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Journal Articles Electronic Journal of Statistics Year : 2016

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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Dates and versions

hal-01141228 , version 1 (10-04-2015)
hal-01141228 , version 2 (12-09-2016)

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

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