Detra Note 2023-5 : Wasserstein boosting trees algorithm for count data, with application to claim frequencies in motor insurance
We are pleased to share with you our new Detra Note on Wasserstein boosting trees algorithm for count data
published by our M. Denuit, J. Trufin (Scientific Advisors) and H. Verelst (TCP Consultant).
This paper proposes a variant of the well-known boosting trees algorithm to estimate conditional distributions. Since regression trees partition observations into subgroups, the corresponding empirical distributions can be used to define the splitting criterion. Precisely, the parametric approach using Poisson deviance is replaced with a non-parametric one maximizing probabilistic distances between empirical distributions in child nodes. Proceeding in this way, the actuary obtains an estimated conditional distribution for the response, from which a conditional mean can be derived as well as any other quantity of interest in risk management. The numerical performances of the proposed method are assessed with simulated data while a case study demonstrates its usefulness for insurance applications.
To provide the best experiences, we use technologies like cookies to store and/or access device information. Consenting to these technologies will allow us to process data. Not consenting or withdrawing consent, may adversely affect certain features and functions.
The technical storage or access is strictly necessary for the legitimate purpose of enabling the use of a specific service explicitly requested by the subscriber or user, or for the sole purpose of carrying out the transmission of a communication over an electronic communications network.
The technical storage or access is necessary for the legitimate purpose of storing preferences that are not requested by the subscriber or user.
The technical storage or access that is used exclusively for statistical purposes.The technical storage or access that is used exclusively for anonymous statistical purposes. Without a subpoena, voluntary compliance on the part of your Internet Service Provider, or additional records from a third party, information stored or retrieved for this purpose alone cannot usually be used to identify you.
The technical storage or access is required to create user profiles to send advertising, or to track the user on a website or across several websites for similar marketing purposes.