FAQCTUARY

The FAQctuary series

The FAQctuary are a series of educational papers dedicated to the insurance sector. Each issue addresses a specific actuarial topic, expressed as a question asked by market players. FAQctuary's are published by members of the Detralytics team and written in a clear and accessible language. The team combines academic expertise and business knowledge. Detralytics was founded to support companies in the advancement of actuarial science and the solving of the profession’s future challenges. It is within the scope of this mission that we make our work available through our DETRAnotes and FAQctuary series.

List of publications

Features with flat partial dependence plots up to a certain level: not important?

Date : November 2020
Author : Michel Denuit and Julien Trufin
Publisher : Detralytics
Language : English

This paper focuses on partial dependence plots which are often used when modeling with machine learning techniques in order to better understand the effects of the features on the conditional expectation of the response variable. However, these plots must be interpreted with caution. Indeed, they can easily lead to wrong interpretations in case the analyst is not enough familiar with these plots. As noticed in a previous FAQctuary, a typical situation is the case where a feature is important because of its interactions with others while its partial dependence plot is flat. In this FAQctuary, we go one step further and we consider a very simple example with a three-way interaction effect and we show that only looking at partial dependence plots for each feature and for two features may indeed lead the analyst to wrong conclusions.

Generalization error for tweedie models: can it be decomposed as for normal and poisson and can it be reduced with bagging?

Date : November 2020
Author : Michel Denuit and Julien Trufin
Publisher : Detralytics
Language : English

Wüthrich and Buser (2019) studied the generalization error for Poisson regression models. This short note aims to extend their results to the Tweedie family of distributions, to which the Poisson law belongs. In case of bagging, a new condition emerges that becomes increasingly binding with the power parameter involved in the Tweedie variance function.

Features with flat partial dependence plots: not important?

Date : April 2020
Author : Elke Gagelmans, Michel Denuit and Julien Trufin
Publisher : Detralytics
Language : English

This paper focuses on partial dependence plots which are often used when modeling with machine learning techniques in order to better understand the effects of the features on the conditional expectation of the response variable. However, these plots must be interpreted with caution. Indeed, they can easily lead to wrong interpretations in case the analyst is not enough familiar with these plots. A typical situation is the case where a feature is important because of its interactions with others while its partial dependence plot is flat. In such a case, an analyst who would only base his analysis on this plot could be tempted to conclude that the feature is not important to explain the conditional expectation of the response while he would be wrong. In this FAQctuary, we aim to illustrate such a situation with the help of a simulated example that is very simple.

How to combine market and internal medical indices in orsa ?

Date : January 2020
Author : Candy Mahirwe, Audrey Meganck, Michel Denuit and Julien Trufin
Publisher : Detralytics
Language : English

“As part of the Own Risk and Solvency Assessment (ORSA), health insurance companies using the standard formula are required to assess the appropriateness of this formula for among others the medical inflation risk covered within the Health SCR module. However, for some companies, the medical index does not seem to reflect the real evolution of their own medical expenses. Therefore, we choose as topic of our first FAQctuary, the medical index in which we will attempt to answer this following question : - How to combine market and internal medical indexes in ORSA ?”