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Black-box guided generalised linear model building with non-life pricing applications
Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.ORCID-id: 0000-0001-7235-384x
Antal upphovsmän: 22024 (Engelska)Ingår i: Annals of Actuarial Science, ISSN 1748-4995, E-ISSN 1748-5002, Vol. 18, nr 3, s. 675-691Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

The paper introduces a method for creating a categorical generalized linear model (GLM) based on information extracted from a given black-box predictor. The procedure for creating the guided GLM is as follows: For each covariate, including interactions, a covariate partition is created using partial dependence functions calculated based on the given black-box predictor. In order to enhance the predictive performance, an auto-calibration step is used to determine which parts of each covariate partition should be kept, and which parts should be merged. Given the covariate and interaction partitions, a standard categorical GLM is fitted using a lasso penalty. The performance of the proposed method is illustrated using a number of real insurance data sets where gradient boosting machine (GBM) models are used as black-box reference models. From these examples, it is seen that the predictive performance of the guided GLMs is very close to that of the corresponding reference GBMs. Further, in the examples, the guided GLMs have few parameters, making the resulting models easy to interpret. In the numerical illustrations techniques are used to, e.g., identify important interactions both locally and globally, which is essential when, e.g., constructing a tariff.

Ort, förlag, år, upplaga, sidor
2024. Vol. 18, nr 3, s. 675-691
Nyckelord [en]
auto-calibration, black-box models, categorical GLM, feature extraction, regularisation
Nationell ämneskategori
Sannolikhetsteori och statistik
Identifikatorer
URN: urn:nbn:se:su:diva-240855DOI: 10.1017/S1748499524000265ISI: 001370873700001Scopus ID: 2-s2.0-85211630562OAI: oai:DiVA.org:su-240855DiVA, id: diva2:1944951
Tillgänglig från: 2025-03-17 Skapad: 2025-03-17 Senast uppdaterad: 2025-03-17Bibliografiskt granskad

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Lindholm, Mathias

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