Finite-sample valid prediction of future insurance claims in the regression problem

In the current insurance literature, prediction of insurance claims in the regression problem is often performed with a statistical model. This model-based approach may suffer from several drawbacks: (i) model misspecification, (ii) selection effect, and (iii) lack of finite-sample validity. This article addresses these three issues simultaneously by employing conformal prediction-a general machine learning strategy for valid predictions. The proposed method is both model-free and tuning-parameter-free. It also guarantees finite-sample validity at a pre-assigned coverage probability level.