Journal of Data Science

This article presents a classification of disease severity for patients with cystic fibrosis (CF). CF is a genetic disease that dramatically decreases life expectancy and quality. The disease is characterized by polymicrobial infections which lead to lung remodeling and airway mucus plugging. In order to quantify disease severity of CF patients and compute a continuous severity index measure, quantile regression, rank scores, and corresponding normalized ranks are calculated for CF patients. Based on the rank scores calculated from the set of quantile regression models, a continuous severity index is computed for each CF patient and can be considered a robust estimate of CF disease severity.

Abstract: Traditional loss reserves models focus on the mean of the conditional loss distribution. If the factors driving high claims differ systematically from those driving medium to low claims, alternative models that differentiate such differences are required. We propose quantile regression model loss reserving as the model offers potentially different solutions at distinct quantiles so that the effects of risk factors are differentiated at different points of the conditional loss distribution. Due to its nonparametric nature, quantile regression is free of the model assumptions for traditional mean regression models, including homogeneous variance across risk factors and symmetric and light tails, etc. These model assumptions have posed a great barrier in applications as they are often not met in the claim data. Using two sets of run-off triangle claim data from Israel and Queensland, Australia, we present the quantile regression approach that illustrates the sensitivity of claim size to risk factors, namely the trend pattern and initial claim level, in different quantiles. Trained models are applied to predict future claims in the lower run-off triangle. Findings suggest that reliance on standard loss reserves techniques gives rise to misleading inferences and that claim size is not homogeneously driven by the same risk factors across quantiles.