Construction of rating systems using global sensitivity analysis: a numerical investigation

DOI10.1017/ASB.2023.34MaRDI QIDQ6494321

Giovanni Rabitti, Amir Khorrami Chokami, Arianna Vallarino

Publication date: 30 April 2024

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

quantile regressionheterogeneity measuresShapley effectsmodel interpretability

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Actuarial mathematics (91G05)

Cites Work

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