Building a type‐2 fuzzy regression model based on credibility theory and its application on arbitrage pricing theory

Wei, Yicheng; Watada, Junzo

doi:10.1002/tee.22297

Cited by 5 publications

(2 citation statements)

References 39 publications

(39 reference statements)

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“…Within these approaches, numerous sub directions exist. Having in mind that we apply Type-2 fuzzy sets in this paper, it would be interesting to compare the obtained results with Type-2 fuzzy regression analysis [56][57][58][59][60][61][62][63].…”

Section: Resultsmentioning

confidence: 99%

Using the Interval Type-2 Fuzzy Inference Systems to Compare the Impact of Speed and Space Perception on the Occurrence of Road Traffic Accidents

et al. 2020

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A constantly increasing number of deaths on roads forces analysts to search for models that predict the driver’s propensity for road traffic accidents (RTAs). This paper aims to examine a relationship between the speed and space assessment capabilities of drivers in terms of their association with the occurrence of RTAs. The method used for this purpose is based on the implementation of the interval Type-2 Fuzzy Inference System (T2FIS). The inputs to the first T2FIS relate to the speed assessment capabilities of drivers. These capabilities were measured in the experiment with 178 young drivers, with test speeds of 30, 50, and 70 km/h. The participants assessed the aforementioned speed values from four different observation positions in the driving simulator. On the other hand, the inputs of the second T2FIS are space assessment capabilities. The same group of drivers took two types of space assessment tests—2D and 3D. The third considered T2FIS sublimates of all previously mentioned inputs in one model. The output in all three T2FIS structures is the number of RTAs experienced by a driver. By testing three proposed T2FISs on the empirical data, the result of the research indicates that the space assessment characteristics better explain participation in RTAs compared to the speed assessment capabilities. The results obtained are further confirmed by implementing a multiple regression analysis.

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Section: Resultsmentioning

confidence: 99%

Using the Interval Type-2 Fuzzy Inference Systems to Compare the Impact of Speed and Space Perception on the Occurrence of Road Traffic Accidents

et al. 2020

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“…where λ = Var[m(Θ)], φ = Es 2 (Θ) and n stands for the number of observations. The greatest accuracy credibility (Bühlmann credibility) has many extensions and generalizations concerning the issues related to the linear estimation and prediction (e.g., [40][41][42]). This allows for its application outside the actuarial science.…”

Section: Methodsmentioning

confidence: 99%

Actuarial Credibility Approach in Adjusting Initial Cost Estimates of Transport Infrastructure Projects

Rokicki

Ostaszewski²

2022

Sustainability

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This paper presents a novel methodology based on the modified actuarial credibility approach. It allows for the adjustment of initial cost estimates of public infrastructure projects by accounting for the additional risk/uncertainty factor. Hence, it offers an interesting alternative to other existing forecasting methods. We test our approach by applying data for over 300 major infrastructure projects implemented in Poland between 2004 and 2020. We prove that, despite its simplicity, the actuarial credibility approach can deliver accurate cost estimates compared to more complex methods such as regression analysis (OLS) or machine learning (LASSO). In particular, we show that, although the forecasting accuracy varies among different project categories, actuarial credibility outperforms other forecasting approaches in the majority of cases. As a result, we argue that actuarial credibility should be considered as a relatively simple tool with very modest data requirements that can be easily applied by investors and policy makers in order to improve project planning and avoid cost overruns.

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Fuzzy regression analysis: Systematic review and bibliography

Chukhrova

Johannssen

2019

Applied Soft Computing

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Building a type‐2 fuzzy regression model based on credibility theory and its application on arbitrage pricing theory

Cited by 5 publications

References 39 publications

Using the Interval Type-2 Fuzzy Inference Systems to Compare the Impact of Speed and Space Perception on the Occurrence of Road Traffic Accidents

Using the Interval Type-2 Fuzzy Inference Systems to Compare the Impact of Speed and Space Perception on the Occurrence of Road Traffic Accidents

Actuarial Credibility Approach in Adjusting Initial Cost Estimates of Transport Infrastructure Projects

Fuzzy regression analysis: Systematic review and bibliography

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