Explainable AI for paid-up risk management in life insurance products

被引:2
|
作者
Bermudez, Lluis [1 ,4 ]
Anaya, David [2 ]
Belles-Sampera, Jaume [1 ,3 ]
机构
[1] Univ Barcelona, Riskcenter IREA, Barcelona, Spain
[2] Univ Barcelona, Fac Econ & Empresa, Barcelona, Spain
[3] Grp Catalana Occidente SA, Madrid, Spain
[4] Dept Econ Financial & Actuarial Math, Av Diagonal 690, Barcelona 08034, Spain
关键词
Machine learning; Shapley values; Kohonen networks; Risk analysis;
D O I
10.1016/j.frl.2023.104242
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Explainable artificial intelligence (xAI) provides a better understanding of the decision-making processes and results generated by black-box machine learning (ML) models. Here, we outline several xAI techniques in order to equip risk managers with more explainable ML methods. We illustrate this by describing an application for the more effective management of paid-up risk in insurance savings products. We draw on a database of real universal life policies to fit an initial logistic regression model and several tree-based models. We then use different xAI techniques, including a novel approach that leverages a Kohonen network of Shapley values, to offer valuable perspectives on tree-based models to the end-user. Based on these findings, we show how non-trivial ideas can emerge to improve paid-up risk management.
引用
收藏
页数:8
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