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arXiv · 1806.06853

A Hybrid Fuzzy Regression Model for Optimal Loss Reserving in Insurance

Woundjiagué Apollinaire·Mbele Bidima Martin Le Doux·Waweru Mwangi Ronald
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Abstract

In this article, a Hybrid Fuzzy Regression Model with Asymmetric Triangular Fuzzy Coefficients and optimized $h-$value in Generalized Linear Models (GLM) framework have been developed. The weighted functions of Fuzzy Numbers rather than the Expected value of Fuzzy Number is used as a defuzzification procedure. We perform the new model on a numerical data (Taylor and Ashe, 1983) to predict incremental payments in loss reserving. We prove that the new Hybrid Model with the optimized $h-$value produce better results than the classical GLM according to the Reserve Prediction Error and Reserve Standard Deviation.

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Woundjiagué Apollinaire, Mbele Bidima Martin Le Doux, Waweru Mwangi Ronald. 2018-06-18. A Hybrid Fuzzy Regression Model for Optimal Loss Reserving in Insurance. https://arxiv.org/abs/1806.06853

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