An Estimation of a Hybrid Log-Poisson Regression Using a Quadratic Optimization Program for Optimal Loss Reserving in Insurance
Joint Authors
Woundjiagué, Apollinaire
Mbele Bidima, Martin Le Doux
Waweru Mwangi, Ronald
Source
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-06-16
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Woundjiagué, Apollinaire& Mbele Bidima, Martin Le Doux& Waweru Mwangi, Ronald. 2019. An Estimation of a Hybrid Log-Poisson Regression Using a Quadratic Optimization Program for Optimal Loss Reserving in Insurance. Advances in Fuzzy Systems،Vol. 2019, no. 2019, pp.1-14.
https://search.emarefa.net/detail/BIM-1118021
Modern Language Association (MLA)
Woundjiagué, Apollinaire…[et al.]. An Estimation of a Hybrid Log-Poisson Regression Using a Quadratic Optimization Program for Optimal Loss Reserving in Insurance. Advances in Fuzzy Systems No. 2019 (2019), pp.1-14.
https://search.emarefa.net/detail/BIM-1118021
American Medical Association (AMA)
Woundjiagué, Apollinaire& Mbele Bidima, Martin Le Doux& Waweru Mwangi, Ronald. An Estimation of a Hybrid Log-Poisson Regression Using a Quadratic Optimization Program for Optimal Loss Reserving in Insurance. Advances in Fuzzy Systems. 2019. Vol. 2019, no. 2019, pp.1-14.
https://search.emarefa.net/detail/BIM-1118021
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1118021