Abstract
Thanks to its outstanding performances, boosting has rapidly gained wide acceptance among actuaries. Hainaut et al. (2022) established that boosting can be conducted directly on the response under Tweedie 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. (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 (2022), which is designed to implement this approach for insurance studies. A numerical illustration demonstrates the relevance of the new tool for insurance pricing.
Keywords: Risk classification, Boosting, Adaptive Boosting, Regression Trees.
Sector: Insurance
Expertise: Insurance pricing
Authors: Gireg Willame,
Julien Trufin and Michel Denuit
Publisher: Detralytics
Date: April 2023
Language: English
Pages: 24
Reference : Detra Note 2023-3
About the authors
Gireg Willame
Gireg is an Expert and Domain Lead Non-Life at Detralytics. During his various missions, Gireg has worked on the automation of the taxation scheme for pensions saving; on P&C pricing with Bank datas (genetic algorithm); on P&C reserving and IFRS17, among others. Prior to joining Detralytics, Gireg worked as an intern at AG Insurance.
Julien Trufin
Julien is a Scientific Advisor at Detralytics, as well as a professor in Actuarial Science at the department of mathematics of the Université Libre de Bruxelles. Julien has experience as a consultant and a strong academic background developed at prominent institutions, including Université Laval (Canada), UCL, and ULB (Belgium). At Detralytics, Julien coaches young talents, provide cutting-edge training, fosters innovation and oversees R&D projects.
Michel Denuit
Michel is an Honorary Scientific Advisor at Detralytics, as well as a professor in actuarial science at the Université Catholique de Louvain. He has international experience as a visiting professor, and has promoted many projects in collaboration with the industry. At Detralytics, Michel coaches young talents, provides cutting-edge training, fosters innovation and oversees R&D projects.
