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


  • Kengo Kato

    (Graduate School of Economics, University of Tokyo)

  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo)

  • Satoshi Masuda

    (Chuo Mitsui Trust Holdings, Inc.)


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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  • Kengo Kato & Naoto Kunitomo & Satoshi Masuda, 2008. ""Lasso-Quantile Regression and its Application to a Non-life Insurance Problem"(in Japanese)," CIRJE J-Series CIRJE-J-203, CIRJE, Faculty of Economics, University of Tokyo.
  • Handle: RePEc:tky:jseres:2008cj203

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