Sains Malaysiana
37(4): 413-420 (2008)
Construction of Insurance Scoring System using Regression
Models
(Pembinaan
Sistem Skor Insurans melalui Model Regresi)
Noriszura
Ismail & Abdul Aziz Jemain
Pusat
Pengajian Sains Matematik
Fakulti
Sains dan Teknologi, Universiti Kebangsaan Malaysia
43600
UKM Bangi, Selangor D.E. Malaysia
Received
: 26 September 2007 / Accepted: 4 January 2008
ABSTRACT
This
study suggests the regression models of Lognormal, Normal
and Gamma for the construction of an insurance scoring system.
Comparison between Lognormal, Normal and Gamma regression
models were also carried out, and the comparison were centered
upon three main elements; fitting procedures, parameter
estimates and structure of scores. The main advantage of
utilizing a scoring system is that the system may be used
by insurers to differentiate between good and bad insureds
and thus allowing the profitability of insureds to be predicted.
Keywords:
Profitability; regression models; scoring system
ABSTRAK
Model
regresi Lognormal, Normal dan Gamma dicadang untuk membina
suatu sistem skor insurans. Perbandingan di antara model
regresi Lognormal, Normal dan Gamma juga dilaksanakan, dan
perbandingan ini tertumpu kepada tiga elemen utama; prosedur
penyuaian, penganggar parameter dan struktur skor. Kelebihan
utama sistem skor adalah ia boleh diterap oleh syarikat
insurans untuk membezakan insud yang baik dan kurang baik
dan membenarkan peramalan keberuntungan insud dilakukan.
Kata
kunci: Keberuntungan; model regresi; sistem skor
REFERENCES/RUJUKAN
Anderson, D., Feldblum, S., Modlin, C., Schirmacher, D., Schirmacher,
E. & Thandi, N. 2004. A practitioner’s guide to generalized
linear models. Casualty Actuarial Society Discussion
Paper Program, 1-115.
Brockman, M.H. & Wright, T.S. 1992. Statistical motor rating: Making
effective use of your data. Journal of the Institute
of Actuaries 119(3):
457-543.
Coutts, S.M. 1984. Motor insurance rating, an actuarial approach. Journal
of the Institute of Actuaries 111:
87-148.
Dobson, A.J. 2002. An introduction to generalized
linear models (2nd. edition). New York: Chapman
& Hall.
Ismail, N. & Jemain, A.A. 2005. Bridging minimum
bias and maximum likelihood methods through weighted equation.
Casualty Actuarial Society Forum Spring: 367-394.
Ismail, N. & Jemain, A.A. 2007. Handling overdispersion
with Negative Binomial and Generalized Poisson regression
models. Casualty Actuarial Society Forum Winter:
103-158.
Karlis, D. & Rahmouni, M. 2007. Analysis of defaulters’
behavior using the Poisson-mixture approach. IMA Journal
of Management Mathematics 18: 297-311.
Lawrence, B. 1996. Motor insurance in Singapore. In
Low Chan Kee (ed.). Actuarial and insurance practices
in Singapore. pp. 191-216. Singapore: Addison-Wesley.
McCullagh, P. & Nelder, J.A. 1989. Generalized
Linear Model (second edition). London: Chapman &
Hall.
Mildenhall, S.J. 1999. A systematic relationship between
minimum bias and generalized linear models. Proceedings
of the Casualty Actuarial Society 86(164): 93-487.
Miller, M.J. & Smith, R.A. 2003. The relationship
of credit-based insurance scores to private passenger automobile
insurance loss propensity. Presentation to NAIC.
July, 2003.
Vojtek, M. & Kocenda, E. 2006. Credit scoring
models. Czech Journal of Economics and Finance 56(3-4):
152-167.
Wu, C.P. & Lucker, J.R. 2004. A view inside the
Black Box: A review and analysis of personal lines insurance
credit scoring models filed in the state of Virginia. Casualty
Actuarial Society Forum Winter: 251-290.
Wu, C.P. & Guszcza, J.C. 2004. Does credit score
really explain in losses? Multivariate analysis from a data
mining point of view. Casualty Actuarial Society Forum
Winter: 113-138.