Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258262 
Year of Publication: 
2021
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 9 [Issue:] 10 [Article No.:] 178 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-26
Publisher: 
MDPI, Basel
Abstract: 
The concordance probability, also called the C-index, is a popular measure to capture the discriminatory ability of a predictive model. In this article, the definition of this measure is adapted to the specific needs of the frequency and severity model, typically used during the technical pricing of a non-life insurance product. For the frequency model, the need of two different groups is tackled by defining three new types of the concordance probability. Secondly, these adapted definitions deal with the concept of exposure, which is the duration of a policy or insurance contract. Frequency data typically have a large sample size and therefore we present two fast and accurate estimation procedures for big data. Their good performance is illustrated on two real-life datasets. Upon these examples, we also estimate the concordance probability developed for severity models.
Subjects: 
C-index
clustering
efficient algorithm
frequency
performance measure
severity
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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