A random forest based approach for predicting spreads in the primary catastrophe bond market

DOI10.1016/j.insmatheco.2021.07.003zbMath1475.91312arXiv2001.10393OpenAlexW3192391422MaRDI QIDQ2665850

Pauline Barrieu, Despoina Makariou, Yining Chen

Publication date: 19 November 2021

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.10393

zbMATH Keywords

interactionsstabilityrandom forestpermutation importancecatastrophe bond pricingmachine learning in insuranceminimal depth importanceprimary market spread prediction

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Uses Software

• caret
• randomSurvivalForest
• GeneSrF
• randomForest
• randomForestSRC
• Tunability

Cites Work

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