CatBoost Versus XGBoost and LightGBM: Developing Enhanced Predictive Models for Zero-Inflated Insurance Claim Data
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In the property and casualty insurance industry, some challenges are presented in constructing claim predictive models due to a highly right-skewed distribution of positive claims with excess zeros. Traditional models, such as Poisson or negative binomial Generalized Linear Models(GLMs), frequently struggle with inflated zeros. In response to this, researchers in actuarial science have employed “zero-inflated" models that merge a traditional count model and a binary model to address these datasets more effectively. This paper uses boosting algorithms to process insurance claim data, including zero-inflated telematics data, in order to construct claim frequency models. We evaluated and compared three popular gradient boosting libraries - XGBoost, LightGBM, and CatBoost - with the aim of identifying the most suitable library for training insurance claim data and fitting actuarial frequency models. Through a rigorous analysis of two distinct datasets, we demonstrated that CatBoost is superior in developing auto claim frequency models based on predictive performance. We also found that Zero-inflated Poisson boosted tree models, with variations in their assumptions about the relationship between inflation probability and distribution mean, outperformed others depending on data characteristics. Furthermore, by using a specific CatBoost tool, we explored the effects and interactions of different risk features on the frequency model when using telematics data.
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