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Group regularization for zero-inflated poisson regression models with an application to insurance ra...

Group regularization for zero-inflated poisson regression models with an application to insurance ra...

https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1080_02664763_2018_1555232

Group regularization for zero-inflated poisson regression models with an application to insurance ratemaking

About this item

Full title

Group regularization for zero-inflated poisson regression models with an application to insurance ratemaking

Publisher

Abingdon: Taylor & Francis

Journal title

Journal of applied statistics, 2019-07, Vol.46 (9), p.1567-1581

Language

English

Formats

Publication information

Publisher

Abingdon: Taylor & Francis

More information

Scope and Contents

Contents

Zero-inflated count models have received considerable amount of attention in recent years, fuelled by their widespread applications in many scientific disciplines. In this paper, we consider the problem of selecting grouped variables in zero-inflated Poisson (ZIP) models via group bridge regularization. The ZIP mixture likelihood with a group-wise
penalty on the coefficients is formulated using least squares approximation and then the parameters involved in the penalized likelihood are estimated by an efficient group descent algorithm. We examine the effectiveness of our modeling procedure through extensive Monte Carlo simulations. An auto insurance claim dataset from the SAS Enterprise Miner database is analyzed for illustrative purposes. Finally, we derive theoretical properties of the proposed group variable selection procedure under certain regularity conditions. The open source software implementation of this method is publicly available at
https://github.com/himelmallick/Gooogle
....

Alternative Titles

Full title

Group regularization for zero-inflated poisson regression models with an application to insurance ratemaking

Identifiers

Primary Identifiers

Record Identifier

TN_cdi_crossref_primary_10_1080_02664763_2018_1555232

Permalink

https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1080_02664763_2018_1555232

Other Identifiers

ISSN

0266-4763

E-ISSN

1360-0532

DOI

10.1080/02664763.2018.1555232

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