"Lasso-Quantile Regression and its Application to a Non-life Insurance Problem"(in Japanese)
AbstractWe summarize the recent developments on the statistical method of Lasso-Quantile Regression and we apply it to a Non-life Insurance problem. We discuss the asymptotic properties of the Quantile Regression estimator, the computational aspects related to the Linear Programming problem and the selection of Quantile regressors. We illustrate the practical aspects of measuring risk factors by using a Non-life insurance data.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-203.
Length: 36 pages
Date of creation: Aug 2008
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-13 (All new papers)
- NEP-ECM-2008-09-13 (Econometrics)
- NEP-IAS-2008-09-13 (Insurance Economics)
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