actuaRE (version 0.1.7)

adjustIntercept: Adjust the intercept to regain the balance property

Description

This function updates the intercept term of the model fit such that the balance property is satisfied.

Usage

adjustIntercept(obj, data)

Value

The object with the adjusted (fixed effects) coefficients.

Arguments

obj

an object of type glm, cpglm or cpglmm containing the model fit.

data

a data.frame or data.table object that was used to fit the model.

References

Campo, B.D.C. and Antonio, Katrien (2023). Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio. Scandinavian Actuarial Journal, doi: 10.1080/03461238.2022.2161413

Wüthrich, M. V. (2020). Bias regularization in neural network models for general insurance pricing. European actuarial journal 10(1), 179–202.

Examples

library(statmod)
datas  = dataCar[1:1e3, ]
Fit    = glm(Y ~ area + gender, data = datas, weights = datas$w, family = tweedie(1.75, 0),
model = TRUE, control = glm.control(epsilon = 1e-4, maxit = 5e2))
w      = weights(Fit, "prior")
y      = Fit$y
sum(w * y) == sum(w * fitted(Fit))
adjFit = adjustIntercept(Fit, datas)
coef(adjFit)
sum(w * y) == sum(w * fitted(adjFit))