An Estimation of a Hybrid Log-Poisson Regression Using a Quadratic Optimization Program for Optimal Loss Reserving in Insurance
| Autor: | Ronald Waweru Mwangi, Martin Le Doux Mbele Bidima, Apollinaire Woundjiague |
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| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
lcsh:Computer software
Mathematical optimization Control and Optimization Mean squared error Article Subject Regression analysis 02 engineering and technology Expected value 01 natural sciences Defuzzification Fuzzy logic 010104 statistics & probability Computational Mathematics lcsh:QA76.75-76.765 Goodness of fit Control and Systems Engineering 0202 electrical engineering electronic engineering information engineering Fuzzy number 020201 artificial intelligence & image processing Quadratic programming lcsh:Electrical engineering. Electronics. Nuclear engineering 0101 mathematics lcsh:TK1-9971 Mathematics |
| Zdroj: | Advances in Fuzzy Systems, Vol 2019 (2019) |
| ISSN: | 1687-7101 |
| DOI: | 10.1155/2019/1393946 |
| Popis: | In this article, we are interested in developing an alternative estimation method of the parameters of the hybrid log-Poisson regression model. In our previous paper, we have proposed a hybrid log-Poisson regression model where we have derived the analytical expression of the fuzzy parameters. We found that the hybrid model provide better results than the classical log-Poisson regression model according to the mean square error prediction and the goodness of fit index. However, nowhere we have taken into account the optimal value of h(α-cut) which is of greatest importance in fuzzy regressions literature. In this paper, we provide an alternative estimation method of our hybrid model using a quadratic optimization program and the optimized h-value (α-cut). The expected value of fuzzy number is used as a defuzzification procedure to move from fuzzy values to crisp values. We perform the hybrid model with the alternative estimation we are suggesting on two different numerical data to predict incremental payments in loss reserving. From the mean square error prediction, we prove that the alternative estimation of the new hybrid model with an optimized h-value predicts incremental payments better than the classical log-Poisson regression model as well as the same hybrid model with analytical estimation of parameters. Hence we have optimized the outstanding loss reserves. |
| Databáze: | OpenAIRE |
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