arxiv
PublishedJune 15, 2026 at 4:00 AM
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Gradient boosting for extremes: sampling theory and application to insurance
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arXiv:2606.14268v1 Announce Type: cross Abstract: We develop a statistical learning theory for gradient boosting applied to the estimation of covariate-dependent Generalized Pareto (GP) distributions in the context of Peaks-over-Threshold modeling. After an orthogonal reparametrization of the GP lik
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