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Conformal prediction for frequency-severity modeling

Authors :
Graziadei, Helton
F., Paulo C. Marques
de Melo, Eduardo F. L.
Targino, Rodrigo S.
Publication Year :
2023

Abstract

We present a model-agnostic framework for the construction of prediction intervals of insurance claims, with finite sample statistical guarantees, extending the technique of split conformal prediction to the domain of two-stage frequency-severity modeling. The framework effectiveness is showcased with simulated and real datasets using classical parametric models and contemporary machine learning methods. When the underlying severity model is a random forest, we extend the two-stage split conformal prediction algorithm, showing how the out-of-bag mechanism can be leveraged to eliminate the need for a calibration set in the conformal procedure.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2307.13124
Document Type :
Working Paper