Centro de Documentacion de Fundación MAPFRE - Toward an explainable machine learning model for claim frequency: a use case in car insurance pricing with telematics data

MAP20220008020

Toward an explainable machine learning model for claim frequency: a use case in car insurance pricing with telematics data / Arthur Maillart

Sumario: In this paper, we suggest an explainable machine learning approach to model the claim frequency of a telematics car dataset. In fact, we use a data-driven method based on tree ensembles, namely, the random forest, to create a claim frequency model. Then, we present a method to build a tree that faithfully synthesizes the predictions of a tree ensemble model such as those derived from the random forest or gradient boosting. This tree serves as a global explanation of the predictions of the black-box. Thanks to this surrogate model, we can extract knowledge from a black-box tree ensemble model. Then, we provide an application to improve the performance of a generalized linear model. Indeed, we integrate this new knowledge into a generalized linear model to increase the predictive power

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 06/12/2021 Volúmen 11 - Número 2 - diciembre 2021 , p. 579-617

1. Machine learning . 2. Seguro de automóviles . 3. Telemática . 4. Data driven . I. Title.