论文标题

通过对抗性学习的公平定价模型

A Fair Pricing Model via Adversarial Learning

论文作者

Grari, Vincent, Charpentier, Arthur, Detyniecki, Marcin

论文摘要

保险业业务的核心在于风险和非危险被保险人之间的分类,精算公平意味着,有风险的被保险人应贡献更多并支付比非风险或较少风险的保险费。因此,精算师使用计量经济学或机器学习技术进行分类,但是公平的精算分类和“歧视”之间的区别是微妙的。因此,对精算社区Lindholm,Richman,Tsanakas和Wuthrich(2022)的公平和歧视越来越兴趣。据推测,非敏感特征可以用作受保护属性的替代品或代理。例如,汽车的颜色和型号与驾驶员的职业相结合,可能导致预测汽车保险价格的性别偏见。令人惊讶的是,我们将表明单独进行预测变量可能不足以维持足够的准确性(1)。实际上,传统的定价模型目前建立在两阶段的结构中,该结构考虑了许多潜在的偏见组件,例如汽车或地理风险。我们将证明这种传统结构在实现公平性方面有重大局限性。因此,我们开发了一种新颖的定价模型方法。最近,一些方法有Blier Wong,Cossette,Lamontagne和Marceau(2021); Wuthrich和Merz(2021)显示了自动编码器在定价中的价值。在本文中,我们将表明(2)可以将其推广到多个定价因素(地理,汽车类型),(3)它完全适应公平的环境(因为它允许辩护定价组件集):我们将此主要思想扩展到一个普通框架中,以使单个整体定价模型通过在地理位置上训练,根据地理位置训练,根据地理位置的preptial,根据地理位置的定价,该框架是纯粹的构图。所需的度量。

At the core of insurance business lies classification between risky and non-risky insureds, actuarial fairness meaning that risky insureds should contribute more and pay a higher premium than non-risky or less-risky ones. Actuaries, therefore, use econometric or machine learning techniques to classify, but the distinction between a fair actuarial classification and "discrimination" is subtle. For this reason, there is a growing interest about fairness and discrimination in the actuarial community Lindholm, Richman, Tsanakas, and Wuthrich (2022). Presumably, non-sensitive characteristics can serve as substitutes or proxies for protected attributes. For example, the color and model of a car, combined with the driver's occupation, may lead to an undesirable gender bias in the prediction of car insurance prices. Surprisingly, we will show that debiasing the predictor alone may be insufficient to maintain adequate accuracy (1). Indeed, the traditional pricing model is currently built in a two-stage structure that considers many potentially biased components such as car or geographic risks. We will show that this traditional structure has significant limitations in achieving fairness. For this reason, we have developed a novel pricing model approach. Recently some approaches have Blier-Wong, Cossette, Lamontagne, and Marceau (2021); Wuthrich and Merz (2021) shown the value of autoencoders in pricing. In this paper, we will show that (2) this can be generalized to multiple pricing factors (geographic, car type), (3) it perfectly adapted for a fairness context (since it allows to debias the set of pricing components): We extend this main idea to a general framework in which a single whole pricing model is trained by generating the geographic and car pricing components needed to predict the pure premium while mitigating the unwanted bias according to the desired metric.

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