CAS Exam MAS-I Fall 2018, Question 31
Study guide: Exam MAS-I
An actuary fits two GLMs, M_1 and M_2, to the same data in order to predict the probability of a customer purchasing an automobile insurance product. You are given the following information about each model:
| Model | Explanatory Variables | Degrees of Freedom Used | Log Likelihood |
|---|---|---|---|
M_1 |
Offered Price, Number of Vehicles, Age of Primary Insured, Prior Insurance Carrier | 10 | -11,565 |
M_2 |
Offered Price, Number of Vehicles, Age of Primary Insured, Gender of Primary Insured, Credit Score of Primary Insured | 8 | -11,562 |
The actuary wants to evaluate which of the two models is superior.
Determine which of the following is the best course of action for the actuary to take.
- A) Perform a likelihood ratio test
- B) Compute the F-statistic and perform an F-test
- C) Compute and compare the deviances of the two models
- D) Compute and compare the AIC statistics of the two models
- E) Compute the Chi-squared statistic and perform a Chi-squared test
Answer this question and see the worked solution