Details

Autor(en) / Beteiligte

• Lopez, Olivier
• Milhaud, Xavier
• Thérond, Pierre-E.

Titel

Tree-based censored regression with applications in insurance

Ist Teil von

• Electronic journal of statistics, 2016-01, Vol.10 (2), p.2685-2716

Ort / Verlag

Shaker Heights, OH : Institute of Mathematical Statistics

Erscheinungsjahr

2016

Link zum Volltext

Quelle

Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals

Beschreibungen/Notizen

• We propose a regression tree procedure to estimate the conditional distribution of a variable which is not directly observed due to censoring. The model that we consider is motivated by applications in insurance , including the analysis of guarantees that involve durations, and claim reserving. We derive consistency results for our procedure, and for the selection of an optimal subtree using a pruning strategy. These theoretical results are supported by a simulation study, and two applications involving insurance datasets. The first concerns income protection insurance, while the second deals with reserving in third-party liability insurance.