Tweedie Distribution in GBM Package

Machine Learning and Modeling
1

tags: GBM package, Tweedie distribution, distribution customisation.

Dear all,

I am now struggling with the GBM package, as I am modelling the average loss cost of an non-life insurance portfolio. The aim is to model it using the Tweedie Distribution, which is not included as option for in the GBM fitting algorithm. So, my question is:

  1. Is the "TDboost" package the only alternative to apply a Tweedie distribution to fit a GBM model? If not,

  2. which other options are there? Is it possible to apply a custom distribution (i.e. Tweedie) in the GBM algorithm of the GBM package?

Thanks a lot! :slight_smile:

Emilio.

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