Multivariate Attribute Utility and Risk

Thursday and Friday,  Arthur CharpentierOlivier l’Haridon, Debrah Meloso and Christoph Heinzel organize a small workshop, at Université de Rennes 1, on Multiattribute Utility and Risk. The workshop will take place place Hoche, at the Economics faculty. Speakers are

Tree-based censored regression

Tuesday morning, December 8th, first talk related to the ACTINFO Chair, at Covéa, by Xavier Milhaud.

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.

Paper is available on https://hal.archives-ouvertes.fr.

Actinfo

Le blog aura pour objectif de disséminer la recherche effectuée dans le cadre d’une initiative de recherche en économie de l’assurance, initiative qui sera lancée fin novembre, et qui sera hébergée par le Labex Louis Bachelier de la Fondation du Risque. L’initiative de recherche porte sur les usages de l’information en assurance, sur la compréhension des mécanismes de marché d’un marché de plus en plus segmenté et des contradictions avec l’hypothèse de mutualisation des risques