JuliuszB12 / Gradient-Boosting-Tree-algorithm-gaussian

Implementing Gradient Boosting Tree algorithm for log-gaussian distribution's expected value of insurance claim amounts open-source data, beating linear and tree models

Gradient-Boosting-Tree-algorithm-gaussian

Abstract

Implementing Gradient Boosting Tree algorithm for log-gaussian distribution's expected value of insurance claim amounts open-source data based on M. Denuit, D. Hainaut, J. Trufin, 'Effective Statistical Learning Methods for Actuaries' I and II, Springer 2019. Beating linear and tree models.

Setup

To configure the environment, run env.r file

Data source:

http://cas.uqam.ca
http://cas.uqam.ca/pub/web/CASdatasets-manual.pdf