Electronic Journal of Statistics

Tree-based censored regression with applications in insurance

Olivier Lopez, Xavier Milhaud, and Pierre-E. Thérond

Full-text: Open access

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.

Article information

Source
Electron. J. Statist. Volume 10, Number 2 (2016), 2685-2716.

Dates
Received: October 2015
First available in Project Euclid: 12 September 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1473685451

Digital Object Identifier
doi:10.1214/16-EJS1189

Subjects
Primary: 62N01: Censored data models 62N02: Estimation 62G08: Nonparametric regression
Secondary: 91B30: Risk theory, insurance 97M30: Financial and insurance mathematics

Keywords
Survival analysis censoring regression tree model selection insurance

Citation

Lopez, Olivier; Milhaud, Xavier; Thérond, Pierre-E. Tree-based censored regression with applications in insurance. Electron. J. Statist. 10 (2016), no. 2, 2685--2716. doi:10.1214/16-EJS1189. https://projecteuclid.org/euclid.ejs/1473685451


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