Challenging research in various fields has driven a wide range of methodological advances in variable selection for regression models with high-dimensional predictors. In comparison, selection of nonlinear functions in models with additive predictors has been considered only more recently....

Generalized additive models for location, scale and, shape define a flexible, semi-parametric class of regression models for analyzing insurance data in which the exponential family assumption for the response is relaxed. This approach allows the actuary to include risk factors not only in the...