Sparse regression with multi-type regularized feature modeling

DOI10.1016/J.INSMATHECO.2020.11.010zbMath1460.91218arXiv1810.03136OpenAlexW2895600735MaRDI QIDQ2657005

Tom Reynkens, Sander Devriendt, Roel Verbelen, Katrien Antonio

Publication date: 17 March 2021

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.03136

zbMATH Keywords

modelingsparsitygeneralized linear modelLassoinsurance pricingpredictor selectionlevel fusion

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (8)

MULTI-STATE MODELLING OF CUSTOMER CHURN ⋮ A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS ⋮ Loss amount prediction from textual data using a double GLM with shrinkage and selection ⋮ Mixture Composite Regression Models with Multi-type Feature Selection ⋮ Identifying the determinants of lapse rates in life insurance: an automated Lasso approach ⋮ Insurance pricing with hierarchically structured data an illustration with a workers' compensation insurance portfolio ⋮ Variable Selection Using a Smooth Information Criterion for Distributional Regression Models ⋮ A non-convex regularization approach for stable estimation of loss development factors

Uses Software

• gamair
• CasANOVA

Cites Work

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