An Approach for Variable Selection and Prediction Model for Estimating the Risk-Based Capital (RBC) Based on Machine Learning Algorithms
被引:1
|
作者:
论文数: 引用数:
h-index:
机构:
Park, Jaewon
[1
]
Shin, Minsoo
论文数: 0引用数: 0
h-index: 0
机构:
Hanyang Univ, Sch Business, Dept Management Informat Syst, Seoul 04763, South KoreaHanyang Univ, Sch Business, Dept Management Informat Syst, Seoul 04763, South Korea
Shin, Minsoo
[1
]
机构:
[1] Hanyang Univ, Sch Business, Dept Management Informat Syst, Seoul 04763, South Korea
life insurance companies;
Bayesian Regulatory Neural Network;
Random Forest algorithms;
RBC ratio;
corporate sustainable management;
Machine learning;
D O I:
10.3390/risks10010013
中图分类号:
F8 [财政、金融];
学科分类号:
0202 ;
摘要:
The risk-based capital (RBC) ratio, an insurance company's financial soundness system, evaluates the capital adequacy needed to withstand unexpected losses. Therefore, continuous institutional improvement has been made to monitor the financial solvency of companies and protect consumers' rights, and improvement of solvency systems has been researched. The primary purpose of this study is to find a set of important predictors to estimate the RBC ratio of life insurance companies in a large number of variables (1891), which includes crucial finance and management indices collected from all Korean insurers quarterly under regulation for transparent management information. This study employs a combination of Machine learning techniques: Random Forest algorithms and the Bayesian Regulatory Neural Network (BRNN). The combination of Random Forest algorithms and BRNN predicts the next period's RBC ratio better than the conventional statistical method, which uses ordinary least-squares regression (OLS). As a result of the findings from Machine learning techniques, a set of important predictors is found within three categories: liabilities and expenses, other financial predictors, and predictors from business performance. The dataset of 23 companies with 1891 variables was used in this study from March 2008 to December 2018 with quarterly updates for each year.
机构:
South China Univ Technol, Sch Civil Engn & Transportat, Guangzhou 510641, Peoples R ChinaSouth China Univ Technol, Sch Civil Engn & Transportat, Guangzhou 510641, Peoples R China
Jiang, Shenqiong
Cheng, Xiangju
论文数: 0引用数: 0
h-index: 0
机构:
South China Univ Technol, Sch Civil Engn & Transportat, Guangzhou 510641, Peoples R China
South China Univ Technol, State Key Lab Subtrop Bldg & Urban Sci, Guangzhou 510640, Peoples R ChinaSouth China Univ Technol, Sch Civil Engn & Transportat, Guangzhou 510641, Peoples R China
Cheng, Xiangju
Shi, Baoshan
论文数: 0引用数: 0
h-index: 0
机构:
South China Univ Technol, Sch Civil Engn & Transportat, Guangzhou 510641, Peoples R China
South China Univ Technol, State Key Lab Subtrop Bldg & Urban Sci, Guangzhou 510640, Peoples R ChinaSouth China Univ Technol, Sch Civil Engn & Transportat, Guangzhou 510641, Peoples R China
Shi, Baoshan
Zhu, Dantong
论文数: 0引用数: 0
h-index: 0
机构:
South China Univ Technol, Sch Civil Engn & Transportat, Guangzhou 510641, Peoples R China
South China Univ Technol, State Key Lab Subtrop Bldg & Urban Sci, Guangzhou 510640, Peoples R ChinaSouth China Univ Technol, Sch Civil Engn & Transportat, Guangzhou 510641, Peoples R China
Zhu, Dantong
Xie, Jun
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Acad Fishery Sci, Pearl River Fisheries Res Inst, Key Lab Trop & Subtrop Fishery Resource Applicat &, Guangzhou 510380, Peoples R ChinaSouth China Univ Technol, Sch Civil Engn & Transportat, Guangzhou 510641, Peoples R China
Xie, Jun
Zhou, Zhihong
论文数: 0引用数: 0
h-index: 0
机构:
Guangzhou Ecol & Environm Monitoring Ctr Guangdong, Guangzhou 510030, Peoples R ChinaSouth China Univ Technol, Sch Civil Engn & Transportat, Guangzhou 510641, Peoples R China
机构:
Sichuan Water Conservancy Coll, Ctr Informat Technol, Chengdu 611231, Sichuan, Peoples R ChinaSichuan Water Conservancy Coll, Ctr Informat Technol, Chengdu 611231, Sichuan, Peoples R China
Liu, Mingjin
Gao, Ruijie
论文数: 0引用数: 0
h-index: 0
机构:
Sichuan Water Conservancy Coll, Sch Marxism, Chengdu 611231, Sichuan, Peoples R ChinaSichuan Water Conservancy Coll, Ctr Informat Technol, Chengdu 611231, Sichuan, Peoples R China
Gao, Ruijie
Fu, Wei
论文数: 0引用数: 0
h-index: 0
机构:
Sichuan Water Conservancy Coll, Org Dept, Chengdu 611231, Sichuan, Peoples R ChinaSichuan Water Conservancy Coll, Ctr Informat Technol, Chengdu 611231, Sichuan, Peoples R China
机构:
Department of Electrical and Computer Engineering, University of Nebraska-Lincoln, Lincoln, NEDepartment of Electrical and Computer Engineering, University of Nebraska-Lincoln, Lincoln, NE
Shahzad U.
Australian Journal of Electrical and Electronics Engineering,
2023,
20
(02):
: 106
-
121
机构:
Chinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
China Aerosp Sci & Ind Corp 731 Hosp, Dept Pulm & Crit Care Med, Beijing 100000, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Yan, Peng
Huang, Siwan
论文数: 0引用数: 0
h-index: 0
机构:
Ping Healthcare Technol, Beijing 100027, Peoples R China
Huaneng Clean Energy Res Inst, Beijing 102209, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Huang, Siwan
Li, Ye
论文数: 0引用数: 0
h-index: 0
机构:
Ping Healthcare Technol, Beijing 100027, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Li, Ye
Chen, Tiange
论文数: 0引用数: 0
h-index: 0
机构:
Ping Healthcare Technol, Beijing 100027, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Chen, Tiange
Li, Xiang
论文数: 0引用数: 0
h-index: 0
机构:
Ping Healthcare Technol, Beijing 100027, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Li, Xiang
Zhang, Yuan
论文数: 0引用数: 0
h-index: 0
机构:
Ping Healthcare Technol, Beijing 100027, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Zhang, Yuan
Wu, Huan
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Peoples Liberat Army Gen Hosp, Med Big Data Cent, Beijing 100853, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Wu, Huan
Xu, Jianqiao
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Xu, Jianqiao
Xie, Guotong
论文数: 0引用数: 0
h-index: 0
机构:
Ping Healthcare Technol, Beijing 100027, Peoples R China
Ping Hlth Cloud Co Ltd, Beijing, Peoples R China
Ping Int Smart City Technol Co, Beijing, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Xie, Guotong
Xie, Lixin
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Chinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, 17 Heishanhu Rd, Beijing 100853, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Xie, Lixin
Mo, Guoxin
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China
Chinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, 17 Heishanhu Rd, Beijing 100853, Peoples R ChinaChinese Peoples Liberat Army Gen Hosp, Coll Pulm & Crit Care Med, Beijing 100853, Peoples R China