Joint Distributional Copula Regression for Insurance Claim Frequency and Severity via Boosting
Abstract
In this paper, we introduce a model-based boosting approach for fitting structured additive distributional copula regression models for bivariate responses, with particular emphasis on jointly modeling insurance claim frequency and severity. The approach uses regression-type base learners, such as linear terms and splines with low degrees of freedom. It builds on generalized additive models for location, scale, and shape (GAMLSS), which extend generalized additive models (GAMs) by allowing multiple distributional parameters, rather than only the conditional mean, to depend on covariates. The structured additive predictors make the model inherently interpretable, offering greater transparency and auditability than black-box approaches. These features are particularly relevant in regulated actuarial settings and applications requiring explainable artificial intelligence. By estimating the entire conditional joint distribution, the framework also enables insurance practitioners to examine conditional quantiles, tail behavior, and prediction intervals of risks. The copula component captures dependence between claim frequency and severity and allows practitioners to investigate how this dependence varies with policyholder characteristics, potentially improving predictive performance. Moreover, by incorporating modern machine-learning techniques, specifically boosting, the proposed model improves prediction accuracy while retaining interpretability. We assess the proposed framework using both simulated and real data. The results demonstrate its ability to recover the true covariate effects on the marginal distributional parameters and the dependence structure, select informative variables, and achieve predictive performance competitive with standard benchmark models. We also illustrate how to interpret the fitted model.
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BibTeX
@misc{so2026joint,
title = {{Joint Distributional Copula Regression for Insurance Claim Frequency and Severity via Boosting}},
author = {Banghee So and Na Zhang},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.36835},
eprint = {2610.36835},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.36835},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Joint Distributional Copula Regression for Insurance Claim Frequency and Severity via Boosting
AU - Banghee So
AU - Na Zhang
PY - 2026
DA - 2026/10/28
PB - arXiv
DO - 10.48550/arxiv.2610.36835
UR - https://arxiv.org/abs/2610.36835
AB - In this paper, we introduce a model-based boosting approach for fitting structured additive distributional copula regression models for bivariate responses, with particular emphasis on jointly modeling insurance claim frequency and severity. The approach uses regression-type base learners, such as linear terms and splines with low degrees of freedom. It builds on generalized additive models for location, scale, and shape (GAMLSS), which extend generalized additive models (GAMs) by allowing multiple distributional parameters, rather than only the conditional mean, to depend on covariates. The structured additive predictors make the model inherently interpretable, offering greater transparency and auditability than black-box approaches. These features are particularly relevant in regulated actuarial settings and applications requiring explainable artificial intelligence. By estimating the entire conditional joint distribution, the framework also enables insurance practitioners to examine conditional quantiles, tail behavior, and prediction intervals of risks. The copula component captures dependence between claim frequency and severity and allows practitioners to investigate how this dependence varies with policyholder characteristics, potentially improving predictive performance. Moreover, by incorporating modern machine-learning techniques, specifically boosting, the proposed model improves prediction accuracy while retaining interpretability. We assess the proposed framework using both simulated and real data. The results demonstrate its ability to recover the true covariate effects on the marginal distributional parameters and the dependence structure, select informative variables, and achieve predictive performance competitive with standard benchmark models. We also illustrate how to interpret the fitted model.
ER -