The problem of evaluating the solvency of insurance companies is tackled by means of a non-parametric statistical model, constructed using decision-tree techniques. The model is tested on a sample of Italian non-life insurance companies and its performance over the test period compared with those of linear and quadratic parametric models. In the last part a probabilistic model is proposed focused on classical Risk-Theory and implemented using simulation techniques.
A Review on Statistical and Probabilistic Models for the Control of Insurance Companies / Baione, Fabio; DE ANGELIS, Paolo. - In: INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS. - ISSN 1810-4967. - STAMPA. - 4:(2006), pp. 65-78.
A Review on Statistical and Probabilistic Models for the Control of Insurance Companies
BAIONE, Fabio;DE ANGELIS, Paolo
2006
Abstract
The problem of evaluating the solvency of insurance companies is tackled by means of a non-parametric statistical model, constructed using decision-tree techniques. The model is tested on a sample of Italian non-life insurance companies and its performance over the test period compared with those of linear and quadratic parametric models. In the last part a probabilistic model is proposed focused on classical Risk-Theory and implemented using simulation techniques.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
