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I need some advice on methodology.

I need to predict a numeric value (claim amount) being as good as possible on high values corresponding to rare events (corporal damage, technological disaster...).

Any suggestion on methodology would be appreciated. Thanks.

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    $\begingroup$ ...being as good as possible on high values ... Could you clarify on this phrase please. $\endgroup$
    – naive
    Apr 27, 2019 at 15:45
  • $\begingroup$ My purpose is to predict a rare event predicting the cost of that event as I know this event has high cost ( and I know every high cost events are rare ). I tolerate predicting a small cost event as a high cost event but it is less acceptable to predict a high cost event as a low cost event : false negative cases must be avoided (but I am on a regression model not really a classification one). The predictions should not just be good on the main most occuring events. $\endgroup$
    – Fabrice BOUCHAREL
    Apr 28, 2019 at 14:49

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My suggestion:

There is a technique called Quantile Regression, which allows you to determine the highest (or lowest) values of a variable. This is valid only if you have regressors (exogenous variables).

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  • $\begingroup$ Looks like a good direction to follow. $\endgroup$
    – Fabrice BOUCHAREL
    Apr 28, 2019 at 17:17

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