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See5 algorithm versus discriminant analysis. An application to the prediction of insolvency in Spanish non-life insurance companies

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Díaz Martínez, Zuleyka y Fernández Menéndez, José y Segovia Vargas, María Jesús (2004) See5 algorithm versus discriminant analysis. An application to the prediction of insolvency in Spanish non-life insurance companies. [ Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales; nº 12, 2004, ISSN: 2255-5471 ]

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URL Oficial: http://eprints.ucm.es/6836/




Resumen

Prediction of insurance companies insolvency has arised as an important problem in the field of financial research, due to the necessity of protecting the general public whilst minimizing the costs associated to this problem. Most methods applied in the past to tackle this question are traditional statistical techniques which use financial ratios as explicative variables. However, these variables do not usually satisfy statistical assumptions, what complicates the application of the mentioned methods.
In this paper, a comparative study of the performance of a well-known parametric statistical technique (Linear Discriminant Analysis) and a non-parametric machine learning technique (See5) is carried out. We have applied the two methods to the problem of the prediction of insolvency of Spanish non-life insurance companies upon the basis of a set of financial ratios. Results indicate a higher performance of the machine learning technique, what shows that this method can be a useful tool to evaluate insolvency of insurance firms.


Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Insolvency, Insurance Companies, Discriminant Analysis, See5.
Materias:Ciencias Sociales > Economía > Seguros
Título de serie o colección:Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales
Volumen:2004
Número:12
Código ID:6836
Depositado:30 Nov 2007
Última Modificación:16 Nov 2015 10:30

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