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Old 03-16-2019, 12:44 PM
juandeoyar juandeoyar is offline
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Default GLM seasonality

Hello,

I am fitting GLMs for frequency and average cost. There is quarter effect all the years so I am including a factor "Quarter 4" to capture that increase. I do also have a trend which is controlled by a time variable. If I want the prediction of average cost for the last year, in addition to the time, should I use the relativity for the 4th quarter and make a sort of weighted average with the three others (base level)?
The seasonality can be seen either in frequency or severity. In the frequency the off set is exposure (measured in yearly units).

Thank you,
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Old 03-16-2019, 05:31 PM
Colymbosathon ecplecticos's Avatar
Colymbosathon ecplecticos Colymbosathon ecplecticos is offline
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I suspect that you want to predict next year, not last year.

Ask yourself, does next year have a fourth quarter? If so, you probably should include your prediction for it.
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Old 03-16-2019, 06:37 PM
juandeoyar juandeoyar is offline
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Quote:
Originally Posted by Colymbosathon ecplecticos View Post
I suspect that you want to predict next year, not last year.

Ask yourself, does next year have a fourth quarter? If so, you probably should include your prediction for it.
I want to predict last year and then use a different trend for the next year prediction.
In the frequency model the estimate is annual. If I am estimating the frequency for july 1st I shouldn't use the relativity for the 1st quarter.
In the average cost model the estimate is off set by the number of claims so it makes more sense to make an average.
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Old 03-18-2019, 08:43 AM
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ShundayBloodyShunday ShundayBloodyShunday is offline
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Is the goal ratemaking? If so, what time period will the rates be in effect? Are you going to charge different rates for different parts of the year to a customer who is likely to go shopping if there's any increase in the premium?
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Old 03-18-2019, 05:22 PM
juandeoyar juandeoyar is offline
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The goal is to obtain a set of pure premiums for each year, but the data is collected quarterly. My model gives me the predictions per semester cause I have only two levels on quarters (qtr 4 and the others).
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Old 03-19-2019, 09:00 AM
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Vorian Atreides Vorian Atreides is offline
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I think the heart of the question Shunday was posing is "what do you want those pure premium estimates" for?

"How do I use this model" depends a HUGE amount on what is your overall goal for creating the model in the first place.
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