This disclosure relates to method and system for building ensemble models using competitive reinforcement learning (CRL). The method may include creating a plurality of clusters, each including a set of predictive models forming the ensemble model. For each of the plurality of clusters, the method may further include initializing each of the set of predictive models with random values for a set of first parameters to obtain a first accuracy score, categorizing each of the set of predictive models into a first associated category based on a first accuracy score, calculating a first reward for each of the set of predictive models based on the first associated category, and determining a set of second parameters for each of the set of predictive models using CRL to obtain a second accuracy score.