Hill random forest with application to tornado damage insurance.
Time - 10:00 AM (EDT)|Date:13 June 2023 Time -16:00 PM (CEST)|Date:13 June 2023
ABSTRACT
The tail index is an important parameter that measures how extreme events occur. In many practical cases, this tail index depends on covariates. In this paper, we assume that it takes a finite number of values over a partition of the covariate space. This talk presents a tail index partition-based rules extraction method that is able to construct estimates of the partition subsets and estimates of the tail index values. The method combines two steps: first an additive tree ensemble based on the Gamma deviance is fitted, and second a hierarchical clustering with spatial constraints is used to estimate the subsets of the partition. We also propose a global tree surrogate model to approximate the partition-based rules while providing an explainable model from the initial covariates. Our procedure is illustrated on simulated data. A real case study on wind property damages caused by tornadoes is finally presented.
SPEAKERS
Speaker
Prof. Christian Robert
Professor Christian Robert holds a PhD in applied mathematics from University Paris Denis Diderot, a MSc in Finance and Statistics, and is a former student of the Ecole Nationale de la Statistique et de l’Administration Economique (ENSAE). He is a fellow of the French Institut des Actuaires. He is full professor in Actuarial Science at ENSAE-CREST. Formerly, he was full professor at ISFA (Université Lyon 1), Associate Professor at ENSAE and Director of Graduate Studies at the Centre d’Etudes Actuarielles. Christian is an Associate Editor of the European Actuarial Journal, Finance & Stochastics Insurance, Mathematics and economics and Quantitative Finance. His main research interests include extreme value theory and statistics, actuarial theory and practice, data science for insurance and finance, and statistical finance.
Moderator
Brian Fannin
Brian Fannin is a research actuary at CAS. He is also the founder of PirateGrunt LLC, a boutique consulting firm based in Durham, North Carolina specializing in predictive modeling in the property casualty markets. Fannin has been an Associate of the CAS since 2002 and a Certified Specialist in Predictive Analytics (CSPA) through The CAS Institute since 2017
