Оцінювання параметрів узагальнених лінійних моделей в аналізі актуарних ризиків

• Main Authors: Panibratov, Roman, Bidyuk, Petro
• Format: Article
• Language: English
• Published: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2023
• Subjects: актуарний ризик; узагальнені лінійні моделі; імітаційне моделювання; експоненційна множина розподілів; ітеративно-рекруентно зважуваний метод найменших квадратів; метод Adam; метод Монте-Карло для марківських ланцюгів; actuarial risk; generalized linear models; simulation modeling; exponential family of distributions; iterative-recursive weighted least squares method; Adam method; Monte Carlo method for Markov chains
• Online Access: http://journal.iasa.kpi.ua/article/view/285518

Methods of estimating the parameters of generalized linear models for the case of paying insurance premiums to clients are considered. The iterative-recursive weighted least squares method, the Adam optimization algorithm, and the Monte Carlo method for Markov chains were implemented. Insurance indicators and the target variable were randomly generated due to the problem of public access to insurance data. For the latter, the normal and exponential law of distribution and the Pareto distribution with the corresponding link functions were used. Based on the quality metrics of model learning, conclusions were made regarding their construction quality.