Prediction of settlement delay in critical illness insurance claims by using the generalized beta of the second kind distribution

Erengul Dodd, George Streftaris

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1 Citation (Scopus)
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Abstract

We analyse the delay between diagnosis of illness and claim settlement in critical illness insurance by using generalized linear-type models under a generalized beta of the second kind family of distributions. A Bayesian approach is employed which allows us to incorporate parameter and model uncertainty and also to impute missing data in a natural manner. We propose methodology involving a latent likelihood ratio test to compare missing data models and a version of posterior predictive p-values to assess different models. Bayesian variable selection is also performed, supporting a small number of models with small Bayes factors, and therefore we base our predictions on model averaging instead of on a best-fitting model.
Original languageEnglish
Pages (from-to)273–294
Number of pages22
JournalJournal of the Royal Statistical Society Series C: Applied Statistics
Volume66
Issue number2
Early online date25 Jun 2016
DOIs
Publication statusPublished - Feb 2017

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