Is there a way to do a Regression in Catboost for a Gamma distributed response variable?

Question

I'm working on an Insurance model and I'd like to run Severity and Frequency models using the Catboost gradient boosting algorithm. The problem is that according to the literature, a Severity model assumes a Gamma distributed response variable, while according to the Catboost documentation, a Gamma objective model is not supported. Is there a way utilize one of the existing objectives (e.g. Poisson or Tweedie), to achieve that?

Answer 1

Yes, you can set the variance_power (p symbol in the literature) parameter of Tweedie distribution to 2 to get a Gamma distribution.

example:

CatBoostRegressor(loss_function='Tweedie:variance_power=2', n_estimators=500, silent=True)