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"Lasso-Quantile Regression and its Application to a Non-life Insurance Problem"(in Japanese)

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Author Info
Kengo Kato (Graduate School of Economics, University of Tokyo)
Naoto Kunitomo (Faculty of Economics, University of Tokyo)
Satoshi Masuda (Chuo Mitsui Trust Holdings, Inc.)
Abstract

We 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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File URL: http://www.e.u-tokyo.ac.jp/cirje/research/dp/2008/2008cj203.pdf
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Publisher Info
Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-203.

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Length: 36 pages
Date of creation: Aug 2008
Date of revision:
Handle: RePEc:tky:jseres:2008cj203

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