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

Kengo Kato, Naoto Kunitomo and Satoshi Masuda
Additional contact information
Kengo Kato: Graduate School of Economics, University of Tokyo
Naoto Kunitomo: Faculty of Economics, University of Tokyo
Satoshi Masuda: Chuo Mitsui Trust Holdings, Inc.

No CIRJE-J-203, CIRJE J-Series from CIRJE, Faculty of Economics, University of Tokyo

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.

Pages: 36 pages
Date: 2008-08
New Economics Papers: this item is included in nep-ecm and nep-ias
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Persistent link: https://EconPapers.repec.org/RePEc:tky:jseres:2008cj203

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