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Deep quantile and deep composite triplet regression

  • Published:2023-03 Issue: Volume:109 Page:94-112
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Fissler TobiasORCID,Merz Michael,Wüthrich Mario V.

Funder

OeNB

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference50 articles.

1. Efficiently weighted estimation of tail and interquartile expectations;Barendse,2020

2. Random forests;Breiman;Machine Learning,2001

3. Quantile and probability curves without crossing;Chernozhukov;Econometrica,2010

4. Modeling actuarial data with composite lognormal-Pareto model;Cooray;Scandinavian Actuarial Journal,2005

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