Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning Techniques
This study evaluates four machine learning (ML) techniques (Decision Trees (DT), Random Forests (RF), Neural Networks (NN) and Probabilistic Neural Networks (PNN)) on their ability to accurately predict export credit insurance claims. Additionally, we compare the performance of the ML techniques aga...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-03-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/8/1/22 |
| _version_ | 1818037561762775040 |
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| author | Mathias Bärtl Simone Krummaker |
| author_facet | Mathias Bärtl Simone Krummaker |
| author_sort | Mathias Bärtl |
| collection | DOAJ |
| description | This study evaluates four machine learning (ML) techniques (Decision Trees (DT), Random Forests (RF), Neural Networks (NN) and Probabilistic Neural Networks (PNN)) on their ability to accurately predict export credit insurance claims. Additionally, we compare the performance of the ML techniques against a simple benchmark (BM) heuristic. The analysis is based on the utilisation of a dataset provided by the Berne Union, which is the most comprehensive collection of export credit insurance data and has been used in only two scientific studies so far. All ML techniques performed relatively well in predicting whether or not claims would be incurred, and, with limitations, in predicting the order of magnitude of the claims. No satisfactory results were achieved predicting actual claim ratios. RF performed significantly better than DT, NN and PNN against all prediction tasks, and most reliably carried their validation performance forward to test performance. |
| first_indexed | 2024-12-10T07:28:48Z |
| format | Article |
| id | doaj.art-ab6a041b708a48f1b108793597a421b6 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-12-10T07:28:48Z |
| publishDate | 2020-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-ab6a041b708a48f1b108793597a421b62022-12-22T01:57:38ZengMDPI AGRisks2227-90912020-03-01812210.3390/risks8010022risks8010022Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning TechniquesMathias Bärtl0Simone Krummaker1Hochschule für Technik, Wirtschaft und Medien Offenburg, 77652 Offenburg, GermanyFaculty of Actuarial Science and Insurance, Cass Business School, City, University of London, EC1Y8TZ London, UKThis study evaluates four machine learning (ML) techniques (Decision Trees (DT), Random Forests (RF), Neural Networks (NN) and Probabilistic Neural Networks (PNN)) on their ability to accurately predict export credit insurance claims. Additionally, we compare the performance of the ML techniques against a simple benchmark (BM) heuristic. The analysis is based on the utilisation of a dataset provided by the Berne Union, which is the most comprehensive collection of export credit insurance data and has been used in only two scientific studies so far. All ML techniques performed relatively well in predicting whether or not claims would be incurred, and, with limitations, in predicting the order of magnitude of the claims. No satisfactory results were achieved predicting actual claim ratios. RF performed significantly better than DT, NN and PNN against all prediction tasks, and most reliably carried their validation performance forward to test performance.https://www.mdpi.com/2227-9091/8/1/22machine learningclaims predictionexport credit insurance |
| spellingShingle | Mathias Bärtl Simone Krummaker Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning Techniques Risks machine learning claims prediction export credit insurance |
| title | Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning Techniques |
| title_full | Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning Techniques |
| title_fullStr | Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning Techniques |
| title_full_unstemmed | Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning Techniques |
| title_short | Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning Techniques |
| title_sort | prediction of claims in export credit finance a comparison of four machine learning techniques |
| topic | machine learning claims prediction export credit insurance |
| url | https://www.mdpi.com/2227-9091/8/1/22 |
| work_keys_str_mv | AT mathiasbartl predictionofclaimsinexportcreditfinanceacomparisonoffourmachinelearningtechniques AT simonekrummaker predictionofclaimsinexportcreditfinanceacomparisonoffourmachinelearningtechniques |