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.
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Wüthrich MV, Buser C (2020) Data analytics for non-life insurance pricing. Lecture notes. Available at SSRN. https://doi.org/10.2139/ssrn.2870308
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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
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DOI: https://doi.org/10.1007/s13385-021-00265-2