The synthetic autoregressive model for the insurance claims payment data: modeling and future prediction

  • Heba Soltan Mohamed Department of Statistics and Quantitative Methods, Faculty of Business Administration, Horus University, Egypt
  • Gauss M. Cordeiro Universidade Federal de Pernambuco, Departamento de Estatistica, Brazil
  • Haitham Yousof Department of Statistics, Mathematics and Insurance, Benha University, Egypt
DOI: https://doi.org/10.19139/soic-2310-5070-1584
Keywords: Autoregressive Model; Claims payment; Cullen and Frey plot; Insurance Data; Residuals analysis; Statistical Forecasting.

Abstract

Time series play a vital role in predicting different types of claims payment applications. The future values of the expected claims are very important for the insurance companies for avoiding the big losses under uncertainty which may be produced from future claims. In this work, we define a new size-of-loss synthetic autoregressive model for the left skewed insurance claims datasets. The synthetic autoregressive model model is assessed due to some simulations experiments. The optimal parameter is also artificially determined. The insurance claims data is modeled using the synthetic autoregressive model.
Published
2025-05-06
How to Cite
Mohamed, H. S., Cordeiro, G. M., & Yousof, H. (2025). The synthetic autoregressive model for the insurance claims payment data: modeling and future prediction. Statistics, Optimization & Information Computing, 14(1), 1-19. https://doi.org/10.19139/soic-2310-5070-1584
Issue
Vol 14 No 1 (2025)
Section
Research Articles
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