A main difficulty in actuarial claim size modeling is that there is no simple off-the-shelf distribution that simultaneously provides a good distributional model for the main body and the tail of the data. In particular, covariates may have different effects for small and for large claim sizes. To cope with this problem, we introduce a deep composite regression model whose splicing point is given in terms of a quantile of the conditional claim size distribution rather than a constant. To facilitate M-estimation for such models, we introduce and characterize the class of strictly consistent scoring functions for the triplet consisting a quantile, as well as the lower and upper expected shortfall beyond that quantile. In a second step, this elicitability result is applied to fit deep neural network regression models. We demonstrate the applicability of our approach and its superiority over classical approaches on a real accident insurance data set.
翻译:精算索赔规模建模的主要困难在于,没有简单的现成分布,同时为数据的主体和尾部提供良好的分配模式,特别是,共变可能对大小索赔规模产生不同影响。为解决这一问题,我们引入了深复合回归模型,其分点是有条件索赔规模分布的四分位数,而不是常数。为了便利对此类模型进行M-估计,我们引入并定性了由一个量化组成的三胞胎的严格一致的评分功能类别,以及该量化值以外的较低和较高预期的缺额。第二步是,这一可回收性结果适用于深神经网络回归模型。我们展示了我们的方法及其优于典型方法在实际事故保险数据集中的适用性。