Forecasting the cost of drought events in France by Super Learning

Abstract: Drought events are the second most expensive type of natural disaster within the French legal framework known as the natural disasters compensation scheme. In recent years, drought events have been remarkable in their geographical scale and intensity. We develop and apply a new methodology to forecast the cost of a drought event in France. The methodology hinges on Super Learning (van der Laan et al., 2007; Benkeser et al., 2018), a general aggregation strategy to learn a feature of the law of the data identified through an ad hoc risk function by relying on a library of algorithms. The algorithms either compete (discrete Super Learning) or collaborate (continuous Super Learning), with a cross-validation scheme determining the best performing algorithm or combination of algorithms, respectively. Our Super Learner takes into account the complex dependence structure induced in the data by the spatial and temporal nature of drought events.