English, Article, Journal or magazine article edition: See5 Algorithm versus Discriminant Analysis. An Application to the Prediction of Insolvency in Spanish Non-life Insurance Companies Zuleyca Díaz Martínez; José Fernández Menéndez; Paloma Martínez Almodovar

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Bookmark: http://trove.nla.gov.au/version/9548
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • See5 Algorithm versus Discriminant Analysis. An Application to the Prediction of Insolvency in Spanish Non-life Insurance Companies
Author
  • Zuleyca Díaz Martínez
  • José Fernández Menéndez
  • Paloma Martínez Almodovar
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:ucm:doctra:04-12
Language
  • English
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