In the field of actuarial science, statistical methods have been extensively studied toestimate the risk of insurance. These methods are good at estimating the risk of typicalinsurance policies, as historical data is available. However, their performance can be pooron unique insurance policies, which require the manual assessment of an underwriter. Aclassification of insurance policies on a unique/typical scale would help insurance companiesallocate manual resources more efficiently and validate the goodness of fit of thepricing models on unique objects. The aim of this thesis is to use outlier detection methodsto identify unique non-life insurance policies. The many categorical nominal variablespresent in insurance policy data sets represent a challenge when applying outlier detectionmethods. Therefore, we also explore different ways to derive informative numericalrepresentations of categorical nominal variables. First, as a baseline, we use the principalcomponent analysis of mixed data to find a numerical representation of categorical nominalvariables and the principal component analysis to identify unique insurances. Then,we see whether better performance can be achieved using autoencoders which can capturecomplex non-linearities. In particular, we learn a numerical representation of categoricalnominal variables using the encoder layer of an autoencoder, and we use a different autoencoderto identify unique insurances. Since we are in an unsupervised setting, the twomethods are compared by performing a simulation study and using the NLS-KDD dataset. The analysis shows autoencoders are superior at identifying unique objects than principalcomponent analysis. We conclude that the ability of autoencoders to model complexnon-linearities between the variables allows for this class of methods to achieve superiorperformance.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:liu-205404 |
| Date | January 2024 |
| Creators | Dalla Torre, Elena |
| Publisher | Linköpings universitet, Statistik och maskininlärning |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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