低信噪比下的等压再校准

IF 1.6 3区经济学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Scandinavian Actuarial Journal Pub Date : 2023-08-17 DOI:10.1080/03461238.2023.2246743

Mario V. Wüthrich, Johanna Ziegel

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引用次数: 0

摘要

保险定价系统应实现自动校准特性，以确保不同价格组之间不存在系统性的交叉融资。通常，回归模型不是自动校准的。我们建议将等压再校准应用于给定的回归模型以恢复自动校准。我们的主要结果证明，在低信噪比下，这种等压再校准步骤导致一个可解释的定价系统，因为所得的等压再校准回归函数具有较低的复杂性。

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Isotonic recalibration under a low signal-to-noise ratio

Insurance pricing systems should fulfill the auto-calibration property to ensure that there is no systematic cross-financing between different price cohorts. Often, regression models are not auto-calibrated. We propose to apply isotonic recalibration to a given regression model to restore auto-calibration. Our main result proves that under a low signal-to-noise ratio, this isotonic recalibration step leads to an explainable pricing system because the resulting isotonically recalibrated regression function has a low complexity.

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来源期刊

Scandinavian Actuarial Journal MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

3.30

自引率

11.10%

发文量

审稿时长

>12 weeks

期刊介绍： Scandinavian Actuarial Journal is a journal for actuarial sciences that deals, in theory and application, with mathematical methods for insurance and related matters. The bounds of actuarial mathematics are determined by the area of application rather than by uniformity of methods and techniques. Therefore, a paper of interest to Scandinavian Actuarial Journal may have its theoretical basis in probability theory, statistics, operations research, numerical analysis, computer science, demography, mathematical economics, or any other area of applied mathematics; the main criterion is that the paper should be of specific relevance to actuarial applications.