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Article Dans Une Revue Electronic Journal of Statistics Année : 2016

Tree-based censored regression with applications in insurance

Résumé

In this paper, 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 to insurance datasets. The first one concerns income protection insurance, while the second deals with reserving in third-party liability insurance.
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Dates et 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-01141228v1⟩

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