Artigos em Andamento [Working Paper]
URI permanente desta comunidadehttps://repositorio.insper.edu.br/handle/11224/3232
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Resultados da Pesquisa
Working Paper Spatial correlation in credit risk and its improvement in credit scoring(2013) Fernandes, Guilherme Barreto; RINALDO ARTESCredit scoring models are important tools in the credit granting process. These models measure the credit risk of a prospective client based on idiosyncratic variables and macroeconomic factors. However, small and medium sized enterprises (SMEs) are subject to the effects of the local economy. From a data set with the localization and default information of 9 million Brazilian SMEs, provided by Serasa Experian (the largest Brazilian credit bureau), we propose a measure of the local risk of default based on the application of ordinary kriging. This variable has been included in logistic credit scoring models as an explanatory variable. These models have shown better performance when compared to models without this variable.A gain around 7 percentage points of KS and Gini was observed.Working Paper Estimating Claim Size and Probability in the Auto-insurance Industry: the Zero-adjusted Inverse Gaussian (ZAIG) Distribution(2009) ADRIANA BRUSCATO BORTOLUZZO; DANNY PIMENTEL CLARO; Caetano, Marco Antonio Leonel; RINALDO ARTESThis article aims at the estimation of insurance claims from an auto data set. Using a ZAIG method, we identify factors that influence claim size and probability, and compared the results with the analysis of a Tweedie method. Results show that ZAIG can accurately predict claim size and probability. Factors like territory, vehicles´ advanced age, origin and body influence distinctly claim size and probability. The distinct impact is not always present in Tweedie’s estimated model. Auto insurers should consider estimating risk premium using ZAIG method. The fitted models may be useful to develop a strategy for premium pricing.