Estimation of the parameters of generalized linear models in the analysis of actuarial risks

Authors

  • Roman Panibratov Educational and Research Institute for Applied System Analysis of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv, Ukraine https://orcid.org/0000-0002-8604-4420
  • Petro Bidyuk Educational and Research Institute for Applied System Analysis of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv, Ukraine https://orcid.org/0000-0002-7421-3565

DOI:

https://doi.org/10.20535/SRIT.2308-8893.2023.2.10

Keywords:

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

Abstract

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.

Author Biographies

Roman Panibratov, Educational and Research Institute for Applied System Analysis of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv

Ph.D. student at Educational and Research Institute for Applied System Analysis of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv, Ukraine.

Petro Bidyuk, Educational and Research Institute for Applied System Analysis of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv

Doctor of Technical Sciences, a professor at the Department of Mathematical Methods of System Analysis of Educational and Research Institute for Applied System Analysis of the National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute", Kyiv, Ukraine.

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Published

2023-06-30

Issue

Section

Mathematical methods, models, problems and technologies for complex systems research