"Lasso-Quantile Regression and its Application to a Non-life Insurance Problem"(in Japanese)
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.
|Date of creation:||Aug 2008|
|Date of revision:|
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