Effective statistical learning methods for actuaries I. GLMs and extensions

DOI10.1007/978-3-030-25820-7MaRDI QIDQ5233523zbMATH OpenOpenAlexFDO

Authors Donatien Hainaut, Julien Trufin, Michel Denuit

Publication date 11 September 2019

Published in Springer Actuarial (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-25820-7

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Learning and adaptive systems in artificial intelligence (68T05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial mathematics (91G05)

Recommendations

• Generalized Linear Models for Insurance Data
• Statistical and probabilistic methods in actuarial science.
• Actuarial statistics with generalized linear mixed models
• Effective Statistical Learning Methods for Actuaries II
• Non-life insurance pricing with generalized linear models

Cited in

(29)

• An explicit split point procedure in model-based trees allowing for a quick fitting of GLM trees and GLM forests
• The added value of dynamically updating motor insurance prices with telematics collected driving behavior data
• Non-life insurance pricing with generalized linear models
• JOINT MODELING OF CLAIM FREQUENCIES AND BEHAVIORAL SIGNALS IN MOTOR INSURANCE
• The GLM framework of the Lee–Carter model: a multi-country study
• Effective Statistical Learning Methods for Actuaries II
• Wavelet-based feature extraction for mortality projection
• Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data
• Regression modeling with actuarial and financial applications.
• Effective statistical learning methods for actuaries III. Neural networks and extensions
• Generalized Linear Models for Insurance Data
• Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link
• One-step closed-form estimator for generalized linear model with categorical explanatory variables
• Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio
• Bayesian CART models for insurance claims frequency
• Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking
• Machine learning with high-cardinality categorical features in actuarial applications
• Robust heavy-tailed versions of generalized linear models with applications in actuarial science
• Machine learning applications in nonlife insurance
• Option pricing in the Heston model with physics inspired neural networks
• From point to probabilistic gradient boosting for claim frequency and severity prediction
• Bayesian cart models for aggregate claim modeling
• Isotonic Regression for Variance Estimation and Its Role in Mean Estimation and Model Validation
• Neural Networks for Insurance Pricing with Frequency and Severity Data: A Benchmark Study from Data Preprocessing to Technical Tariff
• Simpson's paradox for Kendall's rank coefficient
• Comparison of offset and ratio weighted regressions in Tweedie models with application to mid-term cancellations
• Explainable boosting machine for predicting claim severity and frequency in car insurance
• Generalization error for Tweedie models: decomposition and error reduction with bagging
• Actuarial statistics with generalized linear mixed models

Describes a project that uses

Uses Software

• R

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