← 研踪 PaperTrailarXiv:2610.36835 · v2
Joint Distributional Copula Regression for Insurance Claim Frequency and Severity via Boosting
首次提交 2026-10-27 16:33
版本更新 2026-10-28 09:03
雷达观测 2026-10-30 10:23
摘要
In this paper, we introduce a model-based boosting approach for fitting structured additive distributional copula regression models for bivariate responses, with particular emphasis on jointly modeling insurance claim frequency and severity. The approach uses regression-type base learners, such as linear terms and splines with low degrees of freedom. It builds on generalized additive models for location, scale, and shape (GAMLSS), which extend generalized additive models (GAMs) by allowing multiple distributional parameters, rather than only the conditional mean, to depend on covariates. The structured additive predictors make the model inherently interpretable, offering greater transparency and auditability than black-box approaches. These features are particularly relevant in regulated actuarial settings and applications requiring explainable artificial intelligence. By estimating the entire conditional joint distribution, the framework also enables insurance practitioners to examine conditional quantiles, tail behavior, and prediction intervals of risks. The copula component captures dependence between claim frequency and severity and allows practitioners to investigate how this dependence varies with policyholder characteristics, potentially improving predictive performance. Moreover, by incorporating modern machine-learning techniques, specifically boosting, the proposed model improves prediction accuracy while retaining interpretability. We assess the proposed framework using both simulated and real data. The results demonstrate its ability to recover the true covariate effects on the marginal distributional parameters and the dependence structure, select informative variables, and achieve predictive performance competitive with standard benchmark models. We also illustrate how to interpret the fitted model.
观测到的版本
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v2 · 2026-10-28 09:03 · 最新观测版本
Joint Distributional Copula Regression for Insurance Claim Frequency and Severity via Boosting
In this paper, we introduce a model-based boosting approach for fitting structured additive distributional copula regression models for bivariate responses, with particular emphasis on jointly modeling insurance claim frequency and severity. The approach uses regression-type base learners, such as linear terms and splines with low degrees of freedom. It builds on generalized additive models for location, scale, and shape (GAMLSS), which extend generalized additive models (GAMs) by allowing multiple distributional parameters, rather than only the conditional mean, to depend on covariates. The structured additive predictors make the model inherently interpretable, offering greater transparency and auditability than black-box approaches. These features are particularly relevant in regulated actuarial settings and applications requiring explainable artificial intelligence. By estimating the entire conditional joint distribution, the framework also enables insurance practitioners to examine conditional quantiles, tail behavior, and prediction intervals of risks. The copula component captures dependence between claim frequency and severity and allows practitioners to investigate how this dependence varies with policyholder characteristics, potentially improving predictive performance. Moreover, by incorporating modern machine-learning techniques, specifically boosting, the proposed model improves prediction accuracy while retaining interpretability. We assess the proposed framework using both simulated and real data. The results demonstrate its ability to recover the true covariate effects on the marginal distributional parameters and the dependence structure, select informative variables, and achieve predictive performance competitive with standard benchmark models. We also illustrate how to interpret the fitted model.
查看此版本解读 →查看此版本原文 ↗v1 · 2026-10-27 16:33
Joint Distributional Copula Regression for Insurance Claim Frequency and Severity via Boosting
In this paper, we propose a model-based boosting approach for fitting structured additive distributional copula regression models with bivariate responses, focusing particularly on the joint modeling of claim frequency and claim severity. The proposed approach is based on generalized additive models for location, scale, and shape (GAMLSS), which extend the general idea of GAMs by allowing multiple parameters of a response distribution, rather than only its conditional mean, to depend on covariates. The model is therefore intrinsically interpretable at the level of its additive predictors, providing greater transparency and auditability than black-box alternatives. We evaluate the proposed framework using synthetic and real-world data. We demonstrate its ability to recover the underlying covariate effects and dependence structure, identify informative variables, and achieve competitive predictive performance relative to benchmark models. We also illustrate how the fitted model can be interpreted.
查看此版本解读 →查看此版本原文 ↗