Exam SRM Practice Question 1
Study guide: Exam SRM
An actuary has 1,000 policy records and wants to estimate the test error of a claim frequency model before using it. She considers three resampling methods for model validation: the validation set approach (one random split into a training half and a validation half), leave-one-out cross-validation (LOOCV), and 10-fold cross-validation.
Determine which of the following statements are true.
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I. Repeating LOOCV on the same 1,000 records gives the same estimate every time, while the validation set estimate changes with the random split.
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II. Because each LOOCV fit uses 999 records, its estimate of the test error has a lower variance than the 10-fold cross-validation estimate.
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III. The validation set approach tends to overestimate the test error of the model fit to all 1,000 records.
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A) I only
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B) I and II only
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C) I and III only
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D) II and III only
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E) The answer is not given by (A), (B), (C), or (D)
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