ENBIS-16 in Sheffield
11 – 15 September 2016; Sheffield
Abstract submission: 20 March – 4 July 2016
Tree-Based Methods for (Life) Insurance and Some Considerations about Statistics and Actuarial Mathematics
14 September 2016, 10:30 – 10:50
- Submitted by
- Walter Olbricht
- Walter Olbricht (University of Bayreuth)
- Statistics and actuarial mathematics share a lot of common ground. However, there are also obvious differences. Data sets in the field of insurance tend to be very large so that sampling aspects and random errors are not of prime concern. On the other hand they are typically heterogeneous so that substructures matter. Furthermore, frequently contextual knowledge (such as shifts in legislation which had effects in the data) is available which could - and should - be incorporated. Similar features seem to occur in many business applications.
The talk analyses this background and suggests tree-based methods as an interesting statistical tool even for the classical field of life insurance. In particular a “hybrid” approach (using regression trees for a classification situation) is proposed. The main advantage of this approach is its ease of interpretability and its inherent transparency.
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