Centro de Documentacion de Fundación MAPFRE - Generalization error for Tweedie models : decomposition and error reduction with bagging

MAP20220007290

Generalization error for Tweedie models : decomposition and error reduction with bagging / Michel Denuit, Julien Trufin

Sumario: Wüthrich and Buser (DOI:10.2139/ssrn.2870308, 2020) studied the generalization error for Poisson regression models. This short note aims to extend their results to the Tweedie family of distributions, to which the Poisson law belongs. In case of bagging, a new condition emerges that becomes increasingly binding with the power parameter involved in the Tweedie variance function.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 325-331

1. Regresión no lineal . 2. Distribución Poisson-Beta . 3. Modelo Tweedie . 4. Cálculo actuarial . I. Trufin, Julien . II. Título.