A benchmark of ten gradient boosting algorithms on five insurance datasets shows probabilistic versions can improve fit without losing predictive accuracy, with LightGBM and XGBoostLSS fastest.
Annals of statistics 29, 1189–1232 (2001)
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From Point to probabilistic gradient boosting for claim frequency and severity prediction
A benchmark of ten gradient boosting algorithms on five insurance datasets shows probabilistic versions can improve fit without losing predictive accuracy, with LightGBM and XGBoostLSS fastest.