Abstract

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.

Sector: Insurance

Expertise: Machine learning

Authors: Elke Gagelmans,

Michel Denuit and Julien Trufin

 

Publisher: Detralytics

Date: November 2020

Language: English

Pages: 5

Reference : FAQctuary 2020-2

About the authors

Elke Gagelmans

Elke Gagelmans is currently an Actuary at KBC Bank & Verzekering. Elke Gagelmans brings experience from previous roles at Detralytics, Slaagsleutels and EY. Elke Gagelmans holds a 2018 – 2019 Master’s degree in actuarial and financial engineering @ KU Leuven.

Michel Denuit

Michel Denuit

Michel is a 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.

Julien Trufin

Julien Trufin

Julien est Scientific Advisor chez Detralytics et Professeur en sciences actuarielles au sein du département de mathématiques de l’Université Libre de Bruxelles. Il possède une expérience en tant que consultant et un solide parcours académique développé au sein d’institutions de renom, dont l’Université Laval (Canada), l’UCL et l’ULB (Belgique). Chez Detralytics, Julien encadre les jeunes talents, dispense des formations de pointe, stimule l’innovation et supervise les projets de R&D.

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