Improving detections of serial dynamics for longitudinal actuarial data with underwriting-controlled testing

DOI10.1016/J.INSMATHECO.2025.103111MaRDI QIDQ6961592zbMATH OpenFDO

Authors T. C. Fung

Publication date 10 July 2025

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2025.103111

zbMATH Keywords

diagnostic testsendogeneity adjustmentinsurance lossinverse-probability weightingrandom weighted bootstrap

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Review text

The paper presents a framework to test serial dynamics in longitudinal actuarial data after adjusting for underwriting effects. Following the introduction of the problem and preliminary concepts, underwriting-controlled serial dynamic testing for longitudinal actuarial data has been developed. Then, the study provides insight into asymptotic theory for estimators and test statistics. The study also investigates how the methodology can be used for other actuarial quantities. The paper's results are validated by a simulation study, and a numerical example using a European dataset on motor insurance enhances its application value. Technical details and proofs are included in the Appendices.

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