Journal article

On the prediction of claim duration for income protection insurance policyholders

Q Liu, D Pitt, X Wu

Annals of Actuarial Science | Cambridge University Press | Published : 2014


This paper explores how we can apply various modern data mining techniques to better understand Australian Income Protection Insurance (IPI). We provide a fast and objective method of scoring claims into different portfolios using available rating factors. Results from fitting several prediction models are compared based on not only the conventional loss prediction error function, but also a modified loss function. We demonstrate that the prediction power of all the data mining methods under consideration is clearly evident using a misclassification plot. We also point out that this predictability can be masked by looking at just the conventional prediction error function. We then suggest us..

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