Skip to main content

Generalization error for Tweedie models: decomposition and error reduction with bagging

Abstract

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.

This is a preview of subscription content, access via your institution.

References

  1. 1.

    Br eiman L (1996) Bagging predictors. Mach Learn 24:123–140

    MATH  Google Scholar 

  2. 2.

    Denuit M, Hainaut D, Trufin J (2019) Effective statistical learning methods for actuaries I: GLM and extensions. Springer Actuarial Lecture Notes Series

  3. 3.

    Gneiting T (2011) Making and evaluating point forecasts. J Am Stat Assoc 106:746–762

    MathSciNet  Article  Google Scholar 

  4. 4.

    Hastie T, Tibshirani R, Friedman J (2009) The elements of statistical learning. Data mining, inference, and prediction (2nd edn). Springer Series in Statistics

  5. 5.

    Savage LJ (1971) Elicitation of personal probabilities and expectations. J Am Stat Assoc 66:783–810

    MathSciNet  Article  Google Scholar 

  6. 6.

    Wüthrich MV, Buser C (2020) Data analytics for non-life insurance pricing. Lecture notes. Available at SSRN. https://doi.org/10.2139/ssrn.2870308

Download references

Author information

Affiliations

Authors

Corresponding author

Correspondence to Julien Trufin.

Additional information

Publisher's Note

Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.

Rights and permissions

Reprints and Permissions

About this article

Verify currency and authenticity via CrossMark

Cite this article

Denuit, M., Trufin, J. Generalization error for Tweedie models: decomposition and error reduction with bagging. Eur. Actuar. J. 11, 325–331 (2021). https://doi.org/10.1007/s13385-021-00265-2

Download citation

Keywords

  • Generalization error
  • Supervised learning
  • Exponential dispersion family
  • Tweedie
  • Bagging