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<p class="MsoNormal"><a href="https://e.allin.insper.edu.br/bendar/?atmca=10094556&atmme=339&atmte=1&atmso=ck&utm_content=277659976&atmem=cm9kcmlnb2ZzM0BpbnNwZXIuZWR1LmJy" target="_blank">Insper</a><o:p></o:p></p>
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<p class="MsoNormal"><a href="https://e.allin.insper.edu.br/bendar/?atmca=10094556&atmme=339&atmte=1&atmso=ck&utm_content=277659975&atmem=cm9kcmlnb2ZzM0BpbnNwZXIuZWR1LmJy" target="_blank">Academic Programs</a><o:p></o:p></p>
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<p class="xmsonormal" align="center" style="text-align:center"><b><span lang="EN-US" style="font-size:11.0pt;font-family:"Verdana",sans-serif;mso-fareast-language:EN-US">Title:</span></b><span lang="EN-US" style="font-size:11.0pt;font-family:"Verdana",sans-serif;mso-fareast-language:EN-US"> Conformal
prediction for frequency-severity modeling<o:p></o:p></span></p>
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<p class="MsoNormal"><b><span lang="EN-US" style="font-family:"Verdana",sans-serif">Speaker:</span></b><span lang="EN-US" style="font-family:"Verdana",sans-serif">
<a href="https://emap.fgv.br/professores/helton-graziadei-de-carvalho">Helton Graziadei</a><o:p></o:p></span></p>
<p class="MsoNormal"><span lang="EN-US" style="font-family:"Verdana",sans-serif"><o:p> </o:p></span></p>
<p class="MsoNormal"><b><span lang="EN-US" style="font-family:"Verdana",sans-serif">University:
</span></b><span lang="EN-US" style="font-family:"Verdana",sans-serif"> <a href="https://emap.fgv.br/">
EMAP/FGV</a><o:p></o:p></span></p>
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<p class="MsoNormal"><b><span lang="EN-US" style="font-family:"Verdana",sans-serif"><o:p> </o:p></span></b></p>
<p class="xmsonormal" style="text-align:justify;line-height:115%"><b><span lang="EN-US" style="font-family:"Verdana",sans-serif;mso-fareast-language:EN-US">Abstract:</span></b><span lang="EN-US" style="font-family:"Verdana",sans-serif;mso-fareast-language:EN-US"> </span><span lang="EN-US" style="font-size:11.0pt;line-height:115%;font-family:"Verdana",sans-serif;mso-fareast-language:EN-US">Insurance
claims modeling is a crucial task in the property and casualty insurance industry. A key component of this process is the two-stage approach, which involves a frequency model to predict the number of claims and a severity model to measure the financial impact
of each claim. Although machine learning models are commonly used in this context, they typically provide only pointwise predictions. In this work, we present a nonparametric model-agnostic framework for constructing prediction intervals of insurance claims,
with finite sample statistical guarantees, extending the technique of split conformal prediction to the domain of two-stage frequency-severity modeling. The effectiveness of the framework is showcased with simulated and real datasets. When the underlying severity
model is a random forest, we extend the two-stage split conformal prediction procedure, showing how the out-of-bag mechanism can be leveraged to eliminate the need for a calibration set and to enable the production of prediction intervals with adaptive width.</span><span lang="EN-US" style="mso-fareast-language:EN-US"><o:p></o:p></span></p>
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<p class="MsoNormal"><span style="font-family:"Verdana",sans-serif">June 6, 2024<o:p></o:p></span></p>
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<p class="MsoNormal"><span style="font-family:"Verdana",sans-serif">12pm, São Paulo, Brasil (UTC/GMT -03:00)<o:p></o:p></span></p>
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<p class="MsoNormal"><span lang="EN-US" style="font-family:"Verdana",sans-serif"><o:p> </o:p></span></p>
<p class="MsoNormal"><span lang="EN-US" style="font-family:"Verdana",sans-serif">308 room, 3rd floor - Building 1<o:p></o:p></span></p>
<p class="MsoNormal"><span lang="EN-US" style="font-family:"Verdana",sans-serif"><o:p> </o:p></span></p>
<p class="MsoNormal"><span lang="EN-US" style="font-family:"Verdana",sans-serif">The seminar will be streamed at the
</span><span style="font-family:"Verdana",sans-serif"><a href="https://zoom.us/j/95781336030"><span lang="EN-US">link</span></a><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-size:10.5pt;font-family:"Verdana",sans-serif;color:#232333;letter-spacing:.3pt;background:white;mso-fareast-language:PT-BR">access password</span><span lang="EN-US" style="font-family:"Verdana",sans-serif">: 290524<o:p></o:p></span></p>
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<p class="MsoNormal">Rua Quatá, 300 - Vila Olímpia - São Paulo/SP - Brasil - CEP: 04546-042 | Tel: (11) 4504-2400<o:p></o:p></p>
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