A Flexible Hierarchical Insurance Claims Model with Gradient Boosting and Copulas

DOI10.1080/10920277.2023.2279782MaRDI QIDQ7029857zbMATH OpenFDO

Authors Marie-Pier Côté, Thierry Duchesne

Publication date 10 February 2025

Published in North American Actuarial Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/10920277.2023.2279782

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Cites work

• A Bayesian approach to modeling multivariate multilevel insurance claims in the presence of unsettled claims
• A dependent frequency-severity approach to modeling longitudinal insurance claims
• An introduction to copulas.
• Boosting insights in insurance tariff plans with tree-based machine learning methods
• Estimation of a copula when a covariate affects only marginal distributions
• Goodness-of-fit tests for copulas: A review and a power study
• Greedy function approximation: A gradient boosting machine.
• Hierarchical insurance claims modeling
• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 3793223 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 3078997 (Why is no real title available?)
• Insurance Premium Prediction via Gradient Tree-Boosted Tweedie Compound Poisson Models
• Insurance ratemaking using a copula-based multivariate Tweedie model
• Local efficiency of a Cramér\,-\,von Mises test of independence
• Maximum pseudo‐likelihood estimation based on estimated residuals in copula semiparametric models
• Multilevel modeling of insurance claims using copulas
• Multiperil rate making for property insurance using longitudinal data
• Parametric families of multivariate distributions with given margins
• Random forests
• Rank-based inference tools for copula regression, with property and casualty insurance applications
• Summarizing insurance scores using a Gini index
• Tests of independence and randomness based on the empirical copula process
• The Elements of Statistical Learning

Cited in

(2)

• Simulations of Bivariate Archimedean Copulas from Their Nonparametric Generators for Loss Reserving under Flexible Censoring
• From point to probabilistic gradient boosting for claim frequency and severity prediction

This page was built for publication: A Flexible Hierarchical Insurance Claims Model with Gradient Boosting and Copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7029857)