Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-09-18 DOI:10.1080/03461238.2023.2258135

Julie Huyghe, Julien Trufin, Michel Denuit

引用次数: 0

Abstract

AbstractThis 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.Keywords: Risk classificationboostinggradient boostingregression treescost-complexity pruning Disclosure statementNo potential conflict of interest was reported by the author(s).

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提高成本复杂性修剪了Tweedie回应上的树:保险费率制定的ABT机器

摘要提出了一种基于成本复杂度剪枝树的前向逐级加性建模的提升机。在Tweedie的例子中，它直接处理观察到的响应，而不是损失函数的梯度。分数中包含的树以一种自适应的方式逐渐减少到根节点。因此，所提出的自适应增强树(ABT)机器在该时间自动停止，避免了采用耗时的交叉验证方法。对机动车第三方责任保险索赔数据进行的案例研究表明，与常规梯度提升树相比，所提出的ABT机器在费率制定方面的性能更好。关键词:风险分类提升梯度提升回归树成本复杂性修剪披露声明作者未报告潜在利益冲突。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.