Boosted Poisson regression trees: a guide to the BT package in R

Gireg Willame (), Julien Trufin and Michel Denuit
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Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2024036, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Thanks to its outstanding performances, boosting has rapidly gained wide acceptance among actuaries. Wüthrich and Buser (Data Analytics for Non-Life Insurance Pricing. Lecture notes available at SSRN. http://dx.doi.org/10.2139/ssrn.2870308, 2019) established that boosting can be conducted directly on the response under Poisson deviance 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. (Boosting cost-complexity pruned trees on Tweedie responses: The ABT machine for insurance ratemaking. Scandinavian Actuarial Journal. https://doi.org/10.1080/03461238.2023.2258135, 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 (Boosting Trees Algorithm. https://cran.r-project.org/package=BT; https://github.com/GiregWillame/BT, 2022), which is designed to implement this approach for insurance studies. A numerical illustration demonstrates the relevance of the new tool for insurance pricing.

Keywords: Risk classification; boosting; adaptive boosting; regression trees (search for similar items in EconPapers)
Pages: 21
Date: 2024-01-15
Note: In: Annals of Actuarial Science, 2024, vol. 18(3), p. 605-625
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2024036

DOI: 10.1017/S174849952300026X

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