Using quantile regression for rate-making
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References listed on IDEAS
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Rousseeuw, P. & Daniels, B. & Leroy, A., 1984. "Applying robust regression to insurance," Insurance: Mathematics and Economics, Elsevier, vol. 3(1), pages 67-72, January.
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731.
- de Jong,Piet & Heller,Gillian Z., 2008. "Generalized Linear Models for Insurance Data," Cambridge Books, Cambridge University Press, number 9780521879149.
- Pitt, D. G. W., 2006. "Regression Quantile Analysis of Claim Termination Rates for Income Protection Insurance," Annals of Actuarial Science, Cambridge University Press, vol. 1(02), pages 345-357, September.
- Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fuzi, Mohd Fadzli Mohd & Jemain, Abdul Aziz & Ismail, Noriszura, 2016. "Bayesian quantile regression model for claim count data," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 124-137.
- repec:eee:insuma:v:74:y:2017:i:c:p:122-134 is not listed on IDEAS
- Pitselis, Georgios, 2013. "Quantile credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 477-489.
More about this item
KeywordsIB42 IM30 Regression models Generalized linear models Quantile regression Confidence band Rate-making Quantile approach to the net premium rate-making;
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