Polygenic risk scores (PRS) aim to predict a trait from genetic information, relying on common genetic variants with low to medium effect sizes. As genotype data are high‐dimensional in nature, it is crucial to develop methods that can be applied to large‐scale data (large and large ). Many PRS tools aggregate univariate summary statistics from genome‐wide association studies into a single score. Recent advancements allow simultaneous modeling of variant effects from individual‐level genotype data. In this context, we introduced snpboost, an algorithm that applies statistical boosting on individual‐level genotype data to estimate PRS via multivariable regression models. By processing variants iteratively in batches, snpboost can deal with large‐scale cohort data. Having solved the technical obstacles due to data dimensionality, the methodological scope can now be broadened—focusing on key objectives for the clinical application of PRS. Similar to most methods in this context, snpboost has, so far, been restricted to quantitative and binary traits. Now, we incorporate more advanced alternatives—targeted to the particular aim and outcome. Adapting the loss function extends the snpboost framework to further data situations such as time‐to‐event and count data. Furthermore, alternative loss functions for continuous outcomes allow us to focus not only on the mean of the conditional distribution but also on other aspects that may be more helpful in the risk stratification of individual patients and can quantify prediction uncertainty, for example, median or quantile regression. This work enhances PRS fitting across multiple model classes previously unfeasible for this data type.