Boosting cost-complexity pruned trees On Tweedie responses: the ABT machine

Trufin, Julien;Denuit, Michel
(2021) , 17 pages

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This paper proposes a new boosting machine based on forward stagewise additive modeling with cost-complexity pruned trees. In the Tweedie case, it deals directly with observed res-ponses, not gradients of the loss function. Trees included in the score progressively reduce to the root-node one, in an adaptive way. The proposed Adaptive Boosting Tree (ABT) machine thus automatically stops at that time, avoiding to resort to the time-consuming cross validation approach. A case study performed on motor third-party liability insurance claim data demons-trates the performances of the proposed ABT machine for ratemaking, in comparison with regu-lar gradient boosting trees.
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Trufin, J., & Denuit, M. (2021). Boosting cost-complexity pruned trees On Tweedie responses: the ABT machine (LIDAM Discussion Paper ISBA 2021/15). https://hdl.handle.net/2078.5/115450