Variance Papers Published July 25 - August 12
Two new papers have been published on the Variance website:
“Market-Based Model Selection with an Application in Commercial Auto Ratemaking”
By Brian Hartman, Chris Dixon, and Alisa Walch
The authors develop a market-based model selection procedure which incorporates the goals of the business and apply it to commercial auto insurance.
“A Wrinkle in Target: Why You Should Not Apply Actuarial Trend to Your GLM Target Variable”
By Gyasi Dapaa
Trending the target loss variable with an actuarial trend rate creates predictive biases. More effective is to model untrended loss target variable on a trend term and risk covariates.