.
    9. Berry-Stölzle, Thomas R. & Koissi, Marie-Claire & Shapiro, Arnold F., 2010. "Detecting fuzzy relationships in regression models: The case of insurer solvency surveillance in Germany," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 554-567, June.
    10. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.
    11. Brychykova, A., 2019. "Capital Asset Pricing Model Using Fuzzy Data and Application for the Russian Stock Market," Journal of the New Economic Association, New Economic Association, vol. 43(3), pages 58-77.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gian Paolo Clemente & Nino Savelli & Diego Zappa, 2019. "Modelling Outstanding Claims with Mixed Compound Processes in Insurance," International Business Research, Canadian Center of Science and Education, vol. 12(3), pages 123-138, March.
    2. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020. "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers 2008.07564, arXiv.org.
    3. Liivika Tee & Meelis Käärik & Rauno Viin, 2017. "On Comparison of Stochastic Reserving Methods with Bootstrapping," Risks, MDPI, vol. 5(1), pages 1-21, January.
    4. Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.
    5. Julian Manzano & Jorgen Blomvall, 2004. "Positive forward rates in the maximum smoothness framework," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 221-232.
    6. Verrall, R.J. & England, P.D., 2005. "Incorporating expert opinion into a stochastic model for the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 355-370, October.
    7. England, P.D. & Verrall, R.J. & Wüthrich, M.V., 2019. "On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 74-88.
    8. Verdonck, T. & Debruyne, M., 2011. "The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 85-98, January.
    9. Lin, Bing-Huei, 1999. "Fitting the term structure of interest rates for Taiwanese government bonds," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 331-352, November.
    10. Pitselis, Georgios & Grigoriadou, Vasiliki & Badounas, Ioannis, 2015. "Robust loss reserving in a log-linear model," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 14-27.
    11. Urs Beer, 1990. "Eine Methode zur Schätzung der Zinsstruktur in der Schweiz," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 126(I), pages 39-50, March.
    12. Ram Bhar & Carl Chiarella, 1996. "Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data," Working Paper Series 70, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    13. Damir Filipovi'c & Sander Willems, 2016. "Exact Smooth Term-Structure Estimation," Papers 1606.03899, arXiv.org, revised Aug 2018.
    14. Steinmetz, Julia & Jentsch, Carsten, 2024. "Bootstrap consistency for the Mack bootstrap," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 83-121.
    15. C. Emre Alper & Aras Akdemir & Kazim Kazimov, 2004. "Estimating the Term Structure of Government Securities in Turkey," Working Papers 2004/03, Bogazici University, Department of Economics.
    16. Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
    17. Clark, Ephraim & Lakshmi, Geeta, 2004. "Sovereign debt and the cost of migration: India 1990-1992," Journal of Asian Economics, Elsevier, vol. 15(1), pages 111-134, February.
    18. Bing-Huei Lin, 2002. "Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds," Applied Financial Economics, Taylor & Francis Journals, vol. 12(1), pages 57-75.
    19. Damir Filipović & Sander Willems, 2016. "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series 16-38, Swiss Finance Institute.
    20. Peters, Gareth W. & Targino, Rodrigo S. & Wüthrich, Mario V., 2017. "Full Bayesian analysis of claims reserving uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 41-53.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jrinsu:v:70:y:2003:i:4:p:665-699. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/ariaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.