21.03.2023 | Lunch & Learn | Gestion des risques avec les moindres carrés locaux et simulations de Monte-Carlo (FR)27/02/2023
Happy Learning Hours | Insurance Pricing15/05/2023
Detra Note 2023-3 : Boosted Poisson regression trees: A guide to the BT package in R
We are pleased to share with you our new DetraNote on Boosted Poisson regression trees: A guide to the BT package in R
published by our Actuarial Expert Consultant, Gireg Willame, and our Scientific Director, Julien Trufin.
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.