Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking
(2024) Scandinavian Actuarial Journal — Vol. 2024, n° 5, p. 417-439 (2024)
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- Abstract
- 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 responses, 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. Case studies performed on motor third-party liability insurance claim data demonstrate the performances of the proposed ABT machine for ratemaking, in comparison with regular gradient boosting trees.
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Citations
Huyghe, J., Trufin, J., & Denuit, M. (2024). Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking. Scandinavian Actuarial Journal, 2024(5), 417-439. https://doi.org/10.1080/03461238.2023.2258135 (Original work published 2024)