Evaluating XGBoost for Competitive Insurance Pricing: A Case Study on Motor Third-Party Liability Insurance

Penulis: Jonathan IbrahimJonathan StanleyHendri MurfiFevi NovkanizaSindy Devila
Informasi
Jurnal2024 International Conference on Intelligent Cybernetics Technology & Applications (ICICyTA)
PenerbitIEEE, 2024 International Conference on Intelligent Cybernetics Technology …, 2024
Halaman847-852
Tahun Publikasi2024
Jenis SumberGoogle Scholar
Sitasi
Scopus: 1
Google Scholar: 1
PubMed: 1
Abstrak
In numerous studies, the Gradient Boosting Machine (GBM) has shown strong out-of-sample performance on insurance claim data. This evidence has led to increased interest in enhanced versions of GBM, such as XGBoost. Some studies highlight the superiority of XGBoost over GBM on insurance claim data. However, many of them focus only on statistical model fit rather than assessing the model's effectiveness as a pricing tool, especially its economic value. Our study takes a different approach by evaluating the potential of XGBoost as a pricing model through both out-of-sample statistical performance and model lift. The experiment was conducted using Motor Third-Party Liability (MTPL) claim dataset obtained from a Belgian insurer in 1997. In terms of statistical performance, results show that XGBoost and GBM perform similarly on the frequency component, outperforming other models like Random Forest or …
Dokumen & Tautan

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