Optimizing insurance risk assessment: a regression model based on a risk-loaded approach
Zinoviy Landsman,
Tomer Shushi
Abstract:Risk measurement and econometrics are the two pillars of actuarial science. Unlike econometrics, risk measurement allows taking into account decision-makers’ risk aversion when analyzing the risks. We propose a hybrid model that captures decision-makers’ regression-based approach to study risks, focusing on explanatory variables while paying attention to risk severity. Our model considers different loss functions that quantify the severity of the losses that are provided by the risk manager or the actuary. We … Show more
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