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Tree-based censored regression with applications in insurance

Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-01141228
Contributor : Pierre-Emmanuel Thérond <>
Submitted on : Monday, September 12, 2016 - 3:46:33 PM
Last modification on : Thursday, March 5, 2020 - 5:52:30 PM

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Olivier Lopez, Xavier Milhaud, Pierre-Emmanuel Thérond. Tree-based censored regression with applications in insurance. Electronic journal of statistics , Shaker Heights, OH : Institute of Mathematical Statistics, 2016, 10 (2), pp.2685-2716. ⟨10.1214/16-EJS1189⟩. ⟨hal-01141228v2⟩

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