Bayesian Analysis of Big Data in Insurance Predictive Modeling Using Distributed Computing
Author | : Yanwei Zhang |
Publisher | : |
Total Pages | : 22 |
Release | : 2017 |
ISBN-10 | : OCLC:1305143067 |
ISBN-13 | : |
Rating | : 4/5 (67 Downloads) |
Download or read book Bayesian Analysis of Big Data in Insurance Predictive Modeling Using Distributed Computing written by Yanwei Zhang and published by . This book was released on 2017 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: While Bayesian methods have attracted considerable interest in actuarial science, they are yet to be embraced in large-scaled insurance predictive modeling applications, due to inefficiencies of Bayesian estimation procedures. The paper presents an efficient method that parallelizes Bayesian computation using distributed computing on Apache Spark across a cluster of computers. The distributed algorithm dramatically boosts the speed of Bayesian computation and expands the scope of applicability of Bayesian methods in insurance modeling. The empirical analysis applies a Bayesian hierarchical Tweedie model to a big data of 13 million insurance claim records. The distributed algorithm achieves as much as 65 times performance gain over the non-parallel method in this application. The analysis demonstrates that Bayesian methods can be of great value to large-scaled insurance predictive modeling.