提升泊松回归树:R 中 BT 软件包的使用指南

IF 1.5 Q3 BUSINESS, FINANCE
Gireg Willame, Julien Trufin, Michel Denuit
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引用次数: 0

摘要

由于其出色的性能,助推法迅速获得了精算师的广泛认可。Wüthrich 和 Buser(《非寿险定价数据分析》。http://dx.doi.org/10.2139/ssrn.2870308, 2019)确定了在泊松偏差损失函数和对数链接条件下,可以通过调整每一步的权重直接对响应进行提升。这对分析低计数(通常是个人保险中保单层面的索赔报告数)特别有用。Huyghe 等人(在 Tweedie 反应上增强成本复杂性剪枝树:用于保险费率制定的 ABT 机器。斯堪的纳维亚精算期刊》。https://doi.org/10.1080/03461238.2023.2258135, 2022)采用这种方法,提出了一种带有成本复杂性修剪树的新型提升机。在这种方法中,包含在分数中的树以自适应的方式逐步减少到根节点树。本文回顾了这些成果,并介绍了由 Willame(Boosting Trees Algorithm. https://cran.r-project.org/package=BT; https://github.com/GiregWillame/BT, 2022)贡献的 R 语言新 BT 软件包,该软件包旨在为保险研究实现这种方法。一个数字图解展示了这一新工具与保险定价的相关性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Boosted Poisson regression trees: a guide to the BT package in R

Thanks to its outstanding performances, boosting has rapidly gained wide acceptance among actuaries. Wüthrich and Buser (Data Analytics for Non-Life Insurance Pricing. Lecture notes available at SSRN. http://dx.doi.org/10.2139/ssrn.2870308, 2019) established that boosting can be conducted directly on the response under Poisson deviance loss function and log-link, by adapting the weights at each step. This is particularly useful to analyze low counts (typically, numbers of reported claims at policy level in personal lines). Huyghe et al. (Boosting cost-complexity pruned trees on Tweedie responses: The ABT machine for insurance ratemaking. Scandinavian Actuarial Journal. https://doi.org/10.1080/03461238.2023.2258135, 2022) adopted this approach to propose a new boosting machine with cost-complexity pruned trees. In this approach, trees included in the score progressively reduce to the root-node one, in an adaptive way. This paper reviews these results and presents the new BT package in R contributed by Willame (Boosting Trees Algorithm. https://cran.r-project.org/package=BT; https://github.com/GiregWillame/BT, 2022), which is designed to implement this approach for insurance studies. A numerical illustration demonstrates the relevance of the new tool for insurance pricing.

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来源期刊
CiteScore
3.10
自引率
5.90%
发文量
22
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