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Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking

par Huyghe, Julie ;Trufin, Julien ;Denuit, Michel
Référence Scandinavian actuarial journal, page (1-23)
Publication Publié, 2023-10-01

Article révisé par les pairs

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Résumé :

This paper proposes a new boosting machine based on forward stagewise additive modeling with cost-complexity pruned trees. In the Tweedie case, it deals directly with observed responses, not gradients of the loss function. Trees included in the score progressively reduce to the root-node one, in an adaptive way. The proposed Adaptive Boosting Tree (ABT) machine thus automatically stops at that time, avoiding to resort to the time-consuming cross validation approach. Case studies performed on motor third-party liability insurance claim data demonstrate the performances of the proposed ABT machine for ratemaking, in comparison with regular gradient boosting trees.