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, pages 67-72.
- Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, pages 143-156.
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, November.
- de Jong,Piet & Heller,Gillian Z., 2008. "Generalized Linear Models for Insurance Data," Cambridge Books, Cambridge University Press, number 9780521879149, December.
- 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.
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- Fuzi, Mohd Fadzli Mohd & Jemain, Abdul Aziz & Ismail, Noriszura, 2016. "Bayesian quantile regression model for claim count data," Insurance: Mathematics and Economics, Elsevier, 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, 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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