Implementing PLS for distance-based regression: computational issues

Distance-based regression allows for a neat implementation of the Partial Least Squares recurrence. In this paper we address practical issues arising when dealing with moderately large datasets (n ~ 10^4) such as those typical of automobile insurance premium calculations

IMPLEMENTING PLS FOR DISTANCE-BASED REGRESSION: COMPUTATIONAL ISSUES

Distance-based regression allows for a neat implementation of the Partial Least Squares recurrence. In this paper we address practical issues arising when dealing with moderately large datasets (n ~ 104) such as those typical of automobile insurance premium calculations.

Bootstrapping pairs in Distance-Based Regression

Distance-based regression is a prediction method consisting of two steps: from distances between observations we obtain latent variables which, in turn, are the regressors in an ordinary least squares linear model. Distances are computed from actually observed predictors by means of a suitable dissimilarity function. Being in general nonlinearly related with the response their selection by the usual F tests is unavailable. In this paper we propose a solution to this predictor selection problem, by defining generalized test statistics and adapting a non-parametric bootstrap method to estimate their p-values. We include a numerical example with automobile insurance data.non-parametric bootstrap, automobile insurance data, predictors selection, distance-based regression

Reverse mortgage and financial sustainability

This paper analyzes the effects that contracting a reverse mortgage has on the finances of families of a country or group whose members who aged 65 or older are the sole owners of the 100% of the property, regardless of the receipt of a retirement pension. For this purpose, an economic-financial model based on the life cycle model is defined, which considers a double source of randomness: mortality and dependence of family members. Long-term effects are measured using probabilistic, temporal and monetary indicators. For each country, the model must be adapted according to the legal framework for retirement and long-term care benefits and for the actuarial mortality and long-term care tables. As an illustration, this model was applied on Spanish families using data from the Spanish Survey of Household Finances 2017. The results obtained indicate that a family in Spain that meets the conditions for contracting a reverse mortgage sees, on average, an increase in its initial income and a decrease in both its probability of having liquidity problems in the future and the value of this lack of liquidity. It is also concluded that family composition influences the magnitude of these positive effects

Role of Private Long-Term Care Insurance in Financial Sustainability for an Aging Society

This work analyzes and quantifies the significance of private long-term care insurance for the elderly in protecting families from the increased expenses derived from dependency. We propose an economic and financial model for consumption and income deficit evolution. Survival/dependency are modeled by a Markov process with stochastic simulation techniques to obtain random variable distributions. Based on the Spanish survey of household finances data, Spanish families are classified using a cluster analysis for the wealth decumulation period. The conclusion is that, for a generic family, hiring long-term care insurance causes a significant reduction in the probability of lack of liquidity, the mean first time of lack of liquidity (if it occurs), and the mean present value of overall liquidity needs. It is also observed that there are important di erences between these impacts on different groups of families. These results show that hiring long-term care insurance would considerably lower financial problems in the decumulation period

Prácticas de Visual Basic aplicado al cálculo actuarial

[eng] This publication includes three examples of application of the Visual Basic programming language to actuarial and financial calculus. It contains the material of practical classes of the course Visual Basic aplicat al càlcul actuarial organized by the Departament de Matemàtica Econòmica, Financera i Actuarial of the Universitat de Barcelona. The objective is a docent one, so the programs included have been elaborated in a didactical way.[cat] Aquesta publicació inclou tres exemples d'aplicació del llenguatge de programació Visual Basic al càlcul actuarial i financer. Conté el material de les clases pràctiques del curs Visual Basic aplicat al càlcul actuarial organitzat pel Departament de Matemàtica Econòmica, Financera i Actuarial de la Universitat de Barcelona. L'objectiu del text és docent, llavors els programes inclosos han estat elaborats de manera didàctica.[spa] Esta publicación incluye tres ejemplos de aplicación del lenguaje de programación Visual Basic al cálculo actuarial y financiero. Contiene el material de las clases prácticas del curso Visual Basic aplicat al càlcul actuarial organizado por el Departamento de Matemàtica Econòmica, Financera i Actuarial de la Universitat de Barcelona. El objetivo del texto es docente, de forma que los programas han sido elaborados de manera didáctica

Tarificación y provisiones

Esta publicación constituye un material de apoyo para la impartición y estudio de la asignatura Matemática Actuarial del Máster de Ciencias Actuariales y Financieras de la Universidad de Barcelona (UB). Tiene su origen en la experiencia de las autoras dentro de la asignatura Matemática Actuarial No Vida de la ya extinta Licenciatura de segundo ciclo en Ciencias Actuariales y Financieras de la UB y recoge parte del material incluido en la publicación que se utilizaba en dicha asignatura, Claramunt, M.M. y Costa, T. (2003). Matemática Actuarial No Vida. Un enfoque práctico. Colección de Publicaciones del Departamento de Matemática Económica, Financiera y Actuarial de la Universidad de Barcelona, n. 63. La publicación se estructura en dos partes.La primera, con dos capítulos, se dedica a los sistemas de tarificación, profundizando en los sistemas conocidos como Bonus-Malus que cumplen las propiedades necesarias para ser analizados mediante cadenas de Markov. La segunda, incluye el cálculo de provisiones en los seguros no-vida, haciendo hincapié en los modelos estocásticos que proporcionan no sólo una estimación puntual de dichas provisiones, sino también del error que lleva asociado y en determinados casos, incluso permiten obtener toda la distribución para dichas provisiones. En todos los temas, la publicación incluye, junto con los desarrollos teóricos, numerosos ejemplos prácticos solucionados analíticamente y con el lenguaje de programación R ([R Development Core Team (2017)])), utilizando paquetes ya existentes y programas de elaboración propia. También se incluyen enunciados de ejercicios sin resolver

Herramientas estadisticas para el estudio de perfiles de riesgo

In this paper it is illustrated, in a practical way, the use of three tools that permit the actuary to define tariff groups and to estimate risk premiums in the class-rating process for non-life insurance. The first is the segmentation analysis (CHAID and XAID) used firstly at 1997 by UNESPA in its common portfolio of automobiles. The second is a stepwise selection process with the distance-based regression model. And the third is a process with the well known generalized linear regression model, which represents the most modern technique in the actuarial bibliography. From the later, if we combine different link functions and error distributions, we can obtain the classical additive and multiplicative models.segmentation analysis, risk profiles, class-rating, non-life insurance, models, generalized linear models, distance-based, credibility models